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A

a() - Method in class org.drip.dynamics.hjm.G2PlusPlus
Retrieve A
a() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Retrieve A
a() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve A
a() - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
Retrieve the "A" Parameter
A() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
Return "A"
a() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
Retrieve A
a() - Method in class org.drip.measure.crng.ShiftRegisterGenerator
Retrieve the Array of Coefficients
a12() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve A12
a13() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve A13
a21() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve A21
a23() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve A23
aap() - Method in class org.drip.param.quoting.YieldInterpreter
Retrieve the Act/Act Day Count Parameters
abs() - Method in class org.drip.quant.fourier.ComplexNumber
Retrieve the Absolute Value
absoluteTolerance() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
Retrieve the Absolute Tolerance
absorb(PredictorResponseRelationSetup) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
Absorb the "Other" PRRS onto the current one
absorb(PredictorResponseWeightConstraint) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
"Absorb" the other PRWC Instance into the Current One
Account - Class in org.drip.portfolioconstruction.core
Account holds the Current Portfolio (if any) along with the Creation/Maintenance Mandate.
Account(String, String, String, Holdings, TaxAccountingScheme) - Constructor for class org.drip.portfolioconstruction.core.Account
Account Constructor
account() - Method in class org.drip.portfolioconstruction.optimizer.Rebalancer
Retrieve the Account Instance
ACCRUAL_COMPOUNDING_RULE_ARITHMETIC - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Accrual Compounding Rule - Arithmetic
ACCRUAL_COMPOUNDING_RULE_GEOMETRIC - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Accrual Compounding Rule - Geometric
accrualChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Accrual Interval Change
accrualCompoundingRule() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Accrual Compounding Rule
accrualCompoundingRule() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Accrual Compounding Rule
accrualCompoundingRule() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Accrual Compounding Rule
accrualCompoundingRule() - Method in class org.drip.market.otc.FixedStreamConvention
Retrieve the Accrual Compounding Rule
accrualCompoundingRule() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Accrual Compounding Rule
accrualDC() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Accrual Day Count
accrualDC() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Accrual Day Count
accrualDC() - Method in class org.drip.product.credit.BondComponent
 
accrualDC() - Method in class org.drip.product.definition.Bond
Return the bond's accrual day count
accrualDC() - Method in class org.drip.product.rates.Stream
Retrieve the Accrual Day Count
accrualDCF(int) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Get the Period Accrual Day Count Fraction to an Accrual End Date
accrualDCF(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
Compute the Coupon Accrual DCF to the specified Accrual End Date
accrualDCF() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Get the Period Accrual Day Count Fraction
accrualEOMAdjustment() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Accrual EOM Adjustment Flag
accrualEOMAdjustment() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Accrual EOM Adjustment Flag
accrualEOMAdjustment() - Method in class org.drip.product.rates.Stream
Retrieve the Accrual EOM Adjustment
accrualMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Compute the Coupon Accrual Measures to the specified Accrual End Date
accrualOnDefault() - Method in class org.drip.product.params.CreditSetting
Retrieve the Accrual On Default Flag
accrued() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Accrued
accrued(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
accrued(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Calculate the bond's accrued for the period identified by the valuation date
accrued01() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Accrued01
AccumulateMeasures(CaseInsensitiveTreeMap<Double>, String, CaseInsensitiveTreeMap<Double>) - Static method in class org.drip.analytics.support.Helper
Append the Prefixed Map Entries of the specified Input Map onto the Output Map
accumulatePartialFirstDerivative(int, int, double) - Method in class org.drip.quant.calculus.WengertJacobian
Accumulate {D(Wengert)}/{D(Parameter)}
accumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
Retrieve the Cumulative Increment
ActActDCParams - Class in org.drip.analytics.daycount
This class contains parameters to represent Act/Act day count.
ActActDCParams(int, int) - Constructor for class org.drip.analytics.daycount.ActActDCParams
Constructs an ActActDCParams instance from the corresponding parameters
activate() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
Turn ON the Objective Term Unit
activeBeta() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
Retrieve the Portfolio-to-Benchmark Active Beta
activeConstraintLinearDependence(double[], boolean) - Method in class org.drip.optimization.constrained.OptimizationFramework
Active Constraint Set Linear Dependence Check
activeConstraintRank(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Active Constraint Set Rank Computation
activeConstraintRankComparison(double[], int) - Method in class org.drip.optimization.constrained.OptimizationFramework
Compare the Active Constraint Set Rank at the specified against the specified Rank
activeConstraints(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Retrieve the Array of Active Constraints
activeReturn() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
Retrieve the Portfolio-to-Benchmark Active Return
activeRisk() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
Retrieve the Portfolio-to-Benchmark Active Risk
adaptive(MarketState[]) - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory
AdaptiveOptimalCostTrajectory - Class in org.drip.sample.almgren2009
AdaptiveOptimalCostTrajectory traces a Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveOptimalCostTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalCostTrajectory
 
AdaptiveOptimalHJBTrajectory - Class in org.drip.sample.almgren2009
AdaptiveOptimalHJBTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample Realization of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveOptimalHJBTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalHJBTrajectory
 
AdaptiveOptimalRollingHorizonTrajectory - Class in org.drip.sample.almgren2009
AdaptiveOptimalRollingHorizonTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample Realization of the Rolling Horizon Approximation of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveOptimalRollingHorizonTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalRollingHorizonTrajectory
 
AdaptiveOptimalStaticTrajectory - Class in org.drip.sample.almgren2009
AdaptiveOptimalStaticTrajectory determines the Outstanding Holdings and the Trade Rate from the "Mean Market State" Static Trajectory using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveOptimalStaticTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalStaticTrajectory
 
AdaptiveStaticInitialHoldings - Class in org.drip.sample.almgren2012
AdaptiveStaticInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveStaticInitialHoldings() - Constructor for class org.drip.sample.almgren2012.AdaptiveStaticInitialHoldings
 
AdaptiveStaticInitialTradeRate - Class in org.drip.sample.almgren2012
AdaptiveStaticInitialTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveStaticInitialTradeRate() - Constructor for class org.drip.sample.almgren2012.AdaptiveStaticInitialTradeRate
 
AdaptiveZeroInitialHoldings - Class in org.drip.sample.almgren2012
AdaptiveZeroInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveZeroInitialHoldings() - Constructor for class org.drip.sample.almgren2012.AdaptiveZeroInitialHoldings
 
AdaptiveZeroInitialTradeRate - Class in org.drip.sample.almgren2012
AdaptiveZeroInitialTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveZeroInitialTradeRate() - Constructor for class org.drip.sample.almgren2012.AdaptiveZeroInitialTradeRate
 
add(CSALabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled CSA
add(FXLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled FX
add(RepoLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Repo
add(CustomLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Custom
add(GovvieLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Govvie
add(RatingLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Rating
add(ForwardLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Forward
add(FundingLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Funding
add(PaydownLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Pay Down
add(OvernightLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Overnight
add(CollateralLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Collateral
add(VolatilityLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Volatility
add(OTCFixFloatLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled OTC Fix Float
add(EntityCreditLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Entity Credit
add(EntityEquityLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Entity Equity
add(EntityHazardLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Entity Hazard
add(EntityFundingLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Entity Funding
add(EntityRecoveryLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Labeled Entity Recovery
add(PositionGroup) - Method in class org.drip.exposure.holdings.PositionGroupSegment
Add the Specified Position Group to the Segment
add(LatentStateLabel, double[]) - Method in class org.drip.exposure.universe.LatentStateWeiner
Add the Weiner Increment corresponding to the Specified Latent State Label
add(String[]) - Method in class org.drip.feed.loader.CSVGrid
Add a String Array to the Grid
add(String, String, double, double) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
Add the Instrument/Tenor/Quote/Scale Field Set
Add(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Add the Specified VICM Instances together
Add(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Add the Specified VICM Instances together
add(String, double) - Method in class org.drip.historical.engine.MarketMeasureRollDown
Add the Custom Horizon Market Measure Roll Down Metric Value
add(int, String) - Method in class org.drip.json.simple.ItemList
 
add(String) - Method in class org.drip.json.simple.ItemList
 
add(int, double[]) - Method in class org.drip.measure.discrete.VertexRd
Add the Vertex Index and its corresponding Realization
add(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.LatentStateFixingsContainer
Add the Fixing corresponding to the Date/Label Pair
add(int, LatentStateLabel, double) - Method in class org.drip.param.market.LatentStateFixingsContainer
Add the Latent State Fixing corresponding to the Date/Label Pair
add(String, double) - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
Add an Asset's Attribute
add(String, boolean) - Method in class org.drip.portfolioconstruction.composite.BlockClassification
Add an Asset's Membership
add(String, double) - Method in class org.drip.portfolioconstruction.composite.Holdings
Add an Asset/Amount Pair
add(String, TransactionCharge) - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
Add an Asset's Transaction Charge
add(Asset) - Method in class org.drip.portfolioconstruction.core.LocalUniverse
Add an Asset to the Local Universe
add(String, String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointDense
Add the Attribute for an Asset Pair
Add(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Add the 2 Complex Numbers
addAll(ItemList) - Method in class org.drip.json.simple.ItemList
 
addAll(String) - Method in class org.drip.json.simple.ItemList
 
addAll(String, String) - Method in class org.drip.json.simple.ItemList
 
addAll(String, String, boolean) - Method in class org.drip.json.simple.ItemList
 
addAssetFactorLoading(String, String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Add the Asset's Factor Loading Coefficient
addBase(SegmentResponseValueConstraint) - Method in class org.drip.spline.params.SegmentResponseConstraintSet
Add the Base Segment Response Value Constraint
addBound(String, double, double) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
Set the Bounds for the specified Asset
addBusDays(int, String) - Method in class org.drip.analytics.date.JulianDate
Add the given Number of Business Days and return a new JulianDate Instance
AddBusinessDays(int, int, String) - Static method in class org.drip.analytics.daycount.Convention
Add the specified Number of Business Days and Adjust According to the Calendar Set
addCollateral(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Collateral Latent State Evolver
addCollateralGroup(CollateralGroup) - Method in class org.drip.xva.topology.CreditDebtGroup
Add the specified Collateral Group
addComponentQuote(String, ProductQuote) - Method in class org.drip.param.definition.ScenarioMarketParams
Add the component quote
addComponentQuote(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.definition.ScenarioMarketParams
Add the full map of component quotes
addComponentQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
addComponentQuote(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
addCovariance(String, String, double) - Method in class org.drip.measure.statistics.MultivariateMoments
Add the Co-variance for the Named Variate Pair
addCreditDebtGroup(CreditDebtGroup) - Method in class org.drip.xva.topology.FundingGroup
Add the specified CreditDebtGroup Instance
addCSA(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the CSA Latent State Evolver
addCustom(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Custom Latent State Evolver
addDays(int) - Method in class org.drip.analytics.date.JulianDate
Add the given Number of Days and return a JulianDate Instance
addDResponseWeightDManifestMeasure(String, double, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Add a Predictor/Response Weight entry to the Linearized Constraint
addEdge(Edge) - Method in class org.drip.spaces.graph.Topography
Add an Edge
addEdge(Edge) - Method in class org.drip.spaces.graph.TopographyEdgeMap
Add an Edge
addEgress(String, double) - Method in class org.drip.spaces.graph.Vertex
Add an Egress to the Vertex Node
addEntityCredit(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Entity Credit Latent State Evolver
addEntityEquity(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Entity Equity Latent State Evolver
addEntityFunding(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Entity Funding Latent State Evolver
addEntityHazard(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Entity Hazard Latent State Evolver
addEntityRecovery(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Entity Recovery Latent State Evolver
addExecTime(long) - Method in class org.drip.regression.core.UnitRegressionStat
Add another run execution time
addFactorAttribute(String, String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Add the Cross Factor Attribute
addFixedHoliday(int, int, String) - Method in class org.drip.analytics.eventday.Locale
Add a fixed holiday from the day and month
addFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.definition.ScenarioMarketParams
Add the fixing for the given Latent State Label and the given date
addFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
addFloatingHoliday(int, int, int, boolean, String) - Method in class org.drip.analytics.eventday.Locale
Add a floating holiday from the week in month, the day in week, the month, and whether holidays are calculated from front/back.
addForward(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Forward Latent State Evolver
addForward(double) - Method in class org.drip.service.api.ForwardRates
Add a Forward Rate to the List
addFunding(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Funding Latent State Evolver
addFundingGroup(FundingGroup) - Method in class org.drip.xva.topology.Adiabat
Add the specified Funding Group
addFX(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the FX Latent State Evolver
addGovvie(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Govvie Latent State Evolver
AdditionalInitialMargin - Class in org.drip.simm.estimator
AdditionalInitialMargin holds the Additional Initial Margin along with the Product Specific Add-On Components.
AdditionalInitialMargin(double, double, double, double, double, Map<String, Double>) - Constructor for class org.drip.simm.estimator.AdditionalInitialMargin
AdditionalInitialMargin Constructor
addKRDNode(String, double) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Insert a KRD Node
addLatentStateValue(LatentStateLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Add the Value Corresponding to the Specific Latent State
addManifestMeasureSensitivity(String, SegmentResponseValueConstraint) - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
Add the SRVC Instance corresponding to the specified Manifest Measure
addManifestMeasureSnap(String, double, double, double) - Method in class org.drip.historical.attribution.PositionMarketSnap
Add an Instance of the Position Manifest Measure Snap from the Specified Inputs
addMean(String, double) - Method in class org.drip.measure.statistics.MultivariateMoments
Add the Mean for the Named Variate
addMergeLabel(LatentStateLabel) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Add a Merging Latent State Label
addMergeStretch(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.MergeSubStretchManager
Add the Specified Merge Stretch
addMonths(int) - Method in class org.drip.analytics.date.JulianDate
Add the given Number of Months and return a New JulianDate Instance
addNamedField(NamedField) - Method in class org.drip.service.scenario.BondReplicationRun
Add a Named Field
addNamedFieldMap(NamedFieldMap) - Method in class org.drip.service.scenario.BondReplicationRun
Add a Named Field Map
addNativeForwardRate(String, String, double) - Method in class org.drip.historical.state.FundingCurveMetrics
Add the Native Forward Rate for the specified In/For Start/Forward Tenors
addNodeMetrics(TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Add the Hull-White Node Metrics Instance
addObjectiveTermUnit(ObjectiveTermUnit) - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
Add the Objective Term Unit Instance
addOnFixed() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Retrieve the Fixed Add-On
addOptimalPortfolio(OptimizationOutput) - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
Add a Returns Constrained Optimal Portfolio
addOTCFixFloat(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the OTC Fix Float Latent State Evolver
addOvernight(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Overnight Latent State Evolver
addPayDown(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Pay Down Latent State Evolver
addPositionGroup(PositionGroup) - Method in class org.drip.xva.topology.CollateralGroup
Add the specified Position Group
addPredictorResponseWeight(double, double) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
Add a Predictor/Response Weight entry to the Linearized Constraint
addPredictorResponseWeight(double, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Add a Predictor/Response Weight entry to the Linearized Constraint
addPrimarySecurity(PrimarySecurity) - Method in class org.drip.exposure.evolver.DynamicsContainer
Add the Specified Primary Security Instance
addProjectionDistributionLoading(String, ProjectionDistributionLoading) - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
Add the Named Projection Distribution Loading
addQuote(String, Quote, boolean) - Method in class org.drip.param.definition.ProductQuote
Add a regular or a market quote for the component
addQuote(String, Quote, boolean) - Method in class org.drip.param.quote.ProductMultiMeasure
 
addRating(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Rating Latent State Evolver
addRecoveryRate(JulianDate, double) - Method in class org.drip.historical.state.CreditCurveMetrics
Add the Recovery Rate corresponding to the specified Date
addRegressorSet(RegressorSet) - Method in class org.drip.regression.core.RegressionEngine
Add the regressor set to the framework
addRepo(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Repo Latent State Evolver
addScalingNumeraire(String, ScalingNumeraire) - Method in class org.drip.exposure.evolver.DynamicsContainer
Add the Named Scaling Numeraire
addScenarioCreditCurve(String, CreditCurveScenarioContainer) - Method in class org.drip.param.definition.ScenarioMarketParams
Add the named scenario CC
addScenarioCreditCurve(String, CreditCurveScenarioContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
addScenarioDiscountCurve(String, DiscountCurveScenarioContainer) - Method in class org.drip.param.definition.ScenarioMarketParams
Add the named scenario DC
addScenarioDiscountCurve(String, DiscountCurveScenarioContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
addScenarioMarketParams(String, CurveSurfaceQuoteContainer) - Method in class org.drip.param.definition.ScenarioMarketParams
Add the named scenario Market Parameters
addScenarioMarketParams(String, CurveSurfaceQuoteContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
addSensitivity(SegmentResponseValueConstraint) - Method in class org.drip.spline.params.SegmentResponseConstraintSet
Add the Base Segment Response Value Constraint Sensitivity
addShortestPathVertex(ShortestPathVertex) - Method in class org.drip.spaces.graph.ShortestPathTree
Add a shortestPathVertex
addSpecificAttribute(String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Add the Asset's Specific Attribute
addStandardWeekend() - Method in class org.drip.analytics.eventday.Locale
Add the regular SATURDAY/SUNDAY weekend
addStaticHoliday(JulianDate, String) - Method in class org.drip.analytics.eventday.Locale
Add the given date as a static holiday
addStaticHoliday(String, String) - Method in class org.drip.analytics.eventday.Locale
Add the given string date as a static holiday
addStretch(MultiSegmentSequence) - Method in class org.drip.spline.grid.AggregatedSpan
 
addStretch(MultiSegmentSequence) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
addStretch(MultiSegmentSequence) - Method in interface org.drip.spline.grid.Span
Add a Stretch to the Span
addSurvivalProbability(JulianDate, double) - Method in class org.drip.historical.state.CreditCurveMetrics
Add the Survival Probability corresponding to the specified Date
addTenor(String) - Method in class org.drip.analytics.date.JulianDate
Add the tenor to the JulianDate to create a new date
addTenorAndAdjust(String, String) - Method in class org.drip.analytics.date.JulianDate
Add the Tenor to the JulianDate and Adjust it to create a new Instance
addTenorDelta(String, double) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
Add the Tenor Sensitivity
addTerminalLatentState(TerminalLatentState) - Method in class org.drip.exposure.evolver.DynamicsContainer
Add the Terminal Latent State
addTerminalLatentState(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Terminal Latent State
addToHead(SinglyLinkedNode) - Method in class org.drip.spaces.graph.SinglyLinkedNode
Append "This" to the Tail of the "Other"
addToTail(SinglyLinkedNode) - Method in class org.drip.spaces.graph.SinglyLinkedNode
Add "Other" to the Tail of "This"
addTransitionMetrics(TrinomialTreeTransitionMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Add a Path Transition Metrics Instance
addTSYQuote(String, ProductQuote) - Method in class org.drip.param.definition.ScenarioMarketParams
Add the named Treasury Quote
addTSYQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
addTurn(Turn) - Method in class org.drip.state.discount.TurnListDiscountFactor
Add a Turn Instance to the Discount Curve
addUnitializedShortestPathVertex(String) - Method in class org.drip.spaces.graph.ShortestPathTree
Add an Uninitialized ShortestPathVertex
addVariationMarginEstimateVertex(int, double, double) - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
Add the Variation Margin Estimate corresponding to the Vertex
addVertex(String) - Method in class org.drip.spaces.graph.Topography
Add The Vertex
addVolatility(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Add the Volatility Latent State Evolver
addWeekend(int[]) - Method in class org.drip.analytics.eventday.Locale
Add the array of weekend days
addYears(int) - Method in class org.drip.analytics.date.JulianDate
Add the given Number of Years and return a new JulianDate Instance
Adiabat - Class in org.drip.xva.topology
Adiabat represents the Directed Graph of all the Encompassing Funding Groups inside of a Closed System (i.e., Adiabat).
Adiabat(String, String) - Constructor for class org.drip.xva.topology.Adiabat
Adiabat Constructor
adiabatGroupPaths() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
Retrieve the Array of Counter Party Group Paths
AdiabatMarketParams - Class in org.drip.xva.topology
AdiabatMarketParams contains the Market Parameters that correspond to a given Adiabat.
AdiabatMarketParams(Map<String, OvernightLabel>, Map<String, CSALabel>, Map<String, EntityHazardLabel>, Map<String, EntityHazardLabel>, Map<String, EntityRecoveryLabel>, Map<String, EntityRecoveryLabel>, Map<String, EntityRecoveryLabel>, Map<String, EntityFundingLabel>, Map<String, EntityFundingLabel>, Map<String, EntityFundingLabel>) - Constructor for class org.drip.xva.topology.AdiabatMarketParams
AdiabatMarketParams Constructor
adjacent() - Method in class org.drip.spaces.graph.SinglyLinkedNode
Retrieve the Adjacent Node
adjacent(String, String) - Method in class org.drip.spaces.graph.Topography
Indicate if the Pair of Vertexes are Adjacent
adjacentWeight(String, String) - Method in class org.drip.spaces.graph.Topography
Compute the Weight between Source and Destination if Adjacent
Adjust(int, String, int) - Static method in class org.drip.analytics.daycount.Convention
Adjust the given Date in Accordance with the Adjustment Mode and the Calendar Set
adjusted() - Method in class org.drip.exposure.regressiontrade.VariationMarginEstimateVertex
Retrieve the Adjusted Variation Margin at the Vertex
adjustedCovariance() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
Retrieve the Adjusted Cross-Group Co-variance
adjustedMetrics() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput
Retrieve the Adjusted Forward Equilibrium Optimization Metrics
adjustedPrincipalDiscountExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence
Retrieve the Adjusted Principal Discount Dependence Exponent
AdjustedVariationMarginDynamics - Class in org.drip.exposure.regressiontrade
AdjustedVariationMarginDynamics builds the Dynamics of the Sparse Path Adjusted Variation Margin.
AdjustedVariationMarginDynamics(AdjustedVariationMarginEstimate[]) - Constructor for class org.drip.exposure.regressiontrade.AdjustedVariationMarginDynamics
AdjustedVariationMarginDynamics Constructor
AdjustedVariationMarginEstimate - Class in org.drip.exposure.regressiontrade
AdjustedVariationMarginEstimate holds the Sparse Path Adjusted Variation Margin and the Daily Trade Flows.
AdjustedVariationMarginEstimate(double[], TradePayment[]) - Constructor for class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimate
AdjustedVariationMarginEstimate Constructor
adjustedVariationMarginEstimate(int[]) - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
Generate the Path-wise Andersen Pykhtin Sokol (2017) Adjusted Variation Margin Estimates
adjustedVariationMarginEstimateArray() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginDynamics
Retrieve the Adjusted Variation Margin Estimate Array
adjustedVariationMarginEstimateArray() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimate
Retrieve the Path-wise Adjusted Variation Margin Estimate Array
AdjustedVariationMarginEstimator - Class in org.drip.exposure.regressiontrade
AdjustedVariationMarginEstimator coordinates the Generation of the Path-specific Trade Payment Adjusted Variation Margin Flows.
AdjustedVariationMarginEstimator(VariationMarginTradePaymentVertex, MarketPath) - Constructor for class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
AdjustedVariationMarginEstimator Constructor
adjustForAccrual(double, double, double, boolean) - Method in class org.drip.analytics.output.BondCouponMeasures
Adjust Measures for accrued
adjustForCashSettle(int, double, MergedDiscountForwardCurve, WengertJacobian) - Method in class org.drip.product.definition.Component
 
adjustForSettlement(double) - Method in class org.drip.analytics.output.BondCouponMeasures
Adjust the bond coupon measures by a cash settlement discount factor
adjustmentDigestScheme() - Method in class org.drip.xva.dynamics.PathSimulator
Retrieve the Adjustment Digest Scheme
AdjustmentDigestScheme - Class in org.drip.xva.settings
AdjustmentDigestScheme contains Settings to the Schemes that generate Aggregated Valuation Adjustment Metrics.
AdjustmentDigestScheme() - Constructor for class org.drip.xva.settings.AdjustmentDigestScheme
 
adjustMode() - Method in class org.drip.param.valuation.CashSettleParams
Retrieve the Adjustment Mode
advance(NonDimensionalCost, MarketState, double[], double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
 
advance(NonDimensionalCost, MarketState, double[], double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverCorrelated
 
advance(NonDimensionalCost, MarketState, double[], double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
 
AEDHoliday - Class in org.drip.analytics.holset
 
AEDHoliday() - Constructor for class org.drip.analytics.holset.AEDHoliday
 
AffineBoundMultivariate - Class in org.drip.function.rdtor1
AffineBoundMultivariate implements a Bounded Planar Linear R^d To R^1 Function.
AffineBoundMultivariate(boolean, int, int, double) - Constructor for class org.drip.function.rdtor1.AffineBoundMultivariate
AffineBoundMultivariate Constructor
AffineMultivariate - Class in org.drip.function.rdtor1
AffineMultivariate implements a Planar Linear R^d To R^1 Function using a Multivariate Vector.
AffineMultivariate(double[], double) - Constructor for class org.drip.function.rdtor1.AffineMultivariate
AffineMultivariate Constructor
AffixRequestHeaders(JSONObject) - Static method in class org.drip.service.engine.RequestResponseDecorator
Affix the Headers on the JSON Request
AffixResponseHeaders(JSONObject, JSONObject) - Static method in class org.drip.service.engine.RequestResponseDecorator
Affix the Headers on the JSON Response
afterTaxIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Basic After-Tax Income
afterTaxIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
Retrieve the Basic After-Tax Income
Agartala - Class in org.drip.sample.bondmetrics
Agartala demonstrates the Analytics Calculation/Reconciliation for the Bond Agartala.
Agartala() - Constructor for class org.drip.sample.bondmetrics.Agartala
 
AGB(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Australian Treasury AUD AGB Bond
AGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
AGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the AGB Benchmark Bond Series.
AGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.AGBBenchmarkAttribution
 
AGBReconstitutor - Class in org.drip.sample.treasuryfeed
AGBReconstitutor demonstrates the Cleansing and Re-constitution of the AGB Yield Marks obtained from Historical Yield Curve Prints.
AGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.AGBReconstitutor
 
Age - Class in org.drip.assetbacked.loan
Age contains the current Loan Age - i.e., the Months in Balance of an Asset Backed Loan
Age(double) - Constructor for class org.drip.assetbacked.loan.Age
Age Constructor
age() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Investor Age
agency() - Method in class org.drip.state.identifier.RatingLabel
Retrieve the Ratings Agency
aggregate(BucketSensitivitySettings) - Method in class org.drip.simm.product.BucketSensitivity
Weight and Adjust the Input Sensitivities
aggregate(BucketSensitivitySettingsCR) - Method in class org.drip.simm.product.BucketSensitivityCR
Generate the Bucket CR Sensitivity Margin Aggregate
aggregate(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the Bucket IR Sensitivity Margin Aggregate
aggregate(RiskClassSensitivitySettings, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskClassSensitivity
Compute the Risk Class Sensitivity Aggregate
aggregate(RiskClassSensitivitySettingsCR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskClassSensitivityCR
Compute the Risk Class Sensitivity Aggregate
aggregate(RiskClassSensitivitySettingsIR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskClassSensitivityIR
Compute the Risk Class Sensitivity Aggregate
AggregateComponentPeriods(Component[]) - Static method in class org.drip.analytics.support.Helper
Aggregate the period lists for an array of components
AggregatedSpan - Class in org.drip.spline.grid
AggregatedSpan implements the Span interface.
AggregatedSpan(List<Span>, List<Double>) - Constructor for class org.drip.spline.grid.AggregatedSpan
AggregatedSpan Constructor
AggregateTenor(String, String) - Static method in class org.drip.analytics.support.Helper
Aggregate the Base and the Roll Tenors onto a Composite Tenor
aggregator() - Method in class org.drip.xva.basel.OTCAccountingModus
Retrieve the Counter Party Group Aggregator Instance
Aggressive() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Generate the "Aggressive" Parameterization of AndersenPykhtinSokolLag
Aggressive(JulianDate, String) - Static method in class org.drip.exposure.csatimeline.EventSequence
Construct an Instance of Aggressive EventSequence
AggressiveTimeline - Class in org.drip.sample.csaevents
AggressiveTimeline describes CSA mandated Events Time-line occurring Margin Period, as enforced by an "Aggressive" Dealer.
AggressiveTimeline() - Constructor for class org.drip.sample.csaevents.AggressiveTimeline
 
AgnosticConvexLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder
Construct the Agnostic Convex Learning CoveringNumberProbabilityBound Instance
agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedR1ToL1R1Finite
 
agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
 
agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Retrieve the Agnostic Covering Number Upper/Lower Bounds for the Function Class
AgnosticLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder
Construct the Agnostic Learning CoveringNumberProbabilityBound Instance
agnosticUpperBound() - Method in class org.drip.learning.kernel.EigenFunctionRdToR1
Retrieve the Agnostic Upper Bound of the Eigen-Function
agnosticVarianceBound() - Method in class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom
 
agnosticVarianceBound() - Method in class org.drip.sequence.functional.BoundedIdempotentUnivariateRandom
Retrieve the Maximal Agnostic Variance Bound Over the Variate Range
Agra - Class in org.drip.sample.bondeos
Agra demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation fo Agra.
Agra() - Constructor for class org.drip.sample.bondeos.Agra
 
Ahmedabad - Class in org.drip.sample.bondmetrics
Ahmedabad generates the Full Suite of Replication Metrics for Bond Ahmedabad.
Ahmedabad() - Constructor for class org.drip.sample.bondmetrics.Ahmedabad
 
Ahmednagar - Class in org.drip.sample.securitysuite
Ahmednagar generates the Full Suite of Replication Metrics for Bond Ahmednagar.
Ahmednagar() - Constructor for class org.drip.sample.securitysuite.Ahmednagar
 
Aizawl - Class in org.drip.sample.bondmetrics
Aizawl demonstrates the Analytics Calculation/Reconciliation for the Bond Aizawl.
Aizawl() - Constructor for class org.drip.sample.bondmetrics.Aizawl
 
Ajmer - Class in org.drip.sample.bondmetrics
Ajmer demonstrates the Analytics Calculation/Reconciliation for the Bond Ajmer.
Ajmer() - Constructor for class org.drip.sample.bondmetrics.Ajmer
 
AkimaC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Akima C1 Array from the specified Array of Predictor Ordinates and the Response Values.
AkimaLocalC1Generator - Class in org.drip.spline.pchip
AkimaLocalC1Generator generates the local control C1 Slope using the Akima Cubic Algorithm: Akima (1970): A New Method of Interpolation and Smooth Curve Fitting based on Local Procedures, Journal of the Association for the Computing Machinery 17 (4), 589-602.
Akola - Class in org.drip.sample.bondmetrics
Akola demonstrates the Analytics Calculation/Reconciliation for the Bond Akola.
Akola() - Constructor for class org.drip.sample.bondmetrics.Akola
 
Aksu - Class in org.drip.sample.bondeos
Aksu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Aksu.
Aksu() - Constructor for class org.drip.sample.bondeos.Aksu
 
ALBANESE_ANDERSEN_METRICS_POINTER - Static variable in class org.drip.xva.settings.AdjustmentDigestScheme
Albanese Andersen Metrics Pointer Scheme
ALBANESE_ANDERSEN_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
Albanese Andersen Vertex Generator Scheme
AlbaneseAndersen - Class in org.drip.xva.vertex
AlbaneseAndersen holds the Albanese and Andersen (2014) Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group.
AlbaneseAndersen(JulianDate, double, double, double) - Constructor for class org.drip.xva.vertex.AlbaneseAndersen
AlbaneseAndersen Constructor
AlbaneseAndersenBaselProxy - Class in org.drip.sample.xvafixfloat
AlbaneseAndersenBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Albanese Andersen Vertexes.
AlbaneseAndersenBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.AlbaneseAndersenBaselProxy
 
AlbaneseAndersenFundingGroupPath - Class in org.drip.xva.strategy
AlbaneseAndersenFundingGroupPath rolls up the Path Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Groups onto a Single Funding Group in accordance with the Albanese Andersen (2014) Scheme.
AlbaneseAndersenFundingGroupPath(CreditDebtGroupPath[], MarketPath) - Constructor for class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
AlbaneseAndersenFundingGroupPath Constructor
AlbaneseAndersenNettingGroupPath - Class in org.drip.xva.strategy
AlbaneseAndersenNettingGroupPath rolls up the Path Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Groups onto a Single Netting Group in accordance with the Albanese Andersen (2014) Scheme.
AlbaneseAndersenNettingGroupPath(CollateralGroupPath[], MarketPath) - Constructor for class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
AlbaneseAndersenNettingGroupPath Constructor
AlbrecherMayerSchoutensTistaert - Class in org.drip.sample.stochasticvolatility
AlbrecherMayerSchoutensTistaert displays the Heston (1993) Price/Vol Surface across the Range of Strikes and Maturities, demonstrating the smiles and the skews.
AlbrecherMayerSchoutensTistaert() - Constructor for class org.drip.sample.stochasticvolatility.AlbrecherMayerSchoutensTistaert
 
Aligarh - Class in org.drip.sample.bondsink
Aligarh generates the Full Suite of Replication Metrics for the Sinker Bond Aligarh.
Aligarh() - Constructor for class org.drip.sample.bondsink.Aligarh
 
ALL - Static variable in class org.drip.simm.credit.SectorSystemics
The "All" Sector
ALL - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
The "All" Market Capitalization
ALL - Static variable in class org.drip.simm.equity.RegionSystemics
The "All" Region
Allahabad - Class in org.drip.sample.bondeos
Allahabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Allahabad.
Allahabad() - Constructor for class org.drip.sample.bondeos.Allahabad
 
allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
 
allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters
allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
 
allocationAdjustmentTilt() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput
Retrieve the Array of the Black Litterman Allocation Adjustment Tilts
allowCrossOver() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
Indicate if Cross Over is allowed
allowGrandFathering() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
Indicate if Grand-fathering of the "Previous" is to be performed
almgren2003() - Method in class org.drip.execution.athl.DynamicsParameters
Generate an Instance of the Almgren 2003 Dynamics Parameters
Almgren2003(ArithmeticPriceDynamicsSettings, BackgroundParticipationRateLinear, BackgroundParticipationRate) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
Almgren 2003 Version of LinearPermanentExpectationParameters Instance
Almgren2003Estimator - Class in org.drip.execution.principal
Almgren2003Estimator generates the Gross Profit Distribution and the Information Ratio for a given Level of Principal Discount for an Optimal Trajectory that is generated using the Almgren (2003) Scheme.
Almgren2003Estimator(PowerImpactContinuous, LinearPermanentExpectationParameters) - Constructor for class org.drip.execution.principal.Almgren2003Estimator
Almgren2003Estimator Constructor
AlmgrenChriss(double, double, double) - Static method in class org.drip.execution.parameters.PriceMarketImpactLinear
Construct a Standard PriceMarketImpactLinear Instance
AlmgrenChrissDiscrete - Class in org.drip.execution.optimum
AlmgrenChrissDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
AlmgrenChrissDiscrete(double[], double[], double[], double, double, double, double, double) - Constructor for class org.drip.execution.optimum.AlmgrenChrissDiscrete
AlmgrenChrissDiscrete Constructor
AlmgrenChrissDriftDiscrete - Class in org.drip.execution.optimum
AlmgrenChrissDriftDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of Non-zero Drift.
AlmgrenChrissDriftDiscrete(double[], double[], double[], double[], double[], double, double, double, double, double, double, double) - Constructor for class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
AlmgrenChrissDriftDiscrete Constructor
AlmgrenConstantTradingEnhanced - Class in org.drip.sample.execution
AlmgrenConstantTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Constant Trading Enhanced Volatility using a Numerical Optimization Technique.
AlmgrenConstantTradingEnhanced() - Constructor for class org.drip.sample.execution.AlmgrenConstantTradingEnhanced
 
AlmgrenEnhancedEulerUpdate - Class in org.drip.function.r1tor1
AlmgrenEnhancedEulerUpdate is a R^1 To R^1 Function that is used in Almgren (2009, 2012) to illustrate the Construction of the Enhanced Euler Update Scheme.
AlmgrenEnhancedEulerUpdate(double, double) - Constructor for class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
AlmgrenEnhancedEulerUpdate Constructor
AlmgrenLinearTradingEnhanced - Class in org.drip.sample.execution
AlmgrenLinearTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Linear Trading Enhanced Volatility using a Numerical Optimization Technique.
AlmgrenLinearTradingEnhanced() - Constructor for class org.drip.sample.execution.AlmgrenLinearTradingEnhanced
 
alongAwayVariate(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Compute the Along/Away "Naturally" Incremented Variates
alpha(int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Calculate the Alpha
alpha() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
Retrieve the Node's Alpha
alpha() - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
Retrieve the Asset's Alpha
alpha() - Method in class org.drip.portfolioconstruction.objective.ReturnsTerm
Retrieve the Array of Alphas
alpha0() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
Return the Constant Strike Coefficient of the Relative Measure Differential
alpha1() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
Return the Linear Strike Coefficient of the Relative Measure Differential
AlphaGroup - Class in org.drip.portfolioconstruction.composite
AlphaGroup contains the Group of Alphas for the specified Set of Assets.
AlphaGroup(String, String, String) - Constructor for class org.drip.portfolioconstruction.composite.AlphaGroup
AlphaGroup Constructor
alphaGroup() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Alpha Group Instance
alphaUncertainty() - Method in class org.drip.portfolioconstruction.objective.RobustErrorTerm
Retrieve the Alpha Uncertainty Matrix
alphaUncertaintyGroup() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Alpha Uncertainty Group Instance
AlphaUncertaintyGroup - Class in org.drip.portfolioconstruction.risk
AlphaUncertaintyGroup contains the Group of Alpha Uncertainties for the specified Group of Assets.
AlphaUncertaintyGroup(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AlphaUncertaintyGroup
AlphaUncertaintyGroup Constructor
Altay - Class in org.drip.sample.bondeos
Altay demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Altay.
Altay() - Constructor for class org.drip.sample.bondeos.Altay
 
alternateNames() - Method in class org.drip.analytics.daycount.DC1_1
 
alternateNames() - Method in class org.drip.analytics.daycount.DC28_360
 
alternateNames() - Method in class org.drip.analytics.daycount.DC30_360
 
alternateNames() - Method in class org.drip.analytics.daycount.DC30_365
 
alternateNames() - Method in class org.drip.analytics.daycount.DC30_Act
 
alternateNames() - Method in class org.drip.analytics.daycount.DC30E_360
 
alternateNames() - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
 
alternateNames() - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
 
alternateNames() - Method in class org.drip.analytics.daycount.DCAct_360
 
alternateNames() - Method in class org.drip.analytics.daycount.DCAct_364
 
alternateNames() - Method in class org.drip.analytics.daycount.DCAct_365
 
alternateNames() - Method in class org.drip.analytics.daycount.DCAct_365L
 
alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act
 
alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
 
alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act_UST
 
alternateNames() - Method in interface org.drip.analytics.daycount.DCFCalculator
Retrieves the full set of alternate names corresponding to the DCF Calculator
alternateNames() - Method in class org.drip.analytics.daycount.DCNL_360
 
alternateNames() - Method in class org.drip.analytics.daycount.DCNL_365
 
alternateNames() - Method in class org.drip.analytics.daycount.DCNL_Act
 
Alwar - Class in org.drip.sample.loan
Alwar demonstrates the Analytics Calculation/Reconciliation for the Loan Alwar.
Alwar() - Constructor for class org.drip.sample.loan.Alwar
 
Amaravati - Class in org.drip.sample.bondsink
Amaravati generates the Full Suite of Replication Metrics for the Sinker Bond Amaravati.
Amaravati() - Constructor for class org.drip.sample.bondsink.Amaravati
 
Ambattur - Class in org.drip.sample.bondmetrics
Ambattur demonstrates the Analytics Calculation/Reconciliation for the Bond Ambattur.
Ambattur() - Constructor for class org.drip.sample.bondmetrics.Ambattur
 
AmortizingBondPeriods - Class in org.drip.sample.cashflow
AmortizingBondPeriods demonstrates the Cash Flow Period Details for an Amortizing Fixed Coupon Bond.
AmortizingBondPeriods() - Constructor for class org.drip.sample.cashflow.AmortizingBondPeriods
 
AmortizingCapitalizingAccruingSwap - Class in org.drip.sample.fixfloat
AmortizingCapitalizingAccruingSwap demonstrates the construction and Valuation of in-advance Amortizing, Accruing, and Capitalizing Swaps.
AmortizingCapitalizingAccruingSwap() - Constructor for class org.drip.sample.fixfloat.AmortizingCapitalizingAccruingSwap
 
amount() - Method in class org.drip.assetbacked.borrower.MonthlyGrossIncome
Retrieve the Borrower's Monthly Gross Income
amount() - Method in class org.drip.assetbacked.loan.OriginalPrincipal
Retrieve the Original Principal Amount
amount() - Method in class org.drip.param.definition.ManifestMeasureTweak
Amount to be tweaked by
amount() - Method in class org.drip.portfolioconstruction.asset.AssetComponent
Retrieve the Asset Amount
amount() - Method in class org.drip.xva.basel.ValueAdjustment
Retrieve the Valuation Adjustment Amount
amplitude() - Method in class org.drip.spline.params.SegmentFlexurePenaltyControl
Retrieve the Roughness Curvature Penalty Amplitude
Amritsar - Class in org.drip.sample.bondeos
Amritsar demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Amritsar.
Amritsar() - Constructor for class org.drip.sample.bondeos.Amritsar
 
anchorDate() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Date Anchor
anchorDates() - Method in class org.drip.exposure.universe.MarketPath
Retrieve the Array of the Vertex Anchor Dates
AndersenPiterbargMeanReverter - Class in org.drip.function.r1tor1
AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in: - Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.
AndersenPiterbargMeanReverter(ExponentialDecay, R1ToR1) - Constructor for class org.drip.function.r1tor1.AndersenPiterbargMeanReverter
AndersenPiterbargMeanReverter constructor
AndersenPykhtinSokolDates - Class in org.drip.sample.csaevents
AndersenPykhtinSokolDates generates the Intra-Period Dates inside a Margin.
AndersenPykhtinSokolDates() - Constructor for class org.drip.sample.csaevents.AndersenPykhtinSokolDates
 
AndersenPykhtinSokolEnsemble - Class in org.drip.exposure.regressiontrade
AndersenPykhtinSokolEnsemble adjusts the Variation Margin, computes Path-wise Local Volatility, and eventually estimates the Path-wise Unadjusted Variation Margin across the Suite of Simulated Paths.
AndersenPykhtinSokolEnsemble(VariationMarginTradePaymentVertex, MarketPath[], int[]) - Constructor for class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
AndersenPykhtinSokolEnsemble Constructor
AndersenPykhtinSokolLag - Class in org.drip.exposure.csatimeline
AndersenPykhtinSokolLag holds the Client/Dealer Margin Flow and Trade Flow Lags using the Parameterization laid out in Andersen, Pykhtin, and Sokol (2017).
AndersenPykhtinSokolLag(int, int, int, int) - Constructor for class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
AndersenPykhtinSokolLag Constructor
andersenPykhtinSokolPath(int[]) - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
Generate the Path-wise Andersen Pykhtin Sokol (2017) Variation Margin Estimates on the Exposure Dates
AndersenPykhtinSokolPath - Class in org.drip.exposure.regressiontrade
AndersenPykhtinSokolPath holds the holds the Sparse Path Adjusted/Unadjusted Exposures along with Dense Trade Payments.
AndersenPykhtinSokolPath(TradePayment[]) - Constructor for class org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
AndersenPykhtinSokolPath Constructor
AndersenPykhtinSokolSegment - Class in org.drip.exposure.regression
AndersenPykhtinSokolSegment generates the Segment Regression Based Exposures off of the corresponding Pillar Vertexes using the Pykhtin (2009) Scheme with the Andersen, Pykhtin, and Sokol (2017) Adjustments applied.
AndersenPykhtinSokolSegment(int, PillarVertex, PillarVertex, R1ToR1) - Constructor for class org.drip.exposure.regression.AndersenPykhtinSokolSegment
AndersenPykhtinSokolSegment Constructor
AndersenPykhtinSokolStretch - Class in org.drip.exposure.regression
AndersenPykhtinSokolStretch generates the Regression Based Path Exposures off of the Pillar Vertexes using the Pykhtin (2009) Scheme.
AndersenPykhtinSokolStretch(int[], double[], R1ToR1[], TradePayment[]) - Constructor for class org.drip.exposure.regression.AndersenPykhtinSokolStretch
AndersenPykhtinSokolStretch Constructor
AndersenPykhtinSokolTrajectory - Class in org.drip.exposure.regressiontrade
AndersenPykhtinSokolTrajectory holds the per-Path Variation Margin Trajectory and theTrade Flow Array.
AndersenPykhtinSokolTrajectory(Map<Integer, Double>, TradePayment[]) - Constructor for class org.drip.exposure.regressiontrade.AndersenPykhtinSokolTrajectory
AndersenPykhtinSokolTrajectory Constructor
ANGHoliday - Class in org.drip.analytics.holset
 
ANGHoliday() - Constructor for class org.drip.analytics.holset.ANGHoliday
 
annuity() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal Annuity in the Pay Currency
Anqing - Class in org.drip.sample.bondeos
Anqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Anqing.
Anqing() - Constructor for class org.drip.sample.bondeos.Anqing
 
Anshan - Class in org.drip.sample.bondeos
Anshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Anshan.
Anshan() - Constructor for class org.drip.sample.bondeos.Anshan
 
anterior() - Method in class org.drip.analytics.daycount.DateEOMAdjustment
Retrieve the Anterior Date Adjustment
antitheticMultiPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Generate Antithetic Multi-Path R^d Vertex Realizations Array
antitheticPairPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Generate an Antithetic Pair Path R^d Vertex Realizations
antitheticVertexPairRealization() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Generate an Antithetic R^d Vertex Pair Realization
Anyang - Class in org.drip.sample.bondeos
Anyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Anyang.
Anyang() - Constructor for class org.drip.sample.bondeos.Anyang
 
AppendSegment(MultiSegmentSequence, double, SegmentResponseValueConstraint, SegmentCustomBuilderControl, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
Append a Segment to the Right of the Specified Stretch using the Supplied Constraint
AppendWengert(List<WengertJacobian>) - Static method in class org.drip.quant.common.CollectionUtil
Append the Wengert Jacobians inside the list onto one single composite
APPLY_BACKWARD - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker
APPLY_BACKWARD - Decrement Rotation Count
APPLY_FORWARD - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker
APPLY_FORWARD - Increment Rotation Count
APPLY_NONE - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker
APPLY_NONE - Do not Apply Rotation Count
applyAntithetic() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Indicate if the Antithetic Variable Generation is to be applied
applyFlatForwardRate() - Method in class org.drip.param.valuation.ValuationCustomizationParams
Indicate if Forward Rate is to be Projected using its Current Value
ApplyMonotoneFilter(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Apply the Monotone Filter in the Input C1 Entry
applyMonotoneFilter() - Method in class org.drip.state.estimator.LocalControlCurveParams
Retrieve the Apply Monotone Filter Flag
applySpread() - Method in class org.drip.market.otc.CrossFloatStreamConvention
Retrieve the "Apply Spread" Flag
applyYieldEOMAdj() - Method in class org.drip.param.valuation.ValuationCustomizationParams
Indicate if EOM Adjustment is to be made for the Yield Calculation
ApproximateLipschitzLossLearner - Class in org.drip.learning.rxtor1
ApproximateLipschitzLossLearner implements the Learner Class that holds the Space of Normed R^d To Normed R^1 Learning Functions for the Family of Loss Functions that are "approximately" Lipschitz, i.e., loss (ep) - loss (ep') Less Than max (C * |ep-ep'|, C') The References are: 1) Alon, N., S.
ApproximateLipschitzLossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, double, double) - Constructor for class org.drip.learning.rxtor1.ApproximateLipschitzLossLearner
ApproximateLipschitzLossLearner Constructor
APRIL - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - April
aps2017Designation() - Method in class org.drip.exposure.csatimeline.EventDate
Retrieve the Andersen Pykhtin Sokol (2017) CSA Event Designation
ARAHoliday - Class in org.drip.analytics.holset
 
ARAHoliday() - Constructor for class org.drip.analytics.holset.ARAHoliday
 
ARFHoliday - Class in org.drip.analytics.holset
 
ARFHoliday() - Constructor for class org.drip.analytics.holset.ARFHoliday
 
argument() - Method in class org.drip.quant.fourier.ComplexNumber
Retrieve the Argument
arithmeticPriceDynamicsSettings() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
Retrieve the Arithmetic Price Dynamics Settings Instance
ArithmeticPriceDynamicsSettings - Class in org.drip.execution.parameters
ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
ArithmeticPriceDynamicsSettings(double, R1ToR1, double) - Constructor for class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
ArithmeticPriceDynamicsSettings Constructor
ArithmeticPriceEvolutionParameters - Class in org.drip.execution.dynamics
ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.
ArithmeticPriceEvolutionParameters(ArithmeticPriceDynamicsSettings, BackgroundParticipationRate, BackgroundParticipationRate, BackgroundParticipationRate, BackgroundParticipationRate) - Constructor for class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
ArithmeticPriceEvolutionParameters Constructor
ArithmeticPriceEvolutionParametersBuilder - Class in org.drip.execution.dynamics
ArithmeticPriceEvolutionParametersBuilder constructs a variety of Arithmetic Price Evolution Parameters.
ArithmeticPriceEvolutionParametersBuilder() - Constructor for class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
 
ArmijoEvolutionMetrics - Class in org.drip.sample.descentverifier
ArmijoEvolutionMetrics demonstrates the Impact of applying the Armijo Criterion on the Evolution of the R^d Fixed Point of a Constrained Minimization Search.
ArmijoEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.ArmijoEvolutionMetrics
 
ArmijoEvolutionVerifier - Class in org.drip.function.rdtor1descent
ArmijoEvolutionVerifier implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Function has reduced sufficiently.
ArmijoEvolutionVerifier(double, boolean) - Constructor for class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
ArmijoEvolutionVerifier Constructor
ArmijoEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
ArmijoEvolutionVerifierMetrics implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Function has reduced sufficiently.
ArmijoEvolutionVerifierMetrics(double, boolean, UnitVector, double[], double, double, double, double[]) - Constructor for class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
ArmijoEvolutionVerifierMetrics Constructor
armijoParameter() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
Retrieve the Armijo Parameter
armijoParameter() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
Retrieve the Armijo Parameter
armijoParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
Retrieve the Armijo Parameter
armijoParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Retrieve the Armijo Parameter
ARNHoliday - Class in org.drip.analytics.holset
 
ARNHoliday() - Constructor for class org.drip.analytics.holset.ARNHoliday
 
ARPHoliday - Class in org.drip.analytics.holset
 
ARPHoliday() - Constructor for class org.drip.analytics.holset.ARPHoliday
 
Array(String[]) - Static method in class org.drip.json.parser.Converter
Construct a JSON Array out of the String Array
Array(int[]) - Static method in class org.drip.json.parser.Converter
Construct a JSON Array out of the Integer Array
Array(double[]) - Static method in class org.drip.json.parser.Converter
Construct a JSON Array out of the Double Array
Array(double[][]) - Static method in class org.drip.json.parser.Converter
Construct a JSON 2D Array out of the 2D Double Array
Array(boolean[]) - Static method in class org.drip.json.parser.Converter
Construct a JSON Array out of the Boolean Array
Array(JulianDate[]) - Static method in class org.drip.json.parser.Converter
Construct a JSON Array out of the JulianDate Array
array() - Method in class org.drip.spaces.big.BigR1Array
Retrieve the Array Contents
Array2D - Class in org.drip.quant.common
Array2D the contains array of x and y.
ARSHoliday - Class in org.drip.analytics.holset
 
ARSHoliday() - Constructor for class org.drip.analytics.holset.ARSHoliday
 
Asansol - Class in org.drip.sample.bondmetrics
Asansol demonstrates the Analytics Calculation/Reconciliation for the Bond Asansol.
Asansol() - Constructor for class org.drip.sample.bondmetrics.Asansol
 
ascendingNodeArray(double[], int) - Method in class org.drip.spaces.big.BinaryTree
Build a Consolidated Ascending Array of all the Constituent Nodes
ascendingNodeList(List<Double>) - Method in class org.drip.spaces.big.BinaryTree
Build a Consolidated Ascending List of all the Constituent Nodes
ascendingNodeList() - Method in class org.drip.spaces.big.BinaryTree
Build a Consolidated Ascending List of all the Constituent Nodes
asp(String) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Retrieve the ASP Instance corresponding to the specified ID
Asset - Class in org.drip.portfolioconstruction.core
Asset holds the Details of a given Asset.
Asset(String, String, String, String, String) - Constructor for class org.drip.portfolioconstruction.core.Asset
Asset Constructor
ASSET - Static variable in class org.drip.portfolioconstruction.optimizer.Scope
Applicable Scope Level - ASSET
asset() - Method in class org.drip.xva.basel.BalanceSheetVertex
Retrieve the Asset Account
asset() - Method in class org.drip.xva.definition.SimpleBalanceSheet
Retrieve the Balance Sheet Asset
asset() - Method in class org.drip.xva.pde.ParabolicDifferentialOperator
Retrieve the Tradeable Position
assetAccumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
Retrieve the Incremental Amount added to the Cash Account coming from the Asset
AssetBounds - Class in org.drip.portfolioconstruction.asset
AssetBounds holds the Upper/Lower Bounds on an Asset.
AssetBounds(double, double) - Constructor for class org.drip.portfolioconstruction.asset.AssetBounds
AssetBounds Constructor
AssetComponent - Class in org.drip.portfolioconstruction.asset
AssetComponent holds the Amount of an Asset given by the corresponding ID.
AssetComponent(String, double) - Constructor for class org.drip.portfolioconstruction.asset.AssetComponent
AssetComponent Constructor
assetCovariance() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTerm
Retrieve the Asset Co-variance
assetCovariance() - Method in class org.drip.portfolioconstruction.objective.RiskTerm
Retrieve the Asset Co-variance Matrix
assetCovariance() - Method in class org.drip.portfolioconstruction.objective.RobustErrorTerm
Retrieve the Asset Co-variance Matrix
AssetCovariance - Interface in org.drip.portfolioconstruction.risk
AssetCovariance contains the Abstract Joint Co-variance (Dense/Factor) for the Pair of the Set of Assets.
AssetCovarianceDense - Class in org.drip.portfolioconstruction.risk
AssetCovarianceDense contains the Joint Dense Covariance for the Pair of the Set of Assets.
AssetCovarianceDense(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AssetCovarianceDense
AssetCovarianceDense Constructor
AssetCovarianceFactor - Class in org.drip.portfolioconstruction.risk
AssetCovarianceFactor contains the Joint Factor Covariance for the Pair of the Set of Assets.
AssetCovarianceFactor(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AssetCovarianceFactor
AssetCovarianceFactor Constructor
assetExcessReturnsCovariance() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
Retrieve the Excess Returns Co-variance Matrix between each Pair-wise Asset
assetFactorLoading() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Joint Asset-Factor Loading Map
assetFactorLoading(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Factor Loading for the specified Asset
assetFlowParameters() - Method in class org.drip.execution.athl.DynamicsParameters
Retrieve the Asset Flow Parameters Instance
assetFlowParameters() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
Retrieve the Asset Flow Parameters
assetFlowParameters() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
Retrieve the Asset Flow Parameters
assetFlowParameters() - Method in class org.drip.execution.athl.TemporaryImpact
Retrieve the Asset Flow Parameters
AssetFlowSettings - Class in org.drip.execution.parameters
AssetFlowSettings contains the Asset's Market Flow Parameters that are determined empirically from Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
AssetFlowSettings(String, double, double, double) - Constructor for class org.drip.execution.parameters.AssetFlowSettings
AssetFlowSettings Constructor
assetID() - Method in class org.drip.execution.parameters.AssetFlowSettings
Retrieve the Asset ID
assetList() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
Retrieve the Asset Primary Security List
assets() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
Retrieve the Asset ID Array
assets() - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Array of the Asset Components
assets() - Method in class org.drip.portfolioconstruction.composite.Holdings
Retrieve the Set of Asset IDs
AssetSecurityCharacteristicLine - Class in org.drip.portfolioconstruction.mpt
AssetSecurityCharacteristicLine holds the Asset's Alpha and Beta from which the Asset's Excess Returns over the Risk-Free Rate are estimated.
AssetSecurityCharacteristicLine(double, double) - Constructor for class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
AssetSecurityCharacteristicLine Constructor
assetSpaceLoading() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
Retrieve the Matrix of Asset To-From Projection Portfolio Pick Weights
AssetSpaceProjectionCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Asset Space Projection Co-variance
assetSpecificAttribute(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Asset Specific Attribute
AssetStatisticalProperties - Class in org.drip.portfolioconstruction.params
AssetStatisticalProperties holds the Statistical Properties of a given Asset.
AssetStatisticalProperties(String, String, double, double) - Constructor for class org.drip.portfolioconstruction.params.AssetStatisticalProperties
AssetStatisticalProperties Constructor
AssetTransactionSettings - Class in org.drip.execution.parameters
ArithmeticLinearMarketImpact contains the Arithmetic Linear Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
AssetTransactionSettings(double, double, double) - Constructor for class org.drip.execution.parameters.AssetTransactionSettings
AssetTransactionSettings Constructor
AssetUniverseStatisticalProperties - Class in org.drip.portfolioconstruction.params
AssetUniverseStatisticalProperties holds the Statistical Properties of a Pool of Assets.
AssetUniverseStatisticalProperties(double) - Constructor for class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
AssetUniverseStatisticalProperties Constructor
association() - Method in class org.drip.state.identifier.CSALabel
Retrieve the CSA Specification Association/Organization
asw() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Asset Swap Spread
aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Bond Basis to Work-out
aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Bond Basis to Maturity
aswFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Bond Basis to Optimal Exercise
aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Credit Basis to Work-out
aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Credit Basis to Maturity
aswFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Credit Basis to Optimal Exercise
aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Discount Margin to Work-out
aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Discount Margin to Maturity
aswFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Discount Margin to Optimal Exercise
aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from E Spread to Work-out
aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from E Spread to Maturity
aswFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from E Spread to Optimal Exercise
aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from G Spread to Work-out
aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from G Spread to Maturity
aswFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from G Spread to Optimal Exercise
aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from I Spread to Work-out
aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from I Spread to Maturity
aswFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from I Spread to Optimal Exercise
aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from J Spread to Work-out
aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from J Spread to Maturity
aswFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from J Spread to Optimal Exercise
aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from N Spread to Work-out
aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from N Spread to Maturity
aswFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from JN Spread to Optimal Exercise
aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from OAS to Work-out
aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from OAS to Maturity
aswFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from OAS to Optimal Exercise
aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from PECS to Work-out
aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from PECS to Maturity
aswFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from PECS to Optimal Exercise
aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Price to Work-out
aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Price to Maturity
aswFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Price to Optimal Exercise
aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from TSY Spread to Work-out
aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from TSY Spread to Maturity
aswFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from TSY Spread to Optimal Exercise
aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Yield to Work-out
aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Yield to Maturity
aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Yield Spread to Work-out
aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Yield Spread to Maturity
aswFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Yield Spread to Optimal Exercise
aswFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Yield to Optimal Exercise
aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Z Spread to Work-out
aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Z Spread to Maturity
aswFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
aswFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate ASW from Z Spread to Optimal Exercise
asymptoticEnhancedEulerCorrection() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
Retrieve the Asymptotic Enhanced Euler Correction Application Flag
asymptoticEulerUrgencyThreshold() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
Retrieve the Asymptotic Euler Urgency Threshold
atmForwardRate() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve the ATM Forward Rate
atmPriceFromVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
Compute the ATM Cap/Floor Price from the Flat Volatility
ATMTermStructureSpline - Class in org.drip.sample.option
ATMTermStructureSpline contains an illustration of the Calibration and Extraction of the Deterministic ATM Price and Volatility Term Structures using Custom Splines.
ATMTermStructureSpline() - Constructor for class org.drip.sample.option.ATMTermStructureSpline
 
ATMTTESurface2D - Class in org.drip.sample.stretch
ATMTTESurface2D demonstrates the Surface 2D ATM/TTE (X/Y) Stretch Construction and usage API.
ATMTTESurface2D() - Constructor for class org.drip.sample.stretch.ATMTTESurface2D
 
ats() - Method in class org.drip.execution.parameters.PriceMarketImpact
Retrieve the AssetTransactionSettings Instance
ATSHoliday - Class in org.drip.analytics.holset
 
ATSHoliday() - Constructor for class org.drip.analytics.holset.ATSHoliday
 
attribute() - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
Retrieve the Map of Asset Attributes
attribute(String, String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointDense
Retrieve the Pair Attribute
attribute() - Method in class org.drip.portfolioconstruction.risk.AttributeJointDense
Retrieve the Map of Asset Attributes
AttributeJointDense - Class in org.drip.portfolioconstruction.risk
AttributeJointDense contains the Joint Dense Attributes for the Pair of the Set of Assets.
AttributeJointDense(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AttributeJointDense
AttributeJointDense Constructor
AttributeJointFactor - Class in org.drip.portfolioconstruction.risk
AttributeJointFactor contains the Factor Based Loadings that determines the Joint Attributes between the Pair of Assets.
AttributeJointFactor(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AttributeJointFactor
AttributeJointFactor Constructor
AUD - Class in org.drip.template.irs
AUD contains a Templated Pricing of the OTC Fix-Float AUD IRS Instrument.
AUD() - Constructor for class org.drip.template.irs.AUD
 
AUDBBSW3M - Class in org.drip.template.forwardratefutures
AUDBBSW3M contains a Templated Pricing of the LIBOR 3M AUD Futures Instrument.
AUDBBSW3M() - Constructor for class org.drip.template.forwardratefutures.AUDBBSW3M
 
AUDHoliday - Class in org.drip.analytics.holset
 
AUDHoliday() - Constructor for class org.drip.analytics.holset.AUDHoliday
 
AUDIRSAttribution - Class in org.drip.sample.fixfloatpnl
AUDIRSAttribution generates the Historical PnL Attribution for AUD IRS.
AUDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.AUDIRSAttribution
 
AUDOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
AUDOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the AUD Input OIS Marks.
AUDOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.AUDOISSmoothReconstitutor
 
AUDShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
AUDShapePreserving1YForward Generates the Historical AUD Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
AUDShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.AUDShapePreserving1YForward
 
AUDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
AUDShapePreserving1YStart Generates the Historical AUD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
AUDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.AUDShapePreserving1YStart
 
AUDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
AUDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the AUD Input Marks.
AUDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.AUDShapePreservingReconstitutor
 
AUDSmooth1MForward - Class in org.drip.sample.overnighthistorical
AUDSmooth1MForward Generates the Historical AUD Smoothened Overnight Curve Native 1M Compounded Forward Rate.
AUDSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.AUDSmooth1MForward
 
AUDSmooth1YForward - Class in org.drip.sample.fundinghistorical
AUDSmooth1YForward Generates the Historical AUD Smoothened Funding Curve Native 1Y Compounded Forward Rate.
AUDSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.AUDSmooth1YForward
 
AUDSmoothReconstitutor - Class in org.drip.sample.fundingfeed
AUDSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the AUD Input Marks.
AUDSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.AUDSmoothReconstitutor
 
AUGUST - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - August
Aurangabad - Class in org.drip.sample.bondeos
Aurangabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Aurangabad.
Aurangabad() - Constructor for class org.drip.sample.bondeos.Aurangabad
 
Avadi - Class in org.drip.sample.loan
Avadi demonstrates the Analytics Calculation/Reconciliation for the Loan Avadi.
Avadi() - Constructor for class org.drip.sample.loan.Avadi
 
available(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Indicates the Availability of the Fixing for the Specified LSL Label on the specified Date
available(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Indicates the Availability of the Fixing for the Specified LSL Label on the specified Date
available(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Indicate the Availability of the Fixing for the Specified LSL Label on the specified Date
available(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Indicate the Availability of the Fixing for the Specified LSL on the specified Date
AvailableDC() - Static method in class org.drip.analytics.daycount.Convention
Get all available DRIP day count conventions
availableMeasures() - Method in class org.drip.product.rates.Stream
Retrieve the set of the implemented measures
average() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
Retrieve the Sequence Average
averageDailyVolume() - Method in class org.drip.execution.parameters.AssetFlowSettings
Retrieve the Average Daily Volume
AZMHoliday - Class in org.drip.analytics.holset
 
AZMHoliday() - Constructor for class org.drip.analytics.holset.AZMHoliday
 

B

b() - Method in class org.drip.dynamics.hjm.G2PlusPlus
Retrieve B
b() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve B
b() - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
Retrieve the "B" Parameter
B() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
Return "B"
b() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
Retrieve B
BA1Attribution - Class in org.drip.sample.forwardratefuturespnl
BA1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the BA1 Series.
BA1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.BA1Attribution
 
BA1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
BA1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted BA1 Closes Feed.
BA1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.BA1ClosesReconstitutor
 
BackgroundParticipationRate - Interface in org.drip.execution.profiletime
BackgroundParticipationRate exposes the Background Profile Adjusted Version of the Participation Rate Transaction Function as described in the "Trading Time" Model.
BackgroundParticipationRateLinear - Interface in org.drip.execution.profiletime
BackgroundParticipationRateLinear exposes the Background Profile Adjusted Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model.
backgroundVolume() - Method in class org.drip.execution.parameters.AssetTransactionSettings
Retrieve the Background Volume
BackwardEdgeDates(JulianDate, JulianDate, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of period edge dates backward from the end.
BackwardEdgeDates(int, int, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of period edge dates backward from the end.
BAKHoliday - Class in org.drip.analytics.holset
 
BAKHoliday() - Constructor for class org.drip.analytics.holset.BAKHoliday
 
BalanceSheetEdge - Class in org.drip.xva.basel
BalanceSheetEdge implements the Balance Sheet Edge Component of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
BalanceSheetEdge(BalanceSheetVertex, BalanceSheetVertex) - Constructor for class org.drip.xva.basel.BalanceSheetEdge
BalanceSheetEdge Constructor
BalanceSheetVertex - Class in org.drip.xva.basel
BalanceSheetVertex implements the Balance Sheet Vertex Component of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
BalanceSheetVertex(double, double, double, double, double, double) - Constructor for class org.drip.xva.basel.BalanceSheetVertex
BalanceSheetVertex Constructor
Bally - Class in org.drip.sample.bondmetrics
Bally generates the Full Suite of Replication Metrics for Bond Bally.
Bally() - Constructor for class org.drip.sample.bondmetrics.Bally
 
Baoding - Class in org.drip.sample.bondeos
Baoding demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Baoding.
Baoding() - Constructor for class org.drip.sample.bondeos.Baoding
 
Baoji - Class in org.drip.sample.bondeos
Baoji demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Baoji.
Baoji() - Constructor for class org.drip.sample.bondeos.Baoji
 
Baotou - Class in org.drip.sample.bondeos
Baotou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Baotou.
Baotou() - Constructor for class org.drip.sample.bondeos.Baotou
 
Bardhaman - Class in org.drip.sample.loan
Bardhaman demonstrates the Analytics Calculation/Reconciliation for the Loan Bardhaman.
Bardhaman() - Constructor for class org.drip.sample.loan.Bardhaman
 
Bareilly - Class in org.drip.sample.bondfixed
Bareilly demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Bareilly.
Bareilly() - Constructor for class org.drip.sample.bondfixed.Bareilly
 
BarrierFixedPointFinder - Class in org.drip.function.rdtor1solver
BarrierFixedPointFinder invokes the Iterative Finders for locating the Fixed Point for R^d To R^1 Convex/Non-Convex Functions Under Inequality Constraints using Barrier Sequences of decaying Strengths.
BarrierFixedPointFinder(RdToR1, RdToR1[], InteriorPointBarrierControl, LineStepEvolutionControl) - Constructor for class org.drip.function.rdtor1solver.BarrierFixedPointFinder
BarrierFixedPointFinder Constructor
barrierStrength() - Method in class org.drip.function.rdtor1solver.InteriorFixedPointFinder
Retrieve the Barrier Strength
Base - Class in org.drip.analytics.eventday
Base is an abstraction around holiday and description.
Base(String) - Constructor for class org.drip.analytics.eventday.Base
Constructs the Base instance from the description
base() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the base credit curve
base() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
Return the base Discount Curve
base() - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
Retrieve the base SRVC Instance
BASE_CORRELATION_CORRELATION - Static variable in class org.drip.simm.credit.CRQSystemics20
Base Correlation - Correlation across Index Families
BASE_CORRELATION_CORRELATION - Static variable in class org.drip.simm.credit.CRQSystemics21
Base Correlation - Correlation across Index Families
BASE_CORRELATION_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics20
Base Correlation - Risk Weight
BASE_CORRELATION_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics21
Base Correlation - Risk Weight
BASE_DIAGONAL_ENTROPY_ASYMPTOTE_EXPONENT - Static variable in class org.drip.learning.bound.DiagonalOperatorCoveringBound
Asymptote on the Base Diagonal Operator Entropy Number
baseCalculationType() - Method in class org.drip.analytics.daycount.DC1_1
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DC28_360
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_360
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_365
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_Act
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DC30E_360
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_360
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_364
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_365
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_365L
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act_UST
 
baseCalculationType() - Method in interface org.drip.analytics.daycount.DCFCalculator
Retrieves the base calculation type corresponding to the DCF Calculator
baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_360
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_365
 
baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_Act
 
Basel(double) - Static method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
Construct a Basel Instance of the StandardizedExposureGeneratorScheme
BASEL_STANDARD_TIME_INTEGRAND - Static variable in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
Basel Standard Time Integrand
BaselExposureDigest - Class in org.drip.xva.gross
BaselExposureDigest holds the Conservative Exposure Measures generated using the Standardized Basel Approach.
BaselExposureDigest(double, double, double, double, double) - Constructor for class org.drip.xva.gross.BaselExposureDigest
BaselExposureDigest Constructor
baselExposureDigest(StandardizedExposureGeneratorScheme) - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Generate the Basel Exposure Digest
baselineSwapRate() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Baseline Swap Rate
baseMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Base Measure Map
baseNotional() - Method in class org.drip.analytics.cashflow.Bullet
Get the Base Notional
baseNotional() - Method in class org.drip.analytics.cashflow.CompositePeriod
Get the Period Base Notional
baseNotional() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Base Notional
baseRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
 
baseRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
Retrieve the Reference Rate for the Floating Period
baseRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Get the Period Base Coupon Rate
baseRate() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
Get the Period Base Coupon Rate
BaseTsyBmk(int, int) - Static method in class org.drip.analytics.support.Helper
Return the standard on-the-run benchmark treasury string from the valuation and the maturity dates
BASIC_MATERIALS - Static variable in class org.drip.simm.credit.SectorSystemics
The Basic Materials Sector
basicConsumption() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Investor Basic Consumption
basicConsumption() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
Retrieve the Investor's Basic Consumption Settings
basicConsumptionDF(double) - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Basic Consumption Discount Factor
basicConsumptionDF() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Investor Basic Consumption Discount Factor
basicConsumptionPV() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
Retrieve the PV of the Basic Consumption
basicConsumptionRate() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Basic Consumption Discount Rate
basicConsumptionSpread() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Basic Consumption Spread
basis() - Method in class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
 
basis() - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
 
basis() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Get the Period Coupon Basis
basis() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Period Basis
basis() - Method in class org.drip.param.period.ComposableFixedUnitSetting
Retrieve the Fixed Coupon Basis
basis() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
Get the Period Coupon Basis
basis() - Method in class org.drip.product.calib.StreamQuoteSet
Retrieve the Basis
basis() - Method in class org.drip.product.rates.Stream
Retrieve the Stream Coupon Basis
basis(JulianDate) - Method in class org.drip.state.basis.BasisCurve
 
basis(String) - Method in class org.drip.state.basis.BasisCurve
 
basis(int) - Method in interface org.drip.state.basis.BasisEstimator
Calculate the Basis to the given Date
basis(JulianDate) - Method in interface org.drip.state.basis.BasisEstimator
Calculate the Basis to the given Date
basis(String) - Method in interface org.drip.state.basis.BasisEstimator
Calculate the Basis to the given Tenor
basis() - Method in class org.drip.state.csa.MultilateralBasisCurve
Retrieve the Basis to the Overnight Curve
basis(int) - Method in class org.drip.state.curve.BasisSplineBasisCurve
 
BASIS_SPLINE_BERNSTEIN_POLYNOMIAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Bernstein Polynomial Spline
BASIS_SPLINE_EXPONENTIAL_MIXTURE - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Exponential Mixture Basis Spline
BASIS_SPLINE_EXPONENTIAL_RATIONAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Exponential Rational Basis Spline
BASIS_SPLINE_EXPONENTIAL_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Exponential Tension Spline
BASIS_SPLINE_HYPERBOLIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Hyperbolic Tension Spline
BASIS_SPLINE_KAKLIS_PANDELIS - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Kaklis Pandelis Spline
BASIS_SPLINE_KLK_EXPONENTIAL_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Koch-Lyche-Kvasov Exponential Tension Spline
BASIS_SPLINE_KLK_HYPERBOLIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Koch-Lyche-Kvasov Hyperbolic Tension Spline
BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Koch-Lyche-Kvasov Rational Linear Tension Spline
BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Koch-Lyche-Kvasov Rational Quadratic Tension Spline
BASIS_SPLINE_POLYNOMIAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Polynomial Spline
basisBestFitPenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
Compute the Best Fit Cross-Product Penalty for the given Basis Pair
BasisBSplineSet - Class in org.drip.sample.spline
BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions.
BasisBSplineSet() - Constructor for class org.drip.sample.spline.BasisBSplineSet
 
BasisCurve - Class in org.drip.state.basis
BasisCurve is the Stub for the Basis between a Pair of Forward Curves.
BasisCurve(int, ForwardLabel, ForwardLabel, boolean) - Constructor for class org.drip.state.basis.BasisCurve
 
BasisEstimator - Interface in org.drip.state.basis
BasisEstimator is the interface that exposes the calculation of the Basis between any two latent states.
basisEvaluator() - Method in class org.drip.spline.params.PreceedingManifestSensitivityControl
Retrieve the Basis Evaluator Instance
BasisEvaluator - Interface in org.drip.spline.segment
This Interface implements the Segment's Basis Evaluator Functions.
basisEvaluator() - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Basis Evaluator
BasisHatPairGenerator - Class in org.drip.spline.bspline
BasisHatPairGenerator implements the generation functionality behind the hat basis function pair.
BasisHatPairGenerator() - Constructor for class org.drip.spline.bspline.BasisHatPairGenerator
 
BasisHatShapeControl - Class in org.drip.spline.bspline
BasisHatShapeControl implements the shape control function for the hat basis set as laid out in the framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
BasisHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.BasisHatShapeControl
BasisHatShapeControl constructor
BasisMonicBSpline - Class in org.drip.sample.spline
BasisMonicBSpline implements Samples for the Construction and the usage of various monic basis B Splines.
BasisMonicBSpline() - Constructor for class org.drip.sample.spline.BasisMonicBSpline
 
BasisMonicHatComparison - Class in org.drip.sample.spline
BasisMonicBSpline implements the comparison of the basis hat functions used in the construction of the monic basis B Splines.
BasisMonicHatComparison() - Constructor for class org.drip.sample.spline.BasisMonicHatComparison
 
BasisMulticBSpline - Class in org.drip.sample.spline
BasisMulticBSpline implements Samples for the Construction and the usage of various multic basis B Splines.
BasisMulticBSpline() - Constructor for class org.drip.sample.spline.BasisMulticBSpline
 
basisOnDerivedComponent() - Method in class org.drip.market.otc.FloatFloatSwapConvention
Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Component
basisOnDerivedStream() - Method in class org.drip.market.otc.FloatFloatSwapConvention
Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Stream
basisPairConstraintCoefficient(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties
basisPairCurvaturePenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
Compute the Cross-Curvature Penalty for the given Basis Pair
basisPairLengthPenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
Compute the Cross-Length Penalty for the given Basis Pair
basisPairPenaltyConstraint(int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
Compute the Penalty Constraint for the Basis Pair
basisQuote(ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositeFixedPeriod
 
basisQuote(ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositeFloatingPeriod
 
basisQuote(ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Period Calibration Basis Quote from the specified product quote set
basisSetParams() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
Retrieve the Basis Set Parameters
basisSpline() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
Retrieve the Basis Spline Name
BasisSplineBasisCurve - Class in org.drip.state.curve
BasisSplineBasisCurve manages the Basis Latent State, using the Basis as the State Response Representation.
BasisSplineBasisCurve(ForwardLabel, ForwardLabel, boolean, Span) - Constructor for class org.drip.state.curve.BasisSplineBasisCurve
BasisSplineBasisCurve constructor
BasisSplineDeterministicVolatility - Class in org.drip.state.curve
BasisSplineDeterministicVolatility extends the BasisSplineTermStructure for the specific case of the Implementation of the Deterministic Volatility Term Structure.
BasisSplineDeterministicVolatility(int, CustomLabel, String, Span) - Constructor for class org.drip.state.curve.BasisSplineDeterministicVolatility
BasisSplineDeterministicVolatility Constructor
BasisSplineForwardRate - Class in org.drip.state.curve
BasisSplineForwardRate manages the Forward Latent State, using the Forward Rate as the State Response Representation.
BasisSplineForwardRate(ForwardLabel, OverlappingStretchSpan) - Constructor for class org.drip.state.curve.BasisSplineForwardRate
BasisSplineForwardRate constructor
BasisSplineFXForward - Class in org.drip.state.curve
BasisSplineFXForward manages the Basis Latent State, using the Basis as the State Response Representation.
BasisSplineFXForward(CurrencyPair, Span) - Constructor for class org.drip.state.curve.BasisSplineFXForward
BasisSplineFXForward constructor
BasisSplineGovvieYield - Class in org.drip.state.curve
BasisSplineGovvieYield manages the Basis Spline Latent State, using the Basis as the State Response Representation, for the Govvie Curve with Yield Quantification Metric.
BasisSplineGovvieYield(String, String, Span) - Constructor for class org.drip.state.curve.BasisSplineGovvieYield
BasisSplineGovvieYield Constructor
BasisSplineMarketSurface - Class in org.drip.state.curve
BasisSplineMarketSurface implements the Market surface that holds the latent state's Dynamics parameters.
BasisSplineMarketSurface(int, CustomLabel, String, WireSurfaceStretch) - Constructor for class org.drip.state.curve.BasisSplineMarketSurface
BasisSplineMarketSurface Constructor
BasisSplineRegressionEngine - Class in org.drip.regression.spline
BasisSplineRegressionEngine implements the RegressionEngine class for the basis spline functionality.
BasisSplineRegressionEngine(int, int) - Constructor for class org.drip.regression.spline.BasisSplineRegressionEngine
 
BasisSplineRegressor - Class in org.drip.regression.spline
BasisSplineRegressor implements the custom basis spline regressor for the given basis spline.
BasisSplineRegressor(String, String, FunctionSet, int) - Constructor for class org.drip.regression.spline.BasisSplineRegressor
 
BasisSplineRegressorSet - Class in org.drip.regression.spline
BasisSplineRegressorSet carries out regression testing for the following series of basis splines: - #1: Polynomial Basis Spline, n = 2 basis functions, and Ck = 0.
BasisSplineRegressorSet() - Constructor for class org.drip.regression.spline.BasisSplineRegressorSet
BasisSplineRegressorSet constructor - Creates the base spline parameter and initializes the regression objects
BasisSplineRepoCurve - Class in org.drip.state.curve
BasisSplineRepoCurve manages the Basis Latent State, using the Repo as the State Response Representation.
BasisSplineRepoCurve(Component, Span) - Constructor for class org.drip.state.curve.BasisSplineRepoCurve
BasisSplineRepoCurve constructor
BasisSplineSet - Class in org.drip.sample.spline
BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions.
BasisSplineSet() - Constructor for class org.drip.sample.spline.BasisSplineSet
 
BasisSplineStretchTest(double[], double[], SegmentCustomBuilderControl, StretchBestFitResponse) - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
 
BasisSplineStretchTest(double[], double[], SegmentCustomBuilderControl, StretchBestFitResponse) - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
 
BasisSplineTermStructure - Class in org.drip.state.curve
BasisSplineTermStructure implements the TermStructure Interface - if holds the latent state's Term Structure Parameters.
BasisSplineTermStructure(int, CustomLabel, String, Span) - Constructor for class org.drip.state.curve.BasisSplineTermStructure
BasisSplineTermStructure Constructor
BasisTensionSplineSet - Class in org.drip.sample.spline
BasisTensionSplineSet implements Samples for the Construction and the usage of various basis spline functions.
BasisTensionSplineSet() - Constructor for class org.drip.sample.spline.BasisTensionSplineSet
 
basket() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Bond Basket Array
BasketAggregateMeasuresGeneration - Class in org.drip.sample.bond
BasketAggregateMeasuresGeneration contains a demo of the bond basket Measure generation Sample.
BasketAggregateMeasuresGeneration() - Constructor for class org.drip.sample.bond.BasketAggregateMeasuresGeneration
 
BasketBondAPISample() - Static method in class org.drip.sample.credit.CDSBasketMeasures
 
BasketMarketParamRef - Interface in org.drip.product.definition
BasketMarketParamRef interface provides stubs for basket name, IR curve, forward curve, credit curve, TSY curve, and needed to value the component.
BasketMeasures - Class in org.drip.analytics.output
BasketMeasures is the place holder for the analytical basket measures, optionally across scenarios.
BasketMeasures() - Constructor for class org.drip.analytics.output.BasketMeasures
Empty constructor - all members initialized to NaN or null
basketNotional() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Basket Notional
BasketProduct - Class in org.drip.product.definition
BasketProduct abstract class extends MarketParamRef.
BasketProduct() - Constructor for class org.drip.product.definition.BasketProduct
 
BayesianDriftTrajectoryDependence - Class in org.drip.sample.trend
BayesianDriftTrajectoryDependence demonstrates the Dependence of the Trading Trajectory achieved from using an Optimal Trajectory for a Price Process as a Function of the Bayesian Drift Parameters.
BayesianDriftTrajectoryDependence() - Constructor for class org.drip.sample.trend.BayesianDriftTrajectoryDependence
 
BayesianDriftTransactionDependence - Class in org.drip.sample.trend
BayesianDriftTransactionDependence demonstrates the Gains achieved from using an Optimal Trajectory for a Price Process as a Function of the Bayesian Drift Parameters.
BayesianDriftTransactionDependence() - Constructor for class org.drip.sample.trend.BayesianDriftTransactionDependence
 
BayesianGain - Class in org.drip.sample.trend
BayesianGain demonstrates the Gains achieved from using an Optimal Trajectory for a Price Process with Bayesian Drift, Arithmetic Volatility, and Linear Temporary Market Impact across a Set of Drifts.
BayesianGain() - Constructor for class org.drip.sample.trend.BayesianGain
 
BayesianPriceProcess - Class in org.drip.sample.trend
BayesianPriceProcess demonstrates the Evolution Process for an Asset Price with a Uncertain (Bayesian) Drift.
BayesianPriceProcess() - Constructor for class org.drip.sample.trend.BayesianPriceProcess
 
Bazhong - Class in org.drip.sample.bondeos
Bazhong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Bazhong.
Bazhong() - Constructor for class org.drip.sample.bondeos.Bazhong
 
BBDHoliday - Class in org.drip.analytics.holset
 
BBDHoliday() - Constructor for class org.drip.analytics.holset.BBDHoliday
 
BBV_DOWN - Static variable in class org.drip.spaces.tensor.BinaryBooleanVector
Binary/Boolean Space "DOWN"
BBV_UP - Static variable in class org.drip.spaces.tensor.BinaryBooleanVector
Binary/Boolean Space "UP"
bcbsDesignation() - Method in class org.drip.exposure.csatimeline.EventDate
Retrieve the BCBS IOSCO CSA Event Designation
BEFHoliday - Class in org.drip.analytics.holset
 
BEFHoliday() - Constructor for class org.drip.analytics.holset.BEFHoliday
 
Beihai - Class in org.drip.sample.bondeos
Beihai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Beihai.
Beihai() - Constructor for class org.drip.sample.bondeos.Beihai
 
Beijing - Class in org.drip.sample.bondeos
Beijing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Beijing.
Beijing() - Constructor for class org.drip.sample.bondeos.Beijing
 
Belgaum - Class in org.drip.sample.bondmetrics
Belgaum demonstrates the Analytics Calculation/Reconciliation for the Bond Belgaum.
Belgaum() - Constructor for class org.drip.sample.bondmetrics.Belgaum
 
Bellary - Class in org.drip.sample.bondmetrics
Bellary generates the Full Suite of Replication Metrics for a Sample Bond.
Bellary() - Constructor for class org.drip.sample.bondmetrics.Bellary
 
BellmanFord - Class in org.drip.sample.graph
BellmanFord illustrates the Execution of the Bellman Ford Shortest Path First Algorithm.
BellmanFord() - Constructor for class org.drip.sample.graph.BellmanFord
 
BellmanFord(Topography, String) - Static method in class org.drip.spaces.graph.ShortestPathFirstWengert
Generate a ShortestPathFirstWengert from the Topography and the Source using the Bellman-Ford Scheme
BellmanFordScheme - Class in org.drip.spaces.graph
BellmanFordScheme implements the Bellman Ford Algorithm for finding the Shortest Path between a Pair of Vertexes in a Graph.
BellmanFordScheme(Topography) - Constructor for class org.drip.spaces.graph.BellmanFordScheme
BellmanFordScheme Constructor
Benchmark - Class in org.drip.portfolioconstruction.composite
Benchmark holds the Details of a given Benchmark.
Benchmark(String, String, String, String, String, Holdings) - Constructor for class org.drip.portfolioconstruction.composite.Benchmark
Benchmark Constructor
benchmarkConstrictedHoldings() - Method in class org.drip.portfolioconstruction.objective.ReturnsTerm
Retrieve the Benchmark Constricted Holdings
benchmarkConstrictedHoldings() - Method in class org.drip.portfolioconstruction.objective.RiskTerm
Retrieve the Benchmark Constricted Holdings
benchmarkHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermModelDeviation
Retrieve the Array of Benchmark Constricted Holdings
benchmarkHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermVariance
Retrieve the Constricted Benchmark Holdings
benchmarkMetrics(PortfolioMetrics) - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
Compute the Portfolio Relative Metrics using the specified Benchmark
Bengaluru - Class in org.drip.sample.bondmetrics
Bengaluru generates the Full Suite of Replication Metrics for Bond Bengaluru.
Bengaluru() - Constructor for class org.drip.sample.bondmetrics.Bengaluru
 
Bengbu - Class in org.drip.sample.bondeos
Bengbu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Bengbu.
Bengbu() - Constructor for class org.drip.sample.bondeos.Bengbu
 
Bennett - Class in org.drip.function.r1tor1
Bennett is implementation of the Bennett's Function used in the Estimation of the Bennett's Concentration Inequality.
Bennett() - Constructor for class org.drip.function.r1tor1.Bennett
Bennett constructor
bennettAverageBounds(double) - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
Estimate Mean Departure Bounds of the Average using the Bennett Inequality Bounds
Benxi - Class in org.drip.sample.bondeos
Benxi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Benxi.
Benxi() - Constructor for class org.drip.sample.bondeos.Benxi
 
Berhampur - Class in org.drip.sample.securitysuite
Berhampur generates the Full Suite of Replication Metrics for Bond Berhampur.
Berhampur() - Constructor for class org.drip.sample.securitysuite.Berhampur
 
bernsteinAverageBounds(double) - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
Estimate Mean Departure Bounds of the Average using the Bernstein Inequality Bounds
BernsteinPolynomial - Class in org.drip.function.r1tor1
BernsteinPolynomial provides the evaluation of the BernsteinPolynomial and its derivatives for a specified variate.
BernsteinPolynomial(int, int) - Constructor for class org.drip.function.r1tor1.BernsteinPolynomial
Construct a BernsteinPolynomial instance
BernsteinPolynomialBasisSet(PolynomialFunctionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
This function implements the elastic coefficients for the segment using Bernstein polynomial basis splines inside - [0,...,1) - Globally [x_0,...,x_1): y = Sum (A_i*B^i(x)) i = 0,...,n (0 and n inclusive) where x is the normalized ordinate mapped as x .gte.
BesselC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Bessel C1 Array from the specified Array of Predictor Ordinates and the Response Values
bestFitDPE(SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Segment Best Fit DPE
bestFitDPE(StretchBestFitResponse) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
bestFitDPE(StretchBestFitResponse) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Stretch Best Fit DPE
BestFitFlexurePenalizer - Class in org.drip.spline.segment
This Class implements the Segment's Best Fit, Curvature, and Length Penalizers.
BestFitFlexurePenalizer(LatentStateInelastic, SegmentFlexurePenaltyControl, SegmentFlexurePenaltyControl, SegmentBestFitResponse, BasisEvaluator) - Constructor for class org.drip.spline.segment.BestFitFlexurePenalizer
BestFitFlexurePenalizer constructor
bestFitResponse() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
Retrieve the Segment Best Fit Response
bestFitWeightedResponse() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
Retrieve the Best Fit Weighted Response
bestFitWeightedResponseSensitivity() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
Retrieve the Best Fit Weighted Response Sensitivity
beta() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Retrieve SABR Beta
beta() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
Retrieve the Portfolio-to-Benchmark Beta
beta() - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
Retrieve the Asset's Beta
BGLHoliday - Class in org.drip.analytics.holset
 
BGLHoliday() - Constructor for class org.drip.analytics.holset.BGLHoliday
 
BGMCurveUpdate - Class in org.drip.dynamics.lmm
BGMCurveUpdate contains the Instantaneous Snapshot of the Evolving Discount Curve Latent State Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
BGMForwardTenorSnap - Class in org.drip.dynamics.lmm
BGMForwardTenorSnap contains the Absolute and the Incremental Latent State Quantifier Snapshot traced from the Evolution of the LIBOR Forward Rate as formulated in: 1) Goldys, B., M.
BGMForwardTenorSnap(int, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.dynamics.lmm.BGMForwardTenorSnap
BGMForwardTenorSnap Constructor
BGMPointUpdate - Class in org.drip.dynamics.lmm
BGMPointUpdate contains the Instantaneous Snapshot of the Evolving Discount Point Latent State Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
BGMTenorNodeSequence - Class in org.drip.dynamics.lmm
BGMTenorNodeSequence contains the Point Nodes of the Latent State Quantifiers and their Increments present in the specified BGMForwardTenorSnap Instance.
BGMTenorNodeSequence(BGMForwardTenorSnap[]) - Constructor for class org.drip.dynamics.lmm.BGMTenorNodeSequence
BGMTenorNodeSequence Constructor
Bhagalpur - Class in org.drip.sample.bondmetrics
Bhagalpur demonstrates the Analytics Calculation/Reconciliation for the Bond Bhagalpur.
Bhagalpur() - Constructor for class org.drip.sample.bondmetrics.Bhagalpur
 
Bhatpara - Class in org.drip.sample.bondmetrics
Bhatpara generates the Full Suite of Replication Metrics for a Sample Bond.
Bhatpara() - Constructor for class org.drip.sample.bondmetrics.Bhatpara
 
Bhavnagar - Class in org.drip.sample.bondsink
Bhavnagar generates the Full Suite of Replication Metrics for the Sinker Bond Bhavnagar.
Bhavnagar() - Constructor for class org.drip.sample.bondsink.Bhavnagar
 
BHDHoliday - Class in org.drip.analytics.holset
 
BHDHoliday() - Constructor for class org.drip.analytics.holset.BHDHoliday
 
Bhilai - Class in org.drip.sample.bondmetrics
Bhilai demonstrates the Analytics Calculation/Reconciliation for the Callable Bond Bhilai.
Bhilai() - Constructor for class org.drip.sample.bondmetrics.Bhilai
 
Bhilwara - Class in org.drip.sample.securitysuite
Bhilwara generates the Full Suite of Replication Metrics for Bond Bhilwara.
Bhilwara() - Constructor for class org.drip.sample.securitysuite.Bhilwara
 
Bhiwandi - Class in org.drip.sample.bondsink
Bhiwandi generates the Full Suite of Replication Metrics for the Sinker Bond Bhiwandi.
Bhiwandi() - Constructor for class org.drip.sample.bondsink.Bhiwandi
 
Bhopal - Class in org.drip.sample.bondeos
Bhopal demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Bhopal.
Bhopal() - Constructor for class org.drip.sample.bondeos.Bhopal
 
Bhubaneswar - Class in org.drip.sample.bondsink
Bhubaneswar generates the Full Suite of Replication Metrics for the Sinker Bond Bhubaneswar.
Bhubaneswar() - Constructor for class org.drip.sample.bondsink.Bhubaneswar
 
bidAskSpread() - Method in class org.drip.execution.parameters.AssetTransactionSettings
Retrieve the Bid-Ask Spread
BigC1Array - Class in org.drip.spaces.big
BigC1Array contains the Functionality to Process and Manipulate the Character Array backing the Big String.
BigC1Array(char[]) - Constructor for class org.drip.spaces.big.BigC1Array
BigC1Array Constructor
BigR1Array - Class in org.drip.spaces.big
BigR1Array contains an Implementation of a variety of in-place Sorting Algorithms for Big Double Arrays.
BigR1Array(double[]) - Constructor for class org.drip.spaces.big.BigR1Array
BigR1Array Constructor
BigR2Array - Class in org.drip.spaces.big
BigR2Array contains an Implementation Navigation and Processing Algorithms for Big Double R^2 Arrays.
BigR2Array(double[][]) - Constructor for class org.drip.spaces.big.BigR2Array
BigR2Array Constructor
BiharSharif - Class in org.drip.sample.bondswap
BiharSharif demonstrates the Analytics Calculation/Reconciliation for the OTC Fix-Float Index Based Bond Bihar Sharif.
BiharSharif() - Constructor for class org.drip.sample.bondswap.BiharSharif
 
Bijapur - Class in org.drip.sample.loan
Bijapur demonstrates the Analytics Calculation/Reconciliation for the Loan Bijapur.
Bijapur() - Constructor for class org.drip.sample.loan.Bijapur
 
Bikaner - Class in org.drip.sample.bondsink
Bikaner generates the Full Suite of Replication Metrics for the Sinker Bond Bikaner.
Bikaner() - Constructor for class org.drip.sample.bondsink.Bikaner
 
Bilaspur - Class in org.drip.sample.loan
Bilaspur demonstrates the Analytics Calculation/Reconciliation for the Loan Bilaspur.
Bilaspur() - Constructor for class org.drip.sample.loan.Bilaspur
 
BILATERAL - Static variable in class org.drip.xva.settings.CloseOutScheme
The Dealer/Client Bilateral Close Out Scheme
bilateralCollateralAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
bilateralCollateralAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
bilateralCollateralAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Bilateral Collateral Adjustment
bilateralCollateralAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Bilateral Collateral Value Adjustment
bilateralCollateralAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Bilateral Collateral Value Adjustment
bilateralCreditAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
bilateralCreditAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
bilateralCreditAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Bilateral Credit Adjustment
bilateralCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Bilateral Credit Adjustment
bilateralCreditAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Bilateral Credit Value Adjustment
BilateralCSACollateralizedFunding - Class in org.drip.sample.burgard2013
BilateralCSACollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
BilateralCSACollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.BilateralCSACollateralizedFunding
 
BilateralCSACollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
BilateralCSACollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
BilateralCSACollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.BilateralCSACollateralizedFundingStochastic
 
BilateralCSAUncollateralizedFunding - Class in org.drip.sample.burgard2013
BilateralCSAUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
BilateralCSAUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFunding
 
BilateralCSAUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
BilateralCSAUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
BilateralCSAUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFundingStochastic
 
BilateralCSAZeroThresholdFunding - Class in org.drip.sample.burgard2013
BilateralCSAZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
BilateralCSAZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFunding
 
BilateralCSAZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
BilateralCSAZeroThresholdFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
BilateralCSAZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFundingStochastic
 
bilateralDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
bilateralDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
bilateralDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Bilateral Debt Adjustment
bilateralDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Bilateral Debt Adjustment
bilateralDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Bilateral Debt Value Adjustment
bilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Bilateral Funding Debt Adjustment
bilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Bilateral Funding Debt Adjustment
bilateralFundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
bilateralFundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
bilateralFundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Bilateral Funding Value Adjustment
bilateralFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Bilateral Funding Value Adjustment
bilateralFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Bilateral Funding Value Spread 01
bilateralFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Bilateral Funding Value Spread 01
Binary - Class in org.drip.sequence.random
Binary implements the Standard {0, 1}-valued Binary Random Number Generator.
Binary(double) - Constructor for class org.drip.sequence.random.Binary
Binary Distribution Constructor
BinaryBooleanVector - Class in org.drip.spaces.tensor
BinaryBooleanVector implements the normed/non-normed Binary/Boolean Combinatorial Vector Spaces.
BinaryClassifierSupremumBound - Class in org.drip.sample.classifier
BinaryClassifierSupremumBound demonstrates the Computation of the Probabilistic Bounds for the Supremum among the Class of Binary Classifier Functions for an Empirical Sample from its Population Mean using Variants of the Efron-Stein Methodology.
BinaryClassifierSupremumBound() - Constructor for class org.drip.sample.classifier.BinaryClassifierSupremumBound
 
BinaryIdempotentUnivariateRandom - Class in org.drip.sequence.functional
BinaryIdempotentUnivariateRandom contains the Implementation of the Objective Function dependent on Binary Idempotent Univariate Random Variable.
BinaryIdempotentUnivariateRandom(double, R1, double, double) - Constructor for class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom
BinaryIdempotentUnivariateRandom Constructor
BinaryTree - Class in org.drip.spaces.big
BinaryTree contains an Implementation of the Left/Right Binary Tree.
BinaryTree(double, BinaryTree) - Constructor for class org.drip.spaces.big.BinaryTree
BinaryTree Constructor
BinaryVariateSumBound - Class in org.drip.sample.efronstein
BinaryVariateSumBound demonstrates the Computation of the Probabilistic Bounds for the Realization of the Values of a Multivariate Function over Random Sequence Values (in this case, sum of the independent Random Variates) using Variants of the Efron-Stein Methodology.
BinaryVariateSumBound() - Constructor for class org.drip.sample.efronstein.BinaryVariateSumBound
 
BinPacking - Class in org.drip.sequence.custom
BinPacking contains Variance Bounds of the critical measures of the standard operations research bin packing problem.
BinPacking() - Constructor for class org.drip.sequence.custom.BinPacking
 
Binzhou - Class in org.drip.sample.bondeos
Binzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Binzhou.
Binzhou() - Constructor for class org.drip.sample.bondeos.Binzhou
 
BISECTION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Bisection
Bisection(double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Iterate for the next variate using bisection
BlackHestonForwardOption - Class in org.drip.sample.option
BlackHestonForwardOption illustrates pricing a forward using the Black '76 variant and the Heston's stochastic Volatility Models.
BlackHestonForwardOption() - Constructor for class org.drip.sample.option.BlackHestonForwardOption
 
BlackLittermanBayesianClient - Class in org.drip.sample.service
BudgetConstrainedAllocationClient demonstrates the Invocation and Examination of the JSON-based Budget Constrained Portfolio Allocation Service Client.
BlackLittermanBayesianClient() - Constructor for class org.drip.sample.service.BlackLittermanBayesianClient
 
BlackLittermanCombinationEngine - Class in org.drip.portfolioconstruction.bayesian
BlackLittermanCombinationEngine implements the Engine that generates the Combined/Posterior Distributions from the Prior and the Conditional Joint R^1 Multivariate Normal Distributions.
BlackLittermanCombinationEngine(ForwardReverseOptimizationOutput, PriorControlSpecification, ProjectionSpecification) - Constructor for class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
BlackLittermanCombinationEngine Construction
BlackLittermanCustomConfidenceOutput - Class in org.drip.portfolioconstruction.bayesian
BlackLittermanCustomConfidenceOutput holds the Outputs generated from a Custom COnfidence Black Litterman Bayesian COmbination Run.
BlackLittermanCustomConfidenceOutput(ForwardReverseOptimizationOutput, double[], JointPosteriorMetrics) - Constructor for class org.drip.portfolioconstruction.bayesian.BlackLittermanCustomConfidenceOutput
BlackLittermanCustomConfidenceOutput Constructor
BlackLittermanOutput - Class in org.drip.portfolioconstruction.bayesian
BlackLittermanOutput holds the essential Outputs generated from either a Full or a Custom Confidence of the Projection Black Litterman Bayesian Combination Run.
BlackLittermanOutput(ForwardReverseOptimizationOutput, double[]) - Constructor for class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput
BlackLittermanOutput Constructor
BlackLittermanProcessor - Class in org.drip.json.assetallocation
BlackLittermanProcessor Sets Up and Executes a JSON Based In/Out Processing Service for the Black Litterman Bayesian View Incorporation/Parameter Estimation.
BlackLittermanProcessor() - Constructor for class org.drip.json.assetallocation.BlackLittermanProcessor
 
BlackNormalAlgorithm - Class in org.drip.pricer.option
BlackNormalAlgorithm implements the Black Normal European Call and Put Options Pricer.
BlackNormalAlgorithm() - Constructor for class org.drip.pricer.option.BlackNormalAlgorithm
Empty BlackNormalAlgorithm Constructor - nothing to be filled in with
BlackScholesAlgorithm - Class in org.drip.pricer.option
BlackScholesAlgorithm implements the Black Scholes based European Call and Put Options Pricer.
BlackScholesAlgorithm() - Constructor for class org.drip.pricer.option.BlackScholesAlgorithm
Empty BlackScholesAlgorithm Constructor - nothing to be filled in with
BlackVolatility - Class in org.drip.sample.sabr
BlackVolatility demonstrates the Construction and Usage of the SABR Model to Imply the Black Volatility of a given Contract.
BlackVolatility() - Constructor for class org.drip.sample.sabr.BlackVolatility
 
Block - Class in org.drip.portfolioconstruction.core
Block forms the Base underneath all Portfolio Construction Objects.
Block(String, String, String) - Constructor for class org.drip.portfolioconstruction.core.Block
Block Constructor
BlockAttribute - Class in org.drip.portfolioconstruction.composite
BlockAttribute contains the Marginal Attributes for the specified Set of Assets.
BlockAttribute(String, String, String) - Constructor for class org.drip.portfolioconstruction.composite.BlockAttribute
BlockAttribute Constructor
BlockClassification - Class in org.drip.portfolioconstruction.composite
BlockClassification contains the Classifications for the specified Set of Assets.
BlockClassification(String, String, String) - Constructor for class org.drip.portfolioconstruction.composite.BlockClassification
Classification Constructor
blockSizeExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence
Retrieve the Block Size Dependence Exponent
BMDHoliday - Class in org.drip.analytics.holset
 
BMDHoliday() - Constructor for class org.drip.analytics.holset.BMDHoliday
 
Bokaro - Class in org.drip.sample.bondmetrics
Bokaro generates the Full Suite of Replication Metrics for a Sample Bond.
Bokaro() - Constructor for class org.drip.sample.bondmetrics.Bokaro
 
Bond - Class in org.drip.product.definition
Bond abstract class implements the pricing, the valuation, and the RV analytics functionality for the bond product.
Bond() - Constructor for class org.drip.product.definition.Bond
 
bond() - Method in class org.drip.product.params.CTDEntry
Retrieve the CTD Bond Instance
bond() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Bond Component Instance
bond() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Retrieve the Underlying Bond
BOND_TYPE_SIMPLE_FIXED - Static variable in class org.drip.product.creator.BondBuilder
Custom Bond Type Simple Fixed
BOND_TYPE_SIMPLE_FLOATER - Static variable in class org.drip.product.creator.BondBuilder
Custom Bond Type Simple Floater
BOND_TYPE_SIMPLE_FROM_CF - Static variable in class org.drip.product.creator.BondBuilder
Custom Bond Type Simple From Cash flows
bondBasis() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Bond Basis
bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from ASW to Work-out
bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from ASW to Maturity
bondBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from ASW to Optimal Exercise
bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Credit Basis to Work-out
bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Credit Basis to Maturity
bondBasisFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Credit Basis to Optimal Exercise
bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Discount Margin to Work-out
bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Discount Margin to Maturity
bondBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Discount Margin to Optimal Exercise
bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from E Spread to Work-out
bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from E Spread to Maturity
bondBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from E Spread to Optimal Exercise
bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from G Spread to Work-out
bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from G Spread to Maturity
bondBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from G Spread to Optimal Exercise
bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from I Spread to Work-out
bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from I Spread to Maturity
bondBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from I Spread to Optimal Exercise
bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from J Spread to Work-out
bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from J Spread to Maturity
bondBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from J Spread to Optimal Exercise
bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from N Spread to Work-out
bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from N Spread to Maturity
bondBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from N Spread to Optimal Exercise
bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from OAS to Work-out
bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from OAS to Maturity
bondBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from OAS to Optimal Exercise
bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from PECS to Work-out
bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from PECS to Maturity
bondBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from PECS to Optimal Exercise
bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Price to Work-out
bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Price to Maturity
bondBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Price to Optimal Exercise
bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from TSY Spread to Work-out
bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from TSY Spread to Maturity
bondBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from TSY Spread to Optimal Exercise
bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Yield to Work-out
bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Yield to Maturity
bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Yield Spread to Work-out
bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Yield Spread to Maturity
bondBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Yield Spread to Optimal Exercise
bondBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Yield to Optimal Exercise
bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Z Spread to Work-out
bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Z Spread to Maturity
bondBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
bondBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Bond Basis from Z Spread to Optimal Exercise
BondBasket - Class in org.drip.product.credit
BondBasket implements the bond basket product contract details.
BondBasket(String, Bond[], double[]) - Constructor for class org.drip.product.credit.BondBasket
BondBasket constructor
BondBasketBuilder - Class in org.drip.product.creator
BondBasketBuilder contains the suite of helper functions for creating the bond Basket Product from different kinds of inputs and byte streams.
BondBasketBuilder() - Constructor for class org.drip.product.creator.BondBasketBuilder
 
BondBuilder - Class in org.drip.product.creator
BondBuilder contains the suite of helper functions for creating simple fixed/floater bonds, user defined bonds, optionally with custom cash flows and embedded option schedules (European or American).
BondBuilder() - Constructor for class org.drip.product.creator.BondBuilder
 
BondCalibrator(BondComponent, boolean) - Constructor for class org.drip.product.credit.BondComponent.BondCalibrator
Constructor: Construct the calibrator from the parent bond.
BondClientCashFlow - Class in org.drip.sample.service
BondClientCashFlow demonstrates the Invocation and Examination of the JSON-based Bond Valuation Service for generating the Bond Cash Flows.
BondClientCashFlow() - Constructor for class org.drip.sample.service.BondClientCashFlow
 
BondClientCurve - Class in org.drip.sample.service
BondClientCurve demonstrates the Invocation and Examination of the JSON-based Bond Valuation Service for generating the Curve Metrics.
BondClientCurve() - Constructor for class org.drip.sample.service.BondClientCurve
 
BondClientSecular - Class in org.drip.sample.service
BondClientSecular demonstrates the Invocation and Examination of the JSON-based Bond Valuation Service for generating the Secular Metrics.
BondClientSecular() - Constructor for class org.drip.sample.service.BondClientSecular
 
BondComponent - Class in org.drip.product.credit
BondComponent is the base class that extends CreditComponent abstract class and implements the functionality behind bonds of all kinds.
BondComponent() - Constructor for class org.drip.product.credit.BondComponent
Constructor: Construct an empty bond object
BondComponent.BondCalibrator - Class in org.drip.product.credit
The BondCalibrator implements a calibrator that calibrates the yield, the credit basis, or the Z Spread for the bond given the price input.
BondCouponMeasures - Class in org.drip.analytics.output
This class encapsulates the parsimonius but complete set of the cash-flow oriented coupon measures generated out of a full bond analytics run to a given work-out.
BondCouponMeasures(double, double, double, double) - Constructor for class org.drip.analytics.output.BondCouponMeasures
BondCouponMeasures constructor
BondEOSMetrics - Class in org.drip.analytics.output
BondEOSMetrics carries the Option Adjusted Metrics for a Bond with Embedded Options.
BondEOSMetrics(double, double[], double[], double[], double[], double[], double[], double[][], boolean[][]) - Constructor for class org.drip.analytics.output.BondEOSMetrics
BondEOSMetrics Constructor
BondEquivalent(String) - Static method in class org.drip.param.valuation.ValuationCustomizationParams
Construct the BondEquivalent Instance of ValuationCustomizationParams
BondFuturesPriceAUDBillStyle(JulianDate, Bond, double) - Static method in class org.drip.analytics.support.Helper
Compute the Bond Futures Price AUD Bill Style from the Reference Index Level
BondMarketSnap - Class in org.drip.historical.attribution
BondMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given Bond Position.
BondMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.BondMarketSnap
BondMarketSnap Constructor
BondProcessor - Class in org.drip.service.json
BondProcessor Sets Up and Executes a JSON Based In/Out Bond Valuation Processor.
BondProcessor() - Constructor for class org.drip.service.json.BondProcessor
 
BondProduct - Interface in org.drip.product.definition
BondProduct interface implements the product static data behind bonds of all kinds.
BondProductBuilder - Class in org.drip.product.creator
BondProductBuilder holds the static parameters of the bond product needed for the full bond valuation.
BondProductBuilder() - Constructor for class org.drip.product.creator.BondProductBuilder
Empty BondProductBuilder ctr - uninitialized members
BondRefDataBuilder - Class in org.drip.product.creator
BondRefDataBuilder holds the entire set of static parameters for the bond product.
BondRefDataBuilder() - Constructor for class org.drip.product.creator.BondRefDataBuilder
Empty BondRefDataBuilder ctr - uninitialized members
BondRefDataBuilder(CaseInsensitiveTreeMap<String>) - Constructor for class org.drip.product.creator.BondRefDataBuilder
BondRefDataBuilder de-serialization from input JSON Map
BondReplicationRun - Class in org.drip.service.scenario
BondReplicationRun holds the Results of a Full Bond Replication Run,
BondReplicationRun() - Constructor for class org.drip.service.scenario.BondReplicationRun
Empty ReplicationRun Constructor
BondReplicator - Class in org.drip.service.scenario
BondReplicator generates a Target Set of Sensitivity and Relative Value Runs.
BondReplicator(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, double, double, double, String, String[], double[], boolean, String[], double[], double, double, int, double, BondComponent) - Constructor for class org.drip.service.scenario.BondReplicator
BondReplicator Constructor
BondRVMeasures - Class in org.drip.analytics.output
BondRVMeasures encapsulates the comprehensive set of RV measures calculated for the bond to the appropriate exercise: - Workout Information - Price, Yield, and Yield01 - Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z - Basis Measures: Bond Basis, Credit Basis, Yield Basis - Duration Measures: Macaulay/Modified Duration, Convexity
BondRVMeasures(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, WorkoutInfo) - Constructor for class org.drip.analytics.output.BondRVMeasures
BondRVMeasures ctr
BondStream - Class in org.drip.product.params
BondStream is the place-holder for the bond's period generation parameters.
BondStream(List<CompositePeriod>, int, String) - Constructor for class org.drip.product.params.BondStream
Construct the BondStream instance from the list of coupon periods
BondWorkoutMeasures - Class in org.drip.analytics.output
BondWorkoutMeasures encapsulates the parsimonius yet complete set of measures generated out of a full bond analytics run to a given work-out.
BondWorkoutMeasures(BondCouponMeasures, BondCouponMeasures, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.analytics.output.BondWorkoutMeasures
BondWorkoutMeasures constructor
BookGroupLayout - Class in org.drip.sample.xvatopology
BookGroupLayout represents the Directed Graph of all the Encompassing Book Groups.
BookGroupLayout() - Constructor for class org.drip.sample.xvatopology.BookGroupLayout
 
BookLatentStateMap - Class in org.drip.sample.xvatopology
BookLatentStateMap represents the Latent State Map across all the Book Groups.
BookLatentStateMap() - Constructor for class org.drip.sample.xvatopology.BookLatentStateMap
 
Boole(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Compute the function's integral within the specified limits using the Boole rule.
BooleanArrayEntry(Object) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a Boolean Array
BooleanEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to an Boolean
BooleanListFromString(List<Boolean>, String, String) - Static method in class org.drip.quant.common.StringUtil
Create a list of booleans from a delimited string
BootCurveConstructionInput - Class in org.drip.analytics.input
BootCurveConstructionInput contains the Parameters needed for the Curve Calibration/Estimation.
BootCurveConstructionInput(ValuationParams, ValuationCustomizationParams, CalibratableComponent[], CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>, CaseInsensitiveTreeMap<String[]>, LatentStateFixingsContainer) - Constructor for class org.drip.analytics.input.BootCurveConstructionInput
BootCurveConstructionInput constructor
bootstrapBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
 
bootstrapBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.fx.FXCurve
Bootstrap the basis to the discount curve inputs
bootstrapBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
bootstrapBasisDC(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
 
bootstrapBasisDC(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.fx.FXCurve
Bootstrap the discount curve from the discount curve inputs
bootstrapBasisDC(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
borelMeasureSpaceExpectation(R1ToR1) - Method in class org.drip.spaces.metric.R1Combinatorial
 
borelMeasureSpaceExpectation(R1ToR1) - Method in class org.drip.spaces.metric.R1Continuous
 
borelMeasureSpaceExpectation(R1ToR1) - Method in interface org.drip.spaces.metric.R1Normed
Compute the Borel Measure Expectation for the specified R^1 To R^1 Function over the full Input Space
borelMeasureSpaceExpectation(RdToR1) - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
borelMeasureSpaceExpectation(RdToR1) - Method in class org.drip.spaces.metric.RdContinuousBanach
 
borelMeasureSpaceExpectation(RdToR1) - Method in interface org.drip.spaces.metric.RdNormed
Compute the Borel Measure Expectation for the specified R^d To R^1 Function over the full Input Space
borelSigmaMeasure() - Method in class org.drip.spaces.metric.R1Combinatorial
 
borelSigmaMeasure() - Method in class org.drip.spaces.metric.R1Continuous
 
borelSigmaMeasure() - Method in interface org.drip.spaces.metric.R1Normed
Retrieve the Borel Sigma R^1 Probability Measure
borelSigmaMeasure() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
borelSigmaMeasure() - Method in class org.drip.spaces.metric.RdContinuousBanach
 
borelSigmaMeasure() - Method in interface org.drip.spaces.metric.RdNormed
Retrieve the Borel Sigma R^d Probability Measure
Bound(double, double, double) - Static method in class org.drip.quant.common.NumberUtil
Bound the input to within (floor, Ceiling), i.e., compute Min (Max (floor, X), Ceiling)
bound() - Method in class org.drip.spaces.cover.L1R1CoveringBounds
Retrieve the Function Bound
BOUNDARY_CONDITION_FINANCIAL - Static variable in class org.drip.spline.stretch.BoundarySettings
Calibration Boundary Condition: Financial Boundary Condition
BOUNDARY_CONDITION_FLOATING - Static variable in class org.drip.spline.stretch.BoundarySettings
Calibration Boundary Condition: Floating Boundary Condition
BOUNDARY_CONDITION_NATURAL - Static variable in class org.drip.spline.stretch.BoundarySettings
Calibration Boundary Condition: Natural Boundary Condition
BOUNDARY_CONDITION_NOT_A_KNOT - Static variable in class org.drip.spline.stretch.BoundarySettings
Calibration Boundary Condition: Not-A-Knot Boundary Condition
boundaryCondition() - Method in class org.drip.spline.stretch.BoundarySettings
Retrieve the Type of the Boundary Condition
BoundarySettings - Class in org.drip.spline.stretch
This class implements the Boundary Settings that determine the full extent of description of the regime's State.
BoundarySettings(int, int, int) - Constructor for class org.drip.spline.stretch.BoundarySettings
BoundarySettings constructor
Bounded - Class in org.drip.sequence.random
Bounded implements the Bounded Random Univariate Generator with a Lower and an upper Bound.
Bounded(double, double) - Constructor for class org.drip.sequence.random.Bounded
 
BoundedFunction - Class in org.drip.sample.coveringnumber
BoundedFunction demonstrates Computation of the Lower and the Upper Bounds for Functions that are absolutely Bounded.
BoundedFunction() - Constructor for class org.drip.sample.coveringnumber.BoundedFunction
 
BoundedGaussian - Class in org.drip.sequence.random
BoundedGaussian implements the Bounded Gaussian Distribution, with a Gaussian Distribution between a lower and an upper Bound.
BoundedGaussian(double, double, double, double) - Constructor for class org.drip.sequence.random.BoundedGaussian
BoundedGaussian Constructor
BoundedIdempotentUnivariateRandom - Class in org.drip.sequence.functional
BoundedIdempotentUnivariateRandom contains the Implementation of the Objective Function dependent on Bounded Idempotent Univariate Random Variable.
BoundedIdempotentUnivariateRandom(double, R1, double) - Constructor for class org.drip.sequence.functional.BoundedIdempotentUnivariateRandom
BoundedIdempotentUnivariateRandom Constructor
BoundedMarkovitzBullet - Class in org.drip.sample.efficientfrontier
BoundedMarkovitzBullet demonstrates the Construction of the Efficient Frontier using the Constrained Mean Variance Optimizer for a Bounded Portfolio.
BoundedMarkovitzBullet() - Constructor for class org.drip.sample.efficientfrontier.BoundedMarkovitzBullet
 
BoundedMultivariateRandom - Class in org.drip.sequence.functional
BoundedMultivariateRandom contains the Implementation of the Bounded Objective Function dependent on Multivariate Random Variables.
BoundedMultivariateRandom() - Constructor for class org.drip.sequence.functional.BoundedMultivariateRandom
 
BoundedPortfolioConstructionParameters - Class in org.drip.portfolioconstruction.allocator
BoundedPortfolioConstructionParameters holds the Parameters needed to build the Portfolio with Bounds on the Underlying Assets.
BoundedPortfolioConstructionParameters(String[], CustomRiskUtilitySettings, PortfolioEqualityConstraintSettings) - Constructor for class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
BoundedPortfolioConstructionParameters Constructor
BoundedPredictorBoundedResponse(double, R1ToR1[], double, double) - Static method in class org.drip.spaces.functionclass.NormedR1ToL1R1Finite
Create Bounded R^1 To Bounded L1 R^1 Function Class for the specified Bounded Class of Finite Functions
BoundedSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
BoundedSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the specified Bounded Sequence.
BoundedSequenceAgnosticMetrics(double[], R1, double) - Constructor for class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
BoundedSequenceAgnosticMetrics Constructor
BoundedUniform - Class in org.drip.sequence.random
BoundedUniform implements the Bounded Uniform Distribution, with a Uniform Distribution between a lower and an upper Bound.
BoundedUniform(double, double) - Constructor for class org.drip.sequence.random.BoundedUniform
BoundedUniform Distribution Constructor
BoundedUniformInteger - Class in org.drip.sequence.random
BoundedUniformInteger implements the Bounded Uniform Distribution, with a Uniform Integer being generated between a lower and an upper Bound.
BoundedUniformInteger(int, int) - Constructor for class org.drip.sequence.random.BoundedUniformInteger
BoundedUniformInteger Distribution Constructor
BoundedUniformIntegerDistribution - Class in org.drip.measure.discrete
BoundedUniformIntegerDistribution implements the Univariate Bounded Uniform Integer Distribution, with the Integer being generated between a(n inclusive) lower and an upper Bound.
BoundedUniformIntegerDistribution(int, int) - Constructor for class org.drip.measure.discrete.BoundedUniformIntegerDistribution
Construct a Univariate Bounded Uniform Integer Distribution
boundedVarianceUpperBound() - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Multivariate Variance Upper Bound using the Bounded Differences Support
BoundedVariateSumBound - Class in org.drip.sample.efronstein
BoundedVariateSumBound demonstrates the Computation of the Probabilistic Bounds for the Realization of the Values of a Multivariate Function over Random Sequence Values (in this case, sum of the independent Random Variates) using Variants of the Efron-Stein Methodology.
BoundedVariateSumBound() - Constructor for class org.drip.sample.efronstein.BoundedVariateSumBound
 
boundingConstraints(int) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
Retrieve the Array of the Inequality Constraint Functions
BoundMultivariate - Interface in org.drip.function.rdtor1
BoundMultivariate Interface implements R^d To R^1 Bounds.
boundValue() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
boundValue() - Method in interface org.drip.function.rdtor1.BoundMultivariate
Retrieve the Bound Value
boundVariateIndex() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
boundVariateIndex() - Method in interface org.drip.function.rdtor1.BoundMultivariate
Retrieve the Bound Variate Index
BoxMullerGaussian - Class in org.drip.sequence.random
BoxMullerGaussian implements the Univariate Gaussian Random Number Generator.
BoxMullerGaussian(double, double) - Constructor for class org.drip.sequence.random.BoxMullerGaussian
BoxMullerGaussian Constructor
Bozhou - Class in org.drip.sample.bondeos
Bozhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Bozhou.
Bozhou() - Constructor for class org.drip.sample.bondeos.Bozhou
 
BRACKETING_CUSTOM_BCP - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
Start search from Custom Bracketing Control Parameters
BRACKETING_EDGE_HINTS - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
Start bracket initialization from Pre-specified left/right edge hints
BRACKETING_FLOOR_CEILING - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
Restrict the bracket initialization to within the specified Floor and Ceiling
BRACKETING_GENERIC_BCP - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
Start bracket initialization from the Generic Bracket Initializer
BRACKETING_MID_HINT - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
Start bracket initialization from Pre-specified Starting Mid Bracketing Variate
BracketingControlParams - Class in org.drip.function.r1tor1solver
BracketingControlParams implements the control parameters for bracketing solutions.
BracketingControlParams() - Constructor for class org.drip.function.r1tor1solver.BracketingControlParams
Default BracketingControlParams constructor
BracketingControlParams(int, double, double, double) - Constructor for class org.drip.function.r1tor1solver.BracketingControlParams
BracketingControlParams constructor
BracketingOutput - Class in org.drip.function.r1tor1solver
BracketingOutput carries the results of the bracketing initialization.
BracketingOutput() - Constructor for class org.drip.function.r1tor1solver.BracketingOutput
Default BracketingOutput constructor: Initializes the output
BracketingRegressorSet - Class in org.drip.regression.fixedpointfinder
BracketingRegressorSet implements regression run for the Primitive Bracketing Fixed Point Search Method.
BracketingRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.BracketingRegressorSet
 
BRCHoliday - Class in org.drip.analytics.holset
 
BRCHoliday() - Constructor for class org.drip.analytics.holset.BRCHoliday
 
breakevenPrincipalDiscount() - Method in class org.drip.execution.principal.GrossProfitEstimator
Compute the Break-even Principal Discount
BRLHoliday - Class in org.drip.analytics.holset
 
BRLHoliday() - Constructor for class org.drip.analytics.holset.BRLHoliday
 
brokenDateBridge() - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Retrieve the Stochastic Value Broken Date Bridge Estimator
BrokenDateGovvieSpot - Class in org.drip.sample.intexfeed
BrokenDateGovvieSpot generates the Sequence of Govvie Yields with Monthly Increments in Maturity over 60 Years.
BrokenDateGovvieSpot() - Constructor for class org.drip.sample.intexfeed.BrokenDateGovvieSpot
 
BrokenDateInterpolator - Interface in org.drip.measure.bridge
BrokenDateInterpolator exposes the Ability to Interpolate the Realized Path Value between two Broken Dates.
BrokenDateInterpolatorBrownian3P - Class in org.drip.measure.bridge
BrokenDateInterpolatorBrownian3P Interpolates the Broken Dates using Three Stochastic Value Nodes using the Three Point Brownian Bridge Scheme.
BrokenDateInterpolatorBrownian3P(double, double, double, double, double, double) - Constructor for class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
BrokenDateInterpolatorBrownian3P Constructor
BrokenDateInterpolatorLinearT - Class in org.drip.measure.bridge
BrokenDateInterpolatorLinearT Interpolates using Two Stochastic Value Nodes with Linear Scheme.
BrokenDateInterpolatorLinearT(double, double, double, double) - Constructor for class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
BrokenDateInterpolatorLinearT Constructor
BrokenDateInterpolatorSqrtT - Class in org.drip.measure.bridge
BrokenDateInterpolatorSqrtT Interpolates using Two Stochastic Value Nodes with Linear Scheme.
BrokenDateInterpolatorSqrtT(double, double, double, double) - Constructor for class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
BrokenDateInterpolatorSqrtT Constructor
BrokenDateLIBOREUR - Class in org.drip.sample.intexfeed
BrokenDateLIBOREUR generates the EUR LIBOR Forward's over Monthly Increments with Maturity up to 60 Years for different Forward Tenors.
BrokenDateLIBOREUR() - Constructor for class org.drip.sample.intexfeed.BrokenDateLIBOREUR
 
BrokenDateLIBORSpot - Class in org.drip.sample.intexfeed
BrokenDateLIBORSpot generates the LIBOR's at the Broken Date Tenors in the Currency specified.
BrokenDateLIBORSpot() - Constructor for class org.drip.sample.intexfeed.BrokenDateLIBORSpot
 
BrokenDateLIBORUSD - Class in org.drip.sample.intexfeed
BrokenDateLIBORUSD generates the USD LIBOR Forward's over Monthly Increments with Maturity up to 60 Years for different Forward Tenors.
BrokenDateLIBORUSD() - Constructor for class org.drip.sample.intexfeed.BrokenDateLIBORUSD
 
BrokenDateOISRate - Class in org.drip.sample.intexfeed
BrokenDateOISRate generates the OIS Rate for Monthly Increments in Maturity over 60 Years.
BrokenDateOISRate() - Constructor for class org.drip.sample.intexfeed.BrokenDateOISRate
 
brokenDateScheme() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Broken Date Interpolation Scheme
BrokenDateScheme - Class in org.drip.xva.settings
BrokenDateScheme holds the Broken Date Interpolation Scheme to generate Intermediate Values for the Path Exposures and Collateral Balances.
BrokenDateScheme() - Constructor for class org.drip.xva.settings.BrokenDateScheme
 
BrokenDateSwapRate - Class in org.drip.sample.intexfeed
BrokenDateSwapRate generates the Swap Rate for Monthly Increments in Maturity over 60 Years.
BrokenDateSwapRate() - Constructor for class org.drip.sample.intexfeed.BrokenDateSwapRate
 
BrokenDateVolSurface - Class in org.drip.sample.option
BrokenDateVolSurface contains an illustration of the Construction and Usage of the Option Volatility Surface, and the Evaluation at the supplied Broken Dates.
BrokenDateVolSurface() - Constructor for class org.drip.sample.option.BrokenDateVolSurface
 
BrownianBridgeConcave - Class in org.drip.sample.measure
BrownianBridgeConcave demonstrates using the Brownian Bridge Scheme to Interpolate Three Concave Value Points.
BrownianBridgeConcave() - Constructor for class org.drip.sample.measure.BrownianBridgeConcave
 
BrownianBridgeConvex - Class in org.drip.sample.measure
BrownianBridgeConvex demonstrates using the Brownian Bridge Scheme to Interpolate Three Convex Value Points.
BrownianBridgeConvex() - Constructor for class org.drip.sample.measure.BrownianBridgeConvex
 
brownianBridgeFactor() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
Retrieve the Brownian Bridge Factor
BrownianBridgeLinear - Class in org.drip.sample.measure
BrownianBridgeLinear demonstrates using the Brownian Bridge Scheme to Interpolate Three Linear Value Points.
BrownianBridgeLinear() - Constructor for class org.drip.sample.measure.BrownianBridgeLinear
 
BSDHoliday - Class in org.drip.analytics.holset
 
BSDHoliday() - Constructor for class org.drip.analytics.holset.BSDHoliday
 
BSplineBasisSet(BSplineSequenceParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
Construct the BSpline Basis Function Set
bSplineOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the B Spline Order
bSplineOrder() - Method in class org.drip.spline.bspline.SegmentBasisFunction
Retrieve the Order of the B Spline
BSplineSequence - Class in org.drip.sample.spline
BSplineSequence implements Samples for the Construction and the usage of various monic basis B Spline Sequences.
BSplineSequence() - Constructor for class org.drip.sample.spline.BSplineSequence
 
BSplineSequenceParams - Class in org.drip.spline.basis
This class implements the parameter set for constructing the B Spline Sequence.
BSplineSequenceParams(String, String, int, int, double, int) - Constructor for class org.drip.spline.basis.BSplineSequenceParams
 
BTPS(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Italian Treasury EUR BTPS Bond
Bucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer20
Retrieve the Bucket denoted by the Number
Bucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer21
Retrieve the Bucket denoted by the Number
Bucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
Retrieve the Bucket denoted by the Number
Bucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
Retrieve the Bucket denoted by the Number
Bucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer20
Retrieve the Bucket denoted by the Number
Bucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer21
Retrieve the Bucket denoted by the Number
Bucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer20
Retrieve the Bucket denoted by the Number
Bucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer21
Retrieve the Bucket denoted by the Number
BucketAggregate - Class in org.drip.simm.margin
BucketAggregate holds the Single Bucket Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity Margin, as well as the Aggregate Risk Factor Maps.
BucketAggregate(Map<String, RiskFactorAggregate>, double, double) - Constructor for class org.drip.simm.margin.BucketAggregate
BucketAggregate Constructor
BucketAggregateCR - Class in org.drip.simm.margin
BucketAggregateCR holds the Single Bucket CR Sensitivity Margin, the Cumulative CR Bucket Risk Factor Sensitivity Margin, as well as the Aggregate CR Risk Factor Maps.
BucketAggregateCR(RiskFactorAggregateCR, SensitivityAggregateCR, double, double) - Constructor for class org.drip.simm.margin.BucketAggregateCR
BucketAggregateCR Constructor
BucketAggregateIR - Class in org.drip.simm.margin
BucketAggregateIR holds the Single Bucket IR Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity Margin, as well as the IR Aggregate Risk Factor Maps.
BucketAggregateIR(RiskFactorAggregateIR, SensitivityAggregateIR, double, double) - Constructor for class org.drip.simm.margin.BucketAggregateIR
BucketAggregateIR Constructor
bucketAggregateMap() - Method in class org.drip.simm.margin.RiskMeasureAggregate
Retrieve the Bucket Sensitivity Aggregate Map
bucketAggregateMap() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
Retrieve the Credit Bucket Sensitivity Aggregate Map
bucketAggregateMap() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
Retrieve the Aggregate Bucket Map
BucketCurvatureSettings - Class in org.drip.simm.parameters
BucketCurvatureSettings holds the ISDA SIMM Curvature Settings for Interest Rates, Qualifying and Non-qualifying Credit, Equity, Commodity, and Foreign Exchange.
BucketCurvatureSettings(double, double, double, double) - Constructor for class org.drip.simm.parameters.BucketCurvatureSettings
BucketCurvatureSettings Constructor
BucketCurvatureSettingsCR - Class in org.drip.simm.parameters
BucketCurvatureSettingsCR holds the Curvature Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations for each Currency Curve and its Tenor.
BucketCurvatureSettingsCR(Map<String, Double>, double, double, double, double, double, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketCurvatureSettingsCR
BucketCurvatureSettingsCR Constructor
BucketCurvatureSettingsIR - Class in org.drip.simm.parameters
BucketCurvatureSettingsIR holds the Curvature Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
BucketCurvatureSettingsIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, LabelCorrelation, double, double, double, double, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketCurvatureSettingsIR
BucketCurvatureSettingsIR Constructor
BucketMap() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
Retrieve the Bucket Map
BucketMap() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
Retrieve the Bucket Map
BucketMap() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
Retrieve the Bucket Map
BucketMap() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
Retrieve the Bucket Map
BucketMap() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
Retrieve the Bucket Map
BucketMap() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
Retrieve the Bucket Map
BucketMap() - Static method in class org.drip.simm.equity.EQSettingsContainer20
Retrieve the Bucket Map
BucketMap() - Static method in class org.drip.simm.equity.EQSettingsContainer21
Retrieve the Bucket Map
BucketSensitivity - Class in org.drip.simm.product
BucketSensitivity holds the Risk Factor Sensitivities inside a single Bucket.
BucketSensitivity(Map<String, Double>) - Constructor for class org.drip.simm.product.BucketSensitivity
BucketSensitivity Constructor
BucketSensitivityCR - Class in org.drip.simm.product
BucketSensitivityCR holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across CR Tenor Factors.
BucketSensitivityCR(Map<String, RiskFactorTenorSensitivity>) - Constructor for class org.drip.simm.product.BucketSensitivityCR
BucketSensitivityCR Constructor
BucketSensitivityIR - Class in org.drip.simm.product
BucketSensitivityIR holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across IR Factor Sub Curves.
BucketSensitivityIR(RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity) - Constructor for class org.drip.simm.product.BucketSensitivityIR
BucketSensitivityIR Constructor
bucketSensitivityMap() - Method in class org.drip.simm.product.RiskMeasureSensitivity
Retrieve the Risk Class Bucket Sensitivity Map
bucketSensitivityMap() - Method in class org.drip.simm.product.RiskMeasureSensitivityCR
Retrieve the Credit Bucket Sensitivity Map
bucketSensitivityMap() - Method in class org.drip.simm.product.RiskMeasureSensitivityIR
Retrieve the Risk Class Bucket Sensitivity Map
BucketSensitivitySettings - Class in org.drip.simm.parameters
BucketSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket Sensitivities.
BucketSensitivitySettings(double, double, double) - Constructor for class org.drip.simm.parameters.BucketSensitivitySettings
BucketSensitivitySettings Constructor
BucketSensitivitySettingsCR - Class in org.drip.simm.parameters
BucketSensitivitySettingsCR holds the Delta Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations for each Credit Curve and its Tenor.
BucketSensitivitySettingsCR(Map<String, Double>, double, double, double) - Constructor for class org.drip.simm.parameters.BucketSensitivitySettingsCR
BucketSensitivitySettingsCR Constructor
BucketSensitivitySettingsIR - Class in org.drip.simm.parameters
BucketSensitivitySettingsIR holds the Delta Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
BucketSensitivitySettingsIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, LabelCorrelation, double, double) - Constructor for class org.drip.simm.parameters.BucketSensitivitySettingsIR
BucketSensitivitySettingsIR Constructor
bucketSensitivitySettingsMap() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Retrieve the Credit Bucket Sensitivity Settings Map
bucketSensitivitySettingsMap() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Retrieve the IR Bucket Sensitivity Settings Map
BucketSet() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
Retrieve the Commodity Risk Threshold Bucket Set
BucketSet() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
Retrieve the Commodity Risk Threshold Bucket Set
BucketSet() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
Retrieve the Set of Bucket Indexes available
BucketSet() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
Retrieve the Set of Bucket Indexes available
BucketSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
Retrieve the Set of Bucket Indexes available
BucketSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
Retrieve the Set of Bucket Indexes available
BucketSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
Retrieve the Set of Bucket Indexes available
BucketSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
Retrieve the Set of Bucket Indexes available
BucketSet() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
Retrieve the Bucket Number Set
BucketSet() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
Retrieve the Bucket Number Set
BucketSet() - Static method in class org.drip.simm.equity.EQSettingsContainer20
Retrieve the Set of Bucket Indexes available
BucketSet() - Static method in class org.drip.simm.equity.EQSettingsContainer21
Retrieve the Set of Bucket Indexes available
bucketSettingsMap() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Retrieve the Bucket Sensitivity Settings Map
BucketVegaSettings - Class in org.drip.simm.parameters
BucketVegaSettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket Vega Sensitivities.
BucketVegaSettings(double, double, double, double, double) - Constructor for class org.drip.simm.parameters.BucketVegaSettings
BucketVegaSettings Constructor
BucketVegaSettingsCR - Class in org.drip.simm.parameters
BucketVegaSettingsCR holds the Vega Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations for each Credit Curve and its Tenor.
BucketVegaSettingsCR(Map<String, Double>, double, double, double, double, double, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketVegaSettingsCR
BucketVegaSettingsCR Constructor
BucketVegaSettingsIR - Class in org.drip.simm.parameters
BucketVegaSettingsIR holds the Vega Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
BucketVegaSettingsIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, LabelCorrelation, double, double, double, double, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketVegaSettingsIR
BucketVegaSettingsIR Constructor
BudgetConstrainedAllocationClient - Class in org.drip.sample.service
BudgetConstrainedAllocationClient demonstrates the Invocation and Examination of the JSON-based Budget Constrained Portfolio Allocation Service Client.
BudgetConstrainedAllocationClient() - Constructor for class org.drip.sample.service.BudgetConstrainedAllocationClient
 
BudgetConstrainedAllocator(JSONObject) - Static method in class org.drip.json.assetallocation.PortfolioConstructionProcessor
JSON Based in/out Budget Constrained Mean Variance Allocation Thunker
BudgetConstrainedVarianceMinimizer - Class in org.drip.sample.assetallocation
BudgetConstrainedVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimizing Allocator with Budget/Weight Constraints.
BudgetConstrainedVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.BudgetConstrainedVarianceMinimizer
 
BuildFromDF(JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Build a Discount Curve from an array of discount factors
BuildManager - Class in org.drip.service.env
BuildManager maintains a Log of the Build Records.
BuildManager() - Constructor for class org.drip.service.env.BuildManager
 
BuildRecord - Class in org.drip.service.env
BuildRecord records the Build Log - DRIP Version, Java Version, and Build Time Stamp.
BuildRecord(String, String, String) - Constructor for class org.drip.service.env.BuildRecord
BuildRecord Constructor
buildRecords() - Static method in class org.drip.service.env.BuildManager
Retrieve the Array of Build Records
BuiltInCDSPortfolioDefinitions - Class in org.drip.sample.credit
BuiltInCDSPortfolioDefinitions displays the Built-in CDS Portfolios.
BuiltInCDSPortfolioDefinitions() - Constructor for class org.drip.sample.credit.BuiltInCDSPortfolioDefinitions
 
Bullet - Class in org.drip.analytics.cashflow
Bullet is designed to hold the Point Realizations of the Latent States relevant to Terminal Valuation of a Bullet Cash Flow.
Bullet(int, int, int, double, Array2D, String, String, EntityCDSLabel) - Constructor for class org.drip.analytics.cashflow.Bullet
Construct a Bullet Instance from the specified Parameters
BulletAgency - Class in org.drip.sample.bondfixed
BulletAgency demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
BulletAgency() - Constructor for class org.drip.sample.bondfixed.BulletAgency
 
BulletCorporate1 - Class in org.drip.sample.bondfixed
BulletCorporate1 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure Generation Functionality.
BulletCorporate1() - Constructor for class org.drip.sample.bondfixed.BulletCorporate1
 
BulletCorporate2 - Class in org.drip.sample.bondfixed
BulletCorporate2 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure Generation Functionality.
BulletCorporate2() - Constructor for class org.drip.sample.bondfixed.BulletCorporate2
 
BulletCorporate3 - Class in org.drip.sample.bondfixed
BulletCorporate3 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure Generation Functionality.
BulletCorporate3() - Constructor for class org.drip.sample.bondfixed.BulletCorporate3
 
BulletCorporate4 - Class in org.drip.sample.bondfixed
BulletCorporate4 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure Generation Functionality.
BulletCorporate4() - Constructor for class org.drip.sample.bondfixed.BulletCorporate4
 
BulletCorporate5 - Class in org.drip.sample.bondfixed
BulletCorporate5 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure Generation Functionality.
BulletCorporate5() - Constructor for class org.drip.sample.bondfixed.BulletCorporate5
 
BulletCorporate6 - Class in org.drip.sample.bondfixed
BulletCorporate6 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure Generation Functionality.
BulletCorporate6() - Constructor for class org.drip.sample.bondfixed.BulletCorporate6
 
BulletLIBORCorporate - Class in org.drip.sample.bondfloat
BulletLIBORCorporate demonstrates Non-EOS Floating Coupon Corporate Bond Pricing and Relative Value Measure Generation Functionality.
BulletLIBORCorporate() - Constructor for class org.drip.sample.bondfloat.BulletLIBORCorporate
 
BulletMetrics - Class in org.drip.analytics.output
BulletMetrics holds the results of the Bullet Cash flow metrics estimate output.
BulletMetrics(int, int, double, double, double, double, ConvexityAdjustment, EntityCDSLabel, FundingLabel, FXLabel) - Constructor for class org.drip.analytics.output.BulletMetrics
BulletMetrics Constructor
BulletSchedule() - Static method in class org.drip.quant.common.Array2D
Create an Array2D Instance from the Flat Unit Y
bumpDown() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the bump Down credit curve
bumpDown() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
Return the Bump Down Discount Curve
BumpedCreditCurve(JulianDate, String, String[], double[], double[], String, MergedDiscountForwardCurve, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
BumpedForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
BumpedForwardFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift
BumpedForwardVolatilityCurve(JulianDate, ForwardLabel, boolean, String[], double[], double[], String, MergedDiscountForwardCurve, ForwardCurve, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
BumpedFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
BumpedFXCurve(JulianDate, CurrencyPair, String[], double[], String, double, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Tenor + Parallel Map of FX Curve from the FX Instruments
BumpedGovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments
BumpedOvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Map of Tenor + Parallel Bumped Overnight Curves
bumpNodeValue(int, double) - Method in interface org.drip.analytics.definition.ExplicitBootCurve
Bump the node value at the node specified the index by the value
bumpNodeValue(int, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
 
bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
BumpQuotes(double[], double, boolean) - Static method in class org.drip.analytics.support.Helper
Bump the input array quotes
bumpRecoveryDown() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the recovery bump Down credit curve
bumpRecoveryUp() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the recovery bump up credit curve
bumpUp() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the bump up credit curve
bumpUp() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
Return the Bump Up Discount Curve
BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
Burgard Kjaer Gold Plated Two Way CSA Vertex Generator Scheme
BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
Burgard Kjaer Hedge Error Dual Bond Vertex Generator Scheme
BURGARD_KJAER_ONE_WAY_CSA_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
Burgard Kjaer One Way CSA Vertex Generator Scheme
BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
Burgard Kjaer Semi Replication Dual Bond Vertex Generator Scheme
BURGARD_KJAER_SET_OFF_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
Burgard Kjaer One Way CSA Vertex Generator Scheme
BurgardKjaer - Class in org.drip.xva.vertex
BurgardKjaer holds the Close Out Based Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group using the Generalized Burgard Kjaer (2013) Scheme.
BurgardKjaer(JulianDate, double, double, BurgardKjaerExposure, CollateralGroupVertexCloseOut, ReplicationPortfolioVertexDealer) - Constructor for class org.drip.xva.vertex.BurgardKjaer
BurgardKjaer Constructor
BurgardKjaerBuilder - Class in org.drip.xva.vertex
BurgardKjaerBuilder contains the Builders that construct the Burgard Kjaer Vertex using a Variant of the Generalized Burgard Kjaer (2013) Scheme.
BurgardKjaerBuilder() - Constructor for class org.drip.xva.vertex.BurgardKjaerBuilder
 
BurgardKjaerEdge - Class in org.drip.xva.pde
BurgardKjaerEdge holds the Underlier Stochastic and the Credit Risk Free Components of the XVA Derivative Value Growth, as laid out in Burgard and Kjaer (2014).
BurgardKjaerEdge(double, double, double, double, double) - Constructor for class org.drip.xva.pde.BurgardKjaerEdge
 
BurgardKjaerEdgeAttribution - Class in org.drip.xva.pde
BurgardKjaerEdgeAttribution collects the Attribution Components of the Burgard Kjaer PDE based on the Risk-Neutral Ito Evolution of the Derivative, as laid out in Burgard and Kjaer (2014).
BurgardKjaerEdgeAttribution(double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.xva.pde.BurgardKjaerEdgeAttribution
BurgardKjaerEdgeAttribution Constructor
BurgardKjaerEdgeRun - Class in org.drip.xva.pde
BurgardKjaerEdgeRun collects the Results of the Burgard Kjaer PDE based on the Risk-Neutral Ito Evolution of the Derivative, as laid out in Burgard and Kjaer (2014).
BurgardKjaerEdgeRun(double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.xva.pde.BurgardKjaerEdgeRun
BurgardKjaerEdgeRun Constructor
BurgardKjaerExposure - Class in org.drip.xva.vertex
BurgardKjaerExposure holds the Credit, the Debt, and the Funding Exposures, as well as the Collateral Balances at each Re-hypothecation Collateral Group using the Burgard Kjaer (2014) Scheme.
BurgardKjaerExposure(double, double, double, double) - Constructor for class org.drip.xva.vertex.BurgardKjaerExposure
BurgardKjaerExposure Constructor
BurgardKjaerOperator - Class in org.drip.xva.pde
BurgardKjaerOperator sets up the Parabolic Differential Equation PDE based on the Ito Evolution Differential for the Reference Underlier Asset, as laid out in Burgard and Kjaer (2014).
BurgardKjaerOperator(PrimarySecurityDynamicsContainer, PDEEvolutionControl) - Constructor for class org.drip.xva.pde.BurgardKjaerOperator
BurgardKjaerOperator Constructor
burstiness() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
Retrieve the Burstiness Parameter
BusinessDays(int, int, String) - Static method in class org.drip.analytics.daycount.Convention
Calculate the Number of Business Days between the Start and the End Dates

C

C() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
Return "C"
c1(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Custom C^1 Entry corresponding to the Specified Key
c1(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Retrieve the Custom C^1 Entry corresponding to the Specified Key
C1() - Method in class org.drip.spline.pchip.AkimaLocalC1Generator
 
C1() - Method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Retrieve the C1 Array
C1_AKIMA - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Akima
C1_BESSEL - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Bessel
C1_HARMONIC - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Harmonic
C1_HUYNH_LE_FLOCH - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Huynh - Le Floch Limiter
C1_HYMAN83 - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Hyman83
C1_HYMAN89 - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Hyman89
C1_KRUGER - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Kruger
C1_MONOTONE_CONVEX - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Monotone Convex
C1_VAN_LEER - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Van Leer Limiter
C1_VANILLA - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
C1 Type: Vanilla
C1ArrayTranslateShuffle - Class in org.drip.sample.algo
C1ArrayTranslateShuffle demonstrates the Functionality that conducts an in-place Translation and Shuffling of a Big String Instance.
C1ArrayTranslateShuffle() - Constructor for class org.drip.sample.algo.C1ArrayTranslateShuffle
 
C1GeneratorScheme() - Method in class org.drip.state.estimator.LocalControlCurveParams
Retrieve the C1 Generator Scheme
CacheManager - Class in org.drip.service.env
CacheManager implements the DRIP Cache Management Functionality, and contains the Functions to Add, Delete, Retrieve, and Time out a Key-Value Pair along the lines of memcached.
CacheManager() - Constructor for class org.drip.service.env.CacheManager
 
CacheManagerAPI - Class in org.drip.sample.env
CacheManagerAPI demonstrates Cache Manager API Functionality.
CacheManagerAPI() - Constructor for class org.drip.sample.env.CacheManagerAPI
 
CAD - Class in org.drip.template.irs
CAD contains a Templated Pricing of the OTC Fix-Float CAD IRS Instrument.
CAD() - Constructor for class org.drip.template.irs.CAD
 
CAD3M6MUSD3M6M - Class in org.drip.sample.dual
CAD3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from CAD3M6MUSD3M6M CCBS, CAD 3M, CAD 6M, and USD 6M Quotes.
CAD3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.CAD3M6MUSD3M6M
 
CADCDOR3M - Class in org.drip.template.forwardratefutures
CADCDOR3M contains a Templated Pricing of the CDOR 3M CAD Futures Instrument.
CADCDOR3M() - Constructor for class org.drip.template.forwardratefutures.CADCDOR3M
 
CADHoliday - Class in org.drip.analytics.holset
 
CADHoliday() - Constructor for class org.drip.analytics.holset.CADHoliday
 
CADIRSAttribution - Class in org.drip.sample.fixfloatpnl
CADIRSAttribution generates the Historical PnL Attribution for CAD IRS.
CADIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CADIRSAttribution
 
CADOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
CADOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CAD Input OIS Marks.
CADOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.CADOISSmoothReconstitutor
 
CADShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
CADShapePreserving1YForward Generates the Historical CAD Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
CADShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.CADShapePreserving1YForward
 
CADShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
CADShapePreserving1YStart Generates the Historical CAD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
CADShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CADShapePreserving1YStart
 
CADShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
CADShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the CAD Input Marks.
CADShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CADShapePreservingReconstitutor
 
CADSmooth1MForward - Class in org.drip.sample.overnighthistorical
CADSmooth1MForward Generates the Historical CAD Smoothened Overnight Curve Native 1M Compounded Forward Rate.
CADSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.CADSmooth1MForward
 
CADSmooth1YForward - Class in org.drip.sample.fundinghistorical
CADSmooth1YForward Generates the Historical CAD Smoothened Funding Curve Native 1Y Compounded Forward Rate.
CADSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.CADSmooth1YForward
 
CADSmoothReconstitutor - Class in org.drip.sample.fundingfeed
CADSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CAD Input Marks.
CADSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CADSmoothReconstitutor
 
CAEHoliday - Class in org.drip.analytics.holset
 
CAEHoliday() - Constructor for class org.drip.analytics.holset.CAEHoliday
 
calcAbsoluteOFTolerance(double) - Method in class org.drip.function.r1tor1solver.ExecutionControl
Calculate the absolute OF tolerance using the initial OF value
calcAbsoluteVariateConvergence(double) - Method in class org.drip.function.r1tor1solver.ExecutionControl
Calculate the absolute variate convergence amount using the initial variate
calcConservedConstraint() - Method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
 
calcDResponseDManifest(String, double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calculate the Ordered Derivative of the Response to the Manifest
calcDResponseDPreceedingManifest(String, double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calculate the Ordered Derivative of the Response to the Preceeding Manifest
calcLeftEdgeDerivative(int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
calcLeftEdgeDerivative(int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Calculate the Derivative of the requested order at the Left Edge of the Stretch
calcNextVariate(double, double, double, double, int, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
 
CalcRateIndex(String, int) - Static method in class org.drip.analytics.support.Helper
Calculate the rate index from the coupon currency and the frequency
calcResponseValue(double) - Method in class org.drip.spline.grid.AggregatedSpan
 
calcResponseValue(double) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
calcResponseValue(double) - Method in interface org.drip.spline.grid.Span
Compute the Response from the containing Stretches
calcResponseValueDerivative(double, int) - Method in class org.drip.spline.grid.AggregatedSpan
 
calcResponseValueDerivative(double, int) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
calcResponseValueDerivative(double, int) - Method in interface org.drip.spline.grid.Span
Compute the Response Value Derivative from the containing Stretches
calcResponseValueDerivative(double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calculate the Ordered Response Value Derivative at the Predictor Ordinate
calcRightEdgeDerivative(int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
calcRightEdgeDerivative(int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Calculate the Derivative of the requested order at the right Edge of the Stretch
calcSlope(boolean) - Method in class org.drip.quant.calculus.Differential
Retrieve the Delta for the variate
calcSPRD(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
calcSPRD(double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Calculate the SPRD at the specified Predictor Ordinate
calcTime() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Calculation Time
calculationType() - Method in class org.drip.product.credit.BondComponent
 
calculationType() - Method in class org.drip.product.definition.Bond
Return the bond's calculation type
calculationType() - Method in class org.drip.product.params.QuoteConvention
Retrieve the Calculation Type
calendar() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Calendar
calendar() - Method in class org.drip.analytics.daycount.DateAdjustParams
Retrieve the Roll Holiday Calendar
calendar() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Retrieve the Date Adjustment Calendar
calendar() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Index Holiday Calendar
calendar() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Settle Calendar
calendar() - Method in class org.drip.market.issue.TreasurySetting
Retrieve the Calendar
calendar() - Method in class org.drip.market.otc.FixedStreamConvention
Retrieve the Holiday Calendar
calendar() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Calendar
calendar() - Method in class org.drip.param.quoting.YieldInterpreter
Retrieve the Calendar
calendar() - Method in class org.drip.param.valuation.CashSettleParams
Retrieve the Settle Calendar
calendar() - Method in class org.drip.param.valuation.ValuationParams
Retrieve the Calendar
calendar() - Method in class org.drip.product.rates.Stream
Retrieve the Calendar
CalendarAPI - Class in org.drip.sample.date
CalendarAPI demonstrates Calendar API Functionality.
CalendarAPI() - Constructor for class org.drip.sample.date.CalendarAPI
 
calendarSet() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the CSA Calendar Set
calibComp() - Method in interface org.drip.analytics.definition.Curve
Retrieve the Calibration Components
calibComp() - Method in class org.drip.analytics.definition.MarketSurface
 
calibComp() - Method in class org.drip.analytics.definition.NodeStructure
 
calibComp() - Method in class org.drip.state.basis.BasisCurve
 
calibComp() - Method in class org.drip.state.credit.CreditCurve
 
calibComp() - Method in class org.drip.state.curve.DerivedZeroRate
 
calibComp() - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
calibComp() - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
calibComp() - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
calibComp() - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
 
calibComp() - Method in class org.drip.state.forward.ForwardCurve
 
calibComp() - Method in class org.drip.state.fx.FXCurve
 
calibComp() - Method in class org.drip.state.govvie.ExplicitBootGovvieCurve
 
calibComp() - Method in class org.drip.state.govvie.GovvieCurve
 
calibComp() - Method in class org.drip.state.repo.RepoCurve
 
calibDiscCurveSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
Calibrate the bond Z Spread from the market price.
calibFlatSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
Calibrate the CDS's flat spread from the calculated up-front points
calibFlatSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CreditDefaultSwap
Calibrate the CDS's flat spread from the calculated up-front points
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
 
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
 
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CalibratableComponent
Generate a Map of the Calibration Measures
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
 
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.OptionComponent
 
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
 
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
 
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
 
calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
 
calibParams() - Method in class org.drip.param.pricer.CreditPricerParams
Retrieve the Calibration Parameters Instance
calibPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Component from the Market Inputs.
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.credit.BondComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.credit.CDSComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Product Specific Calibration Quote Set
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.fra.FRAStandardComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.fx.FXForwardComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.govvie.TreasuryComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.CDSEuropeanOption
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.FixFloatEuropeanOption
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.OptionComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.FixFloatComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.FloatFloatComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.RatesBasket
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.SingleStreamComponent
 
calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.Stream
Generate the Calibration Quote Set corresponding to the specified Latent State Array
CalibratableComponent - Class in org.drip.product.definition
CalibratableComponent abstract class provides implementation of Component's calibration interface.
CalibratableComponent() - Constructor for class org.drip.product.definition.CalibratableComponent
 
CalibratableFixedIncomeComponentForwardArray(CalibratableComponent) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
Decompose the Rates Component into an Array of Single Forward Rates Components
CalibratableMultiSegmentSequence - Class in org.drip.spline.stretch
CalibratableMultiSegmentSequence implements the MultiSegmentSequence span that spans multiple segments.
CalibratableMultiSegmentSequence(String, LatentStateResponseModel[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.spline.stretch.CalibratableMultiSegmentSequence
CalibratableMultiSegmentSequence constructor - Construct a sequence of Basis Spline Segments
calibrate(LatentStateResponseModel, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calibrate the coefficients from the prior Predictor/Response Segment, the Constraint, and fitness Weights
calibrate(LatentStateResponseModel, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calibrate the coefficients from the prior Segment and the Response Value at the Right Predictor Ordinate
calibrate(double, double, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calibrate the Coefficients from the Edge Response Values and the Left Edge Response Slope
calibrate(SegmentResponseValueConstraint, double, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calibrate the coefficients from the Left Edge Response Value Constraint, the Left Edge Response Value Slope, and the Right Edge Response Value Constraint
CALIBRATE - Static variable in interface org.drip.spline.stretch.MultiSegmentSequence
Calibration Detail: Calibrate the Stretch as part of the set up
CALIBRATE_JACOBIAN - Static variable in interface org.drip.spline.stretch.MultiSegmentSequence
Calibration Detail: Calibrate the Stretch AND compute Jacobian as part of the set up
calibrateCreditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
Calibrate the bond Credit Basis from the market price
calibrateDCBasisFromFwdPriceNR(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent.FXBasisCalibrator
Calibrate the discount curve basis from FXForward using Newton-Raphson methodology
calibrateHazardFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.CDSComponent.SpreadCalibrator
Calibrate the hazard rate from calibration price
calibrateLocalManifestJacobian(String, SegmentStateCalibrationInputs, SegmentBasisFlexureConstraint[]) - Method in class org.drip.spline.segment.LatentStateResponseModel
Sensitivity Calibrator: Calibrate the Segment Local Manifest Jacobian from the Calibration Parameter Set
calibrateManifestJacobian(SegmentStateCalibrationInputs, SegmentBasisFlexureConstraint[]) - Method in class org.drip.spline.segment.LatentStateResponseModel
Sensitivity Calibrator: Calibrate the Segment Manifest Measure Jacobian from the Calibration Inputs
calibrateOASFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
Calibrate the Bond OAS from the Market Price using the Root Bracketing Technique.
calibratePreceedingManifestJacobian(String, SegmentStateCalibrationInputs) - Method in class org.drip.spline.segment.LatentStateResponseModel
Sensitivity Calibrator: Calibrate the Segment Preceeding Manifest Jacobian from the Calibration Parameter Set
calibrateSpan(LatentStateStretchSpec[], double, ValuationParams, CreditPricerParams, ValuationCustomizationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.state.inference.LinearLatentStateCalibrator
Calibrate the Span from the Instruments in the Stretches and their Details.
calibrateState(SegmentStateCalibrationInputs) - Method in class org.drip.spline.segment.LatentStateResponseModel
Main Calibrator: Calibrate the Segment State from the Calibration Parameter Set
calibrateYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
Calibrate the bond yield from the market price using the root bracketing technique.
calibrateZSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
Calibrate the bond Z Spread from the market price using the root bracketing technique.
CALIBRATION_TYPE_FLAT_CURVE_NODES - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
 
CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
 
CALIBRATION_TYPE_NODE_PARALLEL_BUMP - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
 
calibrationBoundaryCondition() - Method in class org.drip.state.estimator.GlobalControlCurveParams
Retrieve the Calibration Boundary Condition
calibrationDetail() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
Retrieve the Calibration Detail
CalibrationEmpirics - Class in org.drip.execution.athl
CalibrationEmpirics contains the Universal Market Impact Exponent/Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
CalibrationEmpirics() - Constructor for class org.drip.execution.athl.CalibrationEmpirics
 
CalibrationParams - Class in org.drip.param.definition
CalibrationParams the calibration parameters - the measure to be calibrated, the type/nature of the calibration to be performed, and the work-out date to which the calibration is done.
CalibrationParams(String, int, WorkoutInfo) - Constructor for class org.drip.param.definition.CalibrationParams
CalibrationParams constructor
calibSegmentSequence(int) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
 
calibSegmentSequence(int) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
Calibrate the Segment Sequence in the Stretch
calibSegmentSequence(int) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
 
calibStartingSegment(double) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
 
calibStartingSegment(double) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
Calibrate the Starting Segment using the LeftSlope
calibStartingSegment(double) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
 
calibZeroCurveSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
Calibrate the bond Z Spread from the market price.
CALL_NOTICE_PERIOD_DEFAULT - Static variable in class org.drip.product.params.EmbeddedOptionSchedule
 
callable() - Method in class org.drip.product.credit.BondComponent
 
callable() - Method in class org.drip.product.definition.Bond
Indicate if the bond is callable
callMetrics(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, GovvieBuilderSettings, DiffusionEvolver, int) - Method in class org.drip.product.credit.BondComponent
Generate the EOS Callable Option Adjusted Metrics
CallPriceSplineSurface - Class in org.drip.sample.stochasticvolatility
CallPriceSplineSurface demonstrates the spline volatility surface generated by a stochastic volatility algorithm, i.e., in this case the Heston 1993 algorithm.
CallPriceSplineSurface() - Constructor for class org.drip.sample.stochasticvolatility.CallPriceSplineSurface
 
callSchedule() - Method in class org.drip.product.credit.BondComponent
 
callSchedule() - Method in class org.drip.product.definition.Bond
Return the bond's embedded call schedule
CallVolSplineSurface - Class in org.drip.sample.stochasticvolatility
CallVolSplineSurface demonstrates the spline volatility surface generator by a stochastic volatility algorithm, i.e., in this case the Heston 1993 algorithm.
CallVolSplineSurface() - Constructor for class org.drip.sample.stochasticvolatility.CallVolSplineSurface
 
CAN(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Canadian Government CAD CAN Bond
CANBenchmarkAttribution - Class in org.drip.sample.treasurypnl
CANBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the CAN Benchmark Bond Series.
CANBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.CANBenchmarkAttribution
 
Canhzhou - Class in org.drip.sample.bondeos
Canhzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Canhzhou.
Canhzhou() - Constructor for class org.drip.sample.bondeos.Canhzhou
 
canonicalTruthness(String) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
canonicalTruthness(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Convert the inferred Formulation Constraint into a "Truthness" Entity
canonicalTruthness(String) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
CANReconstitutor - Class in org.drip.sample.treasuryfeed
CANReconstitutor demonstrates the Cleansing and Re-constitution of the CAN Yield Marks obtained from Historical Yield Curve Prints.
CANReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.CANReconstitutor
 
CapFloor(JulianDate, ForwardLabel, String, double, boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Instance of the Standard OTC FRA Cap/Floor
CapFloor(JulianDate, ForwardLabel, String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Instance of the Standard OTC FRA Cap/Floor
capFloorlets() - Method in class org.drip.product.fra.FRAStandardCapFloor
Retrieve the List of the Underlying Caplets/Floorlets
CapitalAllocationLine - Class in org.drip.portfolioconstruction.mpt
CapitalAllocationLine implements the Efficient Half-line created from the Combination of the Risk Free Asset and the Tangency Point of the CAPM Market Portfolio.
CapitalAllocationLine(double, PortfolioMetrics) - Constructor for class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
CapitalAllocationLine Constructor
CARD_COUNTABLY_FINITE - Static variable in class org.drip.spaces.tensor.Cardinality
Cardinality Type - Countably Finite
CARD_COUNTABLY_INFINITE - Static variable in class org.drip.spaces.tensor.Cardinality
Cardinality Type - Countably Infinite
CARD_UNCOUNTABLY_INFINITE - Static variable in class org.drip.spaces.tensor.Cardinality
Cardinality Type - Uncountably Infinite
CardinalEdgeAggregate(SegmentPredictorResponseDerivative, SegmentPredictorResponseDerivative, double) - Static method in class org.drip.spline.params.SegmentPredictorResponseDerivative
Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight
Cardinality - Class in org.drip.spaces.tensor
Cardinality contains the Type and the Measure of the Cardinality of the given Vector Space.
Cardinality(int, double) - Constructor for class org.drip.spaces.tensor.Cardinality
Cardinality Constructor
cardinality() - Method in interface org.drip.spaces.tensor.GeneralizedVector
Retrieve the Cardinality of the Vector Space
cardinality() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
cardinality() - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
cardinality() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
 
cardinality() - Method in class org.drip.spaces.tensor.RdContinuousVector
 
CarlStephaniNormedBounds - Class in org.drip.spaces.cover
CarlStephaniNormedBounds contains the Normed Bounds that result from the Convolution Product of 2 Normed R^x To Normed R^x Function Spaces.
CarlStephaniNormedBounds(double, double) - Constructor for class org.drip.spaces.cover.CarlStephaniNormedBounds
CarlStephaniNormedBounds Constructor
CarlStephaniProductBound(MaureyOperatorCoveringBounds, MaureyOperatorCoveringBounds, int, int) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
Compute the Upper Bound for the Entropy Number of the Operator Custom Covering Number Metric Product across both the Function Classes
CarlStephaniProductBounds - Class in org.drip.spaces.cover
CarlStephaniProductBounds implements the Bounds that result from the Convolution Product Product of 2 Normed R^x To Normed R^x Function Spaces.
CarlStephaniProductBounds(NormedRxToNormedRxFinite, NormedRxToNormedRxFinite) - Constructor for class org.drip.spaces.cover.CarlStephaniProductBounds
CarlStephaniProductBounds Constructor
CarlStephaniProductNorm(MaureyOperatorCoveringBounds, MaureyOperatorCoveringBounds, double, double, int) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
Compute the Upper Bound for the Entropy Number of the Operator Custom Covering Number Metric Product across both the Function Classes using the Function Class Norm
carry1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Carry PnL
carry1MPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1M Carry PnL
carry3MPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 3M Carry PnL
CaseInsensitiveHashMap<V> - Class in org.drip.analytics.support
CaseInsensitiveHashMap implements a Case Insensitive Key in a Hash Map
CaseInsensitiveHashMap() - Constructor for class org.drip.analytics.support.CaseInsensitiveHashMap
 
CaseInsensitiveTreeMap<V> - Class in org.drip.analytics.support
CaseInsensitiveTreeMap implements a Case Insensitive Key in a Tree Map
CaseInsensitiveTreeMap() - Constructor for class org.drip.analytics.support.CaseInsensitiveTreeMap
 
cash() - Method in class org.drip.portfolioconstruction.composite.Holdings
Retrieves the Cash Holdings
cash() - Method in class org.drip.xva.basel.BalanceSheetVertex
Retrieve the Cash Account
cashAccount() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Retrieve the Cash Account Amount
CashAccountEdge - Class in org.drip.xva.derivative
CashAccountEdge holds the Increments of the Cash Account Components resulting from the Dynamic Replication Process.
CashAccountEdge(double, double, double) - Constructor for class org.drip.xva.derivative.CashAccountEdge
CashAccountEdge Constructor
cashAccountEdge() - Method in class org.drip.xva.derivative.CashAccountRebalancer
Retrieve the Cash Account Edge Instance
cashAccountEdge() - Method in class org.drip.xva.derivative.EvolutionTrajectoryEdge
Retrieve the Cash Account Edge
CashAccountRebalancer - Class in org.drip.xva.derivative
CashAccountRebalancer holds the Edge Cash Account Increment and the Edge Derivative Value Update for a Trajectory that has just undergone Cash Account Re-balancing, as laid out in Burgard and Kjaer (2014).
CashAccountRebalancer(CashAccountEdge, double) - Constructor for class org.drip.xva.derivative.CashAccountRebalancer
CashAccountRebalancer Constructor
cashAccumulationRate() - Method in class org.drip.exposure.evolver.Equity
 
cashAccumulationRate() - Method in class org.drip.exposure.evolver.PrimarySecurity
Retrieve the Cash Accumulation Rate
cashflowCurrencySet() - Method in class org.drip.product.rates.Stream
Retrieve the Cash Flow Currency Set
CashFlowEstimator - Interface in org.drip.state.csa
CashFlowEstimator estimates the Cash Flow Rate to be applied between the specified Dates.
cashFlowList() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
Retrieve the List of Net Liability Cash Flows
cashFlowPeriod() - Method in class org.drip.product.rates.Stream
Retrieve the Coupon Period List
CashJacobianRegressorSet - Class in org.drip.regression.curvejacobian
CashJacobianRegressorSet implements the regression analysis set for the Cash product related Sensitivity Jacobians.
CashJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.CashJacobianRegressorSet
 
cashPayDate() - Method in class org.drip.param.valuation.ValuationParams
Retrieve the Cash Pay Date
cashQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Cash Quotes
cashSettleDate(int) - Method in class org.drip.param.valuation.CashSettleParams
Construct and return the cash settle date from the valuation date
CashSettleParams - Class in org.drip.param.valuation
CashSettleParams is the place-holder for the cash settlement parameters for a given product.
CashSettleParams(int, String, int) - Constructor for class org.drip.param.valuation.CashSettleParams
Construct the CashSettleParams object from the settle lag and the settle calendar objects
cashSettleParams() - Method in class org.drip.product.credit.BondComponent
 
cashSettleParams() - Method in class org.drip.product.credit.CDSComponent
 
cashSettleParams() - Method in class org.drip.product.definition.Component
Get the Product's cash settlement parameters
cashSettleParams() - Method in class org.drip.product.fx.FXForwardComponent
 
cashSettleParams() - Method in class org.drip.product.govvie.TreasuryFutures
 
cashSettleParams() - Method in class org.drip.product.option.OptionComponent
 
cashSettleParams() - Method in class org.drip.product.params.QuoteConvention
Retrieve the Cash Settle Parameters
cashSettleParams() - Method in class org.drip.product.rates.FixFloatComponent
 
cashSettleParams() - Method in class org.drip.product.rates.FloatFloatComponent
 
cashSettleParams() - Method in class org.drip.product.rates.RatesBasket
 
cashSettleParams() - Method in class org.drip.product.rates.SingleStreamComponent
 
cashTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Cash Tenors
category() - Method in class org.drip.portfolioconstruction.composite.Benchmark
Retrieve the Benchmark Category
category() - Method in class org.drip.portfolioconstruction.optimizer.FormulationTerm
Retrieve the Objective Term Category
category() - Method in class org.drip.simm.fx.FXRiskGroup
Retrieve the FX Risk Group Category
CategoryDeltaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Category Delta Concentration Threshold Map
CategoryDeltaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Category Delta Concentration Threshold Map
CategoryDeltaThreshold(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Delta Threshold for the Category specified
CategoryDeltaThreshold(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Delta Threshold for the Category specified
CategorySet() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Category Set
CategorySet() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Category Set
CategoryVegaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Category Vega Concentration Threshold Map
CategoryVegaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Category Vega Concentration Threshold Map
CategoryVegaThreshold(int, int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Vega Threshold for the Category Pair specified
CategoryVegaThreshold(int, int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Vega Threshold for the Category Pair specified
cauchySchwarzAbsoluteBound() - Method in class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
Retrieve the Cauchy-Schwarz Joint Expectation Bound
CC_BASE - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
CC Scenario Base
CC_FLAT_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
CC Scenario Parallel Down
CC_FLAT_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
CC Scenario Parallel Up
CC_RR_FLAT_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
CC Scenario Recovery Parallel Down
CC_RR_FLAT_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
CC Scenario Recovery Parallel Up
CC_TENOR_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
CC Scenario Tenor Down
CC_TENOR_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
CC Scenario Tenor Up
CCBSDiscountCurve - Class in org.drip.sample.dual
CCBSDiscountCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.
CCBSDiscountCurve() - Constructor for class org.drip.sample.dual.CCBSDiscountCurve
 
CCBSForwardCurve - Class in org.drip.sample.dual
CCBSForwardCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.
CCBSForwardCurve() - Constructor for class org.drip.sample.dual.CCBSForwardCurve
 
cdf() - Method in class org.drip.exposure.regression.PykhtinPillar
Retrieve the Point Exposure CDF
CDF(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
Compute the Cumulative Distribution Function up to the specified variate
CDS(JulianDate, String, double, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an Instance of the OTC CDS.
CDS(JulianDate, String[], double[], String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an Array of the OTC CDS Instance.
CDSBasket - Class in org.drip.product.credit
CDSBasket implements the basket default swap product contract details.
CDSBasket(Component[], double[], String) - Constructor for class org.drip.product.credit.CDSBasket
Construct a CDS Basket from the components and their weights
CDSBasketBuilder - Class in org.drip.product.creator
CDSBasketBuilder contains the suite of helper functions for creating the CDS Basket Product from different kinds of inputs and byte streams.
CDSBasketBuilder() - Constructor for class org.drip.product.creator.CDSBasketBuilder
 
CDSBasketMeasures - Class in org.drip.sample.credit
CDSBasketMeasures contains a demo of the CDS Basket Measures Generation Sample.
CDSBasketMeasures() - Constructor for class org.drip.sample.credit.CDSBasketMeasures
 
CDSBuilder - Class in org.drip.product.creator
CDSBuilder contains the suite of helper functions for creating the CreditDefaultSwap product from the parameters/byte array streams.
CDSBuilder() - Constructor for class org.drip.product.creator.CDSBuilder
 
CDSCashFlowMeasures - Class in org.drip.sample.credit
CDSCashFlowMeasures contains a demo of the CDS Measures and Cash flow Generation Sample.
CDSCashFlowMeasures() - Constructor for class org.drip.sample.credit.CDSCashFlowMeasures
 
CDSComponent - Class in org.drip.product.credit
CDSComponent implements the credit default swap product contract details.
CDSComponent(int, int, double, int, String, String, String, boolean, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, double, String, CreditSetting, String) - Constructor for class org.drip.product.credit.CDSComponent
CDSComponent constructor: Most generic CDS creation functionality
CDSComponent.SpreadCalibOP - Class in org.drip.product.credit
CDS spread calibration output
CDSComponent.SpreadCalibrator - Class in org.drip.product.credit
Implementation of the CDS spread calibrator
cdsContractType() - Method in class org.drip.param.quoting.QuotedSpreadInterpreter
Retrieve the CDS Contract Type
CDSEuropeanOption - Class in org.drip.product.option
CDSEuropeanOption implements the Payer/Receiver European Option on a CDS.
CDSEuropeanOption(String, CreditDefaultSwap, String, boolean, double, LastTradingDateSetting, FokkerPlanckGenerator, CashSettleParams) - Constructor for class org.drip.product.option.CDSEuropeanOption
CDSEuropeanOption constructor
CDSMarketSnap - Class in org.drip.historical.attribution
CDSMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given Credit Default Swap Position.
CDSMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.CDSMarketSnap
CDSMarketSnap Constructor
CDSO - Class in org.drip.sample.bloomberg
CDSO contains the sample demonstrating the replication of Bloomberg's CDSO functionality.
CDSO() - Constructor for class org.drip.sample.bloomberg.CDSO
 
CDSPayerReceiver - Class in org.drip.sample.creditoption
MultiCurvePayerReceiver contains the Demonstration of Valuing a Payer/Receiver CDS European Option Sample.
CDSPayerReceiver() - Constructor for class org.drip.sample.creditoption.CDSPayerReceiver
 
CDSPayerReceiverAnalysis - Class in org.drip.sample.creditoption
CDSPayerReceiverAnalysis carries out a Volatility Analysis of Payer/Receiver CDS European Option.
CDSPayerReceiverAnalysis() - Constructor for class org.drip.sample.creditoption.CDSPayerReceiverAnalysis
 
CDSValuationMetrics - Class in org.drip.sample.credit
CDSValuationMetrics contains the Demonstration of Valuing a Payer/Receiver CDS European Option Sample.
CDSValuationMetrics() - Constructor for class org.drip.sample.credit.CDSValuationMetrics
 
CDSW - Class in org.drip.sample.bloomberg
CDSW contains the sample demonstrating the replication of Bloomberg's CDSW functionality.
CDSW() - Constructor for class org.drip.sample.bloomberg.CDSW
 
CDXCOB - Class in org.drip.service.api
CDXCOB contains the Name and the COB Price for a given CDX.
CDXCOB(String, double) - Constructor for class org.drip.service.api.CDXCOB
CDXCOB constructor
CDXIdentifier - Class in org.drip.product.params
CDXIdentifier implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA standardized CDS indexes.
CDXIdentifier(int, int, String, String) - Constructor for class org.drip.product.params.CDXIdentifier
Create the CDX identifier from the CDX index, series, tenor, and the version
CDXNAIGS155YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS155YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S15 Index.
CDXNAIGS155YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS155YAttribution
 
CDXNAIGS155YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS155YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S15 5Y.
CDXNAIGS155YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS155YMetrics
 
CDXNAIGS155YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS155YReconstitutor Cleanses the Input CDX.NA.IG S15 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS155YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS155YReconstitutor
 
CDXNAIGS165YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS165YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S16 Index.
CDXNAIGS165YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS165YAttribution
 
CDXNAIGS165YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS165YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S16 5Y.
CDXNAIGS165YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS165YMetrics
 
CDXNAIGS165YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS165YReconstitutor Cleanses the Input CDX.NA.IG S16 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS165YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS165YReconstitutor
 
CDXNAIGS175YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS175YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S17 Index.
CDXNAIGS175YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS175YAttribution
 
CDXNAIGS175YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS175YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S17 5Y.
CDXNAIGS175YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS175YMetrics
 
CDXNAIGS175YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS175YReconstitutor Cleanses the Input CDX.NA.IG S17 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS175YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS175YReconstitutor
 
CDXNAIGS185YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS185YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S18 Index.
CDXNAIGS185YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS185YAttribution
 
CDXNAIGS185YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS185YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S18 5Y.
CDXNAIGS185YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS185YMetrics
 
CDXNAIGS185YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS185YReconstitutor Cleanses the Input CDX.NA.IG S18 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS185YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS185YReconstitutor
 
CDXNAIGS195YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS195YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S19 Index.
CDXNAIGS195YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS195YAttribution
 
CDXNAIGS195YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS195YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S19 5Y.
CDXNAIGS195YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS195YMetrics
 
CDXNAIGS195YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS195YReconstitutor Cleanses the Input CDX.NA.IG S19 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS195YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS195YReconstitutor
 
CDXNAIGS205YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS205YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S20 Index.
CDXNAIGS205YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS205YAttribution
 
CDXNAIGS205YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS205YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S20 5Y.
CDXNAIGS205YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS205YMetrics
 
CDXNAIGS205YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS205YReconstitutor Cleanses the Input CDX.NA.IG S20 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS205YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS205YReconstitutor
 
CDXNAIGS215YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS215YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S21 Index.
CDXNAIGS215YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS215YAttribution
 
CDXNAIGS215YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS215YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S21 5Y.
CDXNAIGS215YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS215YMetrics
 
CDXNAIGS215YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS215YReconstitutor Cleanses the Input CDX.NA.IG S21 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS215YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS215YReconstitutor
 
CDXNAIGS225YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS225YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S22 Index.
CDXNAIGS225YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS225YAttribution
 
CDXNAIGS225YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS225YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S22 5Y.
CDXNAIGS225YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS225YMetrics
 
CDXNAIGS225YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS225YReconstitutor Cleanses the Input CDX.NA.IG S22 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS225YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS225YReconstitutor
 
CDXNAIGS235YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS235YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S23 Index.
CDXNAIGS235YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS235YAttribution
 
CDXNAIGS235YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS235YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S23 5Y.
CDXNAIGS235YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS235YMetrics
 
CDXNAIGS235YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS235YReconstitutor Cleanses the Input CDX.NA.IG S23 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS235YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS235YReconstitutor
 
CDXNAIGS245YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS245YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S24 Index.
CDXNAIGS245YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS245YAttribution
 
CDXNAIGS245YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS245YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S24 5Y.
CDXNAIGS245YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS245YMetrics
 
CDXNAIGS245YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS245YReconstitutor Cleanses the Input CDX.NA.IG S24 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS245YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS245YReconstitutor
 
CDXNAIGS255YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS255YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S25 Index.
CDXNAIGS255YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS255YAttribution
 
CDXNAIGS255YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS255YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S25 5Y.
CDXNAIGS255YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS255YMetrics
 
CDXNAIGS255YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS255YReconstitutor Cleanses the Input CDX.NA.IG S25 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS255YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS255YReconstitutor
 
CDXNAIGS265YAttribution - Class in org.drip.sample.creditindexpnl
CDXNAIGS265YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S26 Index.
CDXNAIGS265YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS265YAttribution
 
CDXNAIGS265YMetrics - Class in org.drip.sample.credithistorical
CDXNAIGS265YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX NA IG S26 5Y.
CDXNAIGS265YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS265YMetrics
 
CDXNAIGS265YReconstitutor - Class in org.drip.sample.creditfeed
CDXNAIGS265YReconstitutor Cleanses the Input CDX.NA.IG S26 5Y CDS Price Marks and saves them into a usable and Process-able Format.
CDXNAIGS265YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS265YReconstitutor
 
CDXRefData - Class in org.drip.feed.loader
CDXRefData contains the functionality to load the standard CDX reference data and definitions, and create compile time static classes for these definitions.
CDXRefData() - Constructor for class org.drip.feed.loader.CDXRefData
 
CDXRefDataHolder - Class in org.drip.product.creator
 
CDXRefDataHolder() - Constructor for class org.drip.product.creator.CDXRefDataHolder
 
CDXRefDataParams - Class in org.drip.product.params
CDXRefDataParams contains the complete set of reference data that corresponds to the contract of a standard CDX.
CDXRefDataParams() - Constructor for class org.drip.product.params.CDXRefDataParams
Empty Default constructor
centralMomentBound(double, int) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Mean Departure Bounds Using the Central Moment Bounding Inequality
CERHoliday - Class in org.drip.analytics.holset
 
CERHoliday() - Constructor for class org.drip.analytics.holset.CERHoliday
 
cet1() - Method in class org.drip.xva.basel.BalanceSheetVertex
Estimate the Core Equity Tier I (CET1) Capital
cet1Change() - Method in class org.drip.xva.basel.BalanceSheetEdge
Compute the CET1 Change
cet1Change() - Method in class org.drip.xva.basel.OTCAccountingPolicy
Retrieve the CET1 Change
CEV(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Static method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Create a Constant Elasticity of Variance SABR Instance
CF1() - Static method in class org.drip.xva.basel.ValueCategory
Retrieve an Instance of the CF1 Cash Flow
CF2() - Static method in class org.drip.xva.basel.ValueCategory
Retrieve an Instance of the CF2 Cash Flow
CF3() - Static method in class org.drip.xva.basel.ValueCategory
Retrieve an Instance of the CF3 Cash Flow
CF4() - Static method in class org.drip.xva.basel.ValueCategory
Retrieve an Instance of the CF4 Cash Flow
CF5() - Static method in class org.drip.xva.basel.ValueCategory
Retrieve an Instance of the CF5 Cash Flow
CF6() - Static method in class org.drip.xva.basel.ValueCategory
Retrieve an Instance of the CF6 Cash Flow
CFFHoliday - Class in org.drip.analytics.holset
 
CFFHoliday() - Constructor for class org.drip.analytics.holset.CFFHoliday
 
Chandigarh - Class in org.drip.sample.bondeos
Chandigarh demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Chandigarh.
Chandigarh() - Constructor for class org.drip.sample.bondeos.Chandigarh
 
Chandrapur - Class in org.drip.sample.loan
Chandrapur demonstrates the Analytics Calculation/Reconciliation for the Loan Chandrapur.
Chandrapur() - Constructor for class org.drip.sample.loan.Chandrapur
 
Changchun - Class in org.drip.sample.bondeos
Changchun demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Changchun.
Changchun() - Constructor for class org.drip.sample.bondeos.Changchun
 
Changde - Class in org.drip.sample.bondeos
Changde demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Changde.
Changde() - Constructor for class org.drip.sample.bondeos.Changde
 
change() - Method in class org.drip.measure.realization.StochasticEdgeDiffusion
Retrieve the Diffusion Stochastic Edge Change Amount
changeTypeReturn() - Method in class org.drip.historical.attribution.PositionChangeComponents
Return the Position Change Type
Changsha - Class in org.drip.sample.bondeos
Changsha demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Changsha.
Changsha() - Constructor for class org.drip.sample.bondeos.Changsha
 
Changshu - Class in org.drip.sample.bondeos
Changshu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Changshu.
Changshu() - Constructor for class org.drip.sample.bondeos.Changshu
 
Changzhou - Class in org.drip.sample.bondeos
Changzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Changzhou.
Changzhou() - Constructor for class org.drip.sample.bondeos.Changzhou
 
Chaozhou - Class in org.drip.sample.bondeos
Chaozhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Chaozhou.
Chaozhou() - Constructor for class org.drip.sample.bondeos.Chaozhou
 
characteristicSize() - Method in class org.drip.execution.optimum.TradingEnhancedDiscrete
Retrieve the Optimal Trajectory Characteristic Size
characteristicTime() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
Retrieve the Optimal Trajectory Characteristic Time
characteristicTime() - Method in class org.drip.execution.optimum.TradingEnhancedDiscrete
Retrieve the Optimal Trajectory Characteristic Time
charArray() - Method in class org.drip.spaces.big.BigC1Array
Retrieve the Character Array
Chargram - Class in org.drip.simm.common
Chargram contains the 2-4 Character Code that identifies a specific Risk Class.
Chargram() - Constructor for class org.drip.simm.common.Chargram
 
charm() - Method in class org.drip.pricer.option.Greeks
The Option Charm
cheapestToDeliver(int, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double[], int) - Method in class org.drip.product.govvie.TreasuryFutures
Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters
cheapestToDeliverCreditBasis(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
Extract the Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric
cheapestToDeliverOAS(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
Extract the Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric
cheapestToDeliverYield(int, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone
cheapestToDeliverZSpread(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
Extract the Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric
chebyshevAssociationBound(R1ToR1, boolean, R1ToR1, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Chebyshev's Association Joint Expectation Bound
chebyshevBound(double) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Mean Departure Bounds Using the Chebyshev's Inequality
chebyshevCantelliBound(double) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Mean Departure Bounds Using the Chebyshev-Cantelli Inequality
CheckForRepeatingIndex(int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
Scan through the Integer Array looking for a repeating Index
checkFroMinima() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve if the Check corresponds to Local Minima
Chengdu - Class in org.drip.sample.bondeos
Chengdu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Chengdu.
Chengdu() - Constructor for class org.drip.sample.bondeos.Chengdu
 
Chennai - Class in org.drip.sample.bondmetrics
Chennai generates the Full Suite of Replication Metrics for Bond Chennai.
Chennai() - Constructor for class org.drip.sample.bondmetrics.Chennai
 
chernoffBinomialUpperBound(double) - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
Compute the Chernoff Binomial Upper Bound
chernoffHoeffdingAverageBounds(double) - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
Estimate Mean Departure Bounds of the Average using the Chernoff-Hoeffding Bound
chernoffPoissonUpperBound(double) - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
Compute the Chernoff-Poisson Binomial Upper Bound
chernoffStirlingUpperBound(double) - Method in class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
Compute the Chernoff-Stirling Upper Bound
CHF - Class in org.drip.template.irs
CHF contains a Templated Pricing of the OTC Fix-Float CHF IRS Instrument.
CHF() - Constructor for class org.drip.template.irs.CHF
 
CHF3M6MUSD3M6M - Class in org.drip.sample.dual
CHF3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from CHF3M6MUSD3M6M CCBS, CHF 3M, CHF 6M, and USD 6M Quotes.
CHF3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.CHF3M6MUSD3M6M
 
CHFHoliday - Class in org.drip.analytics.holset
 
CHFHoliday() - Constructor for class org.drip.analytics.holset.CHFHoliday
 
CHFIRSAttribution - Class in org.drip.sample.fixfloatpnl
CHFIRSAttribution generates the Historical PnL Attribution for CHF IRS.
CHFIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CHFIRSAttribution
 
CHFLIBOR3M - Class in org.drip.template.forwardratefutures
CHFLIBOR3M contains a Templated Pricing of the LIBOR 3M CHF Futures Instrument.
CHFLIBOR3M() - Constructor for class org.drip.template.forwardratefutures.CHFLIBOR3M
 
CHFOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
CHFOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CHF Input OIS Marks.
CHFOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.CHFOISSmoothReconstitutor
 
CHFShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
CHFShapePreserving1YForward Generates the Historical CHF Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
CHFShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.CHFShapePreserving1YForward
 
CHFShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
CHFShapePreserving1YStart Generates the Historical CHF Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
CHFShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CHFShapePreserving1YStart
 
CHFShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
CHFShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the CHF Input Marks.
CHFShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CHFShapePreservingReconstitutor
 
CHFSmooth1MForward - Class in org.drip.sample.overnighthistorical
CHFSmooth1MForward Generates the Historical CHF Smoothened Overnight Curve Native 1M Compounded Forward Rate.
CHFSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.CHFSmooth1MForward
 
CHFSmooth1YForward - Class in org.drip.sample.fundinghistorical
CHFSmooth1YForward Generates the Historical CHF Smoothened Funding Curve Native 1Y Compounded Forward Rate.
CHFSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.CHFSmooth1YForward
 
CHFSmoothReconstitutor - Class in org.drip.sample.fundingfeed
CHFSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CHF Input Marks.
CHFSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CHFSmoothReconstitutor
 
chi() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve Chi
Chifeng - Class in org.drip.sample.bondeos
Chifeng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Chifeng.
Chifeng() - Constructor for class org.drip.sample.bondeos.Chifeng
 
cholesky() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Retrieve the Cholesky Matrix
cholesky() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
Retrieve the Cholesky Factorial
CholeskyBanachiewiczFactorization(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Cholesky-Banachiewicz Factorization of the specified Matrix.
CholeskyFactorization - Class in org.drip.sample.matrix
CholeskyFactorization demonstrates the Cholesky Factorization and Transpose Reconciliation of the Input Matrix.
CholeskyFactorization() - Constructor for class org.drip.sample.matrix.CholeskyFactorization
 
Chongqing - Class in org.drip.sample.bondeos
Chongqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Chongqing.
Chongqing() - Constructor for class org.drip.sample.bondeos.Chongqing
 
Chuzhou - Class in org.drip.sample.bondeos
Chuzhou demonstrates EOS Fixed/Float Coupon Multi-flavor Pricing and Relative Value Measure Generation for Chuzhou.
Chuzhou() - Constructor for class org.drip.sample.bondeos.Chuzhou
 
Cixi - Class in org.drip.sample.bondeos
Cixi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Cixi.
Cixi() - Constructor for class org.drip.sample.bondeos.Cixi
 
Ck() - Method in class org.drip.spline.params.PreceedingManifestSensitivityControl
Retrieve the Ck of DBasisCoeffDPreceedingManifest
Ck() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
Retrieve the Continuity Order
CkSegmentSequenceBuilder - Class in org.drip.spline.stretch
CkSegmentSequenceBuilder implements the SegmentSequenceBuilder interface to customize segment sequence construction.
CkSegmentSequenceBuilder(SegmentResponseValueConstraint, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings) - Constructor for class org.drip.spline.stretch.CkSegmentSequenceBuilder
CkSegmentSequenceBuilder constructor
ClassicalMinus() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Generate the "Classical-" Parameterization of AndersenPykhtinSokolLag
ClassicalPlus() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Generate the "Classical+" Parameterization of AndersenPykhtinSokolLag
classify(double[]) - Method in class org.drip.learning.svm.RdDecisionFunction
Classify the Specified Multi-dimensional Point
clean1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Clean PnL
clean1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Clean PnL With Fixing
cleanDV01() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Clean DV01
cleanFixedDV01() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Clean Fixed DV01
cleanFloatDV01() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Clean Float DV01
cleanFloatDV01WithFixing() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Clean Float DV01 With Fixing
clear() - Method in class org.drip.json.simple.ItemList
 
clearBuiltRange() - Method in class org.drip.state.estimator.CurveStretch
Clear the built range mark to signal the start of a fresh calibration run
CLFHoliday - Class in org.drip.analytics.holset
 
CLFHoliday() - Constructor for class org.drip.analytics.holset.CLFHoliday
 
client() - Method in class org.drip.exposure.mpor.TradePayment
Retrieve the Client Trade Payment
client() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized Client Market Vertex
client() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
Retrieve the Client Close Out
clientAccumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
Retrieve the Incremental Amount added to the Cash Account coming from the Client Repo
clientCollateralThreshold() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Client Collateral Threshold
clientDealerTradePaymentGap() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Client-to-Dealer Net Trade Payment Gap
clientDefault(double, double) - Method in class org.drip.xva.definition.CloseOut
Retrieve the Close-out from the Exposure on a specific Client Default
clientDefault(double) - Method in class org.drip.xva.definition.CloseOut
Retrieve the Close-out from the Exposure on specific Client Default
clientDefault(double, double) - Method in class org.drip.xva.definition.CloseOutBilateral
 
clientDefaultCloseOut() - Method in class org.drip.xva.vertex.BurgardKjaer
Retrieve the Close Out on Client Default
clientDefaultWindow() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Client Default Window
clientFunding() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
Retrieve the Client Funding Primary Security
clientFundingLabel() - Method in class org.drip.xva.proto.FundingGroupSpecification
Retrieve the Client Funding Label
clientFundingLabel() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Client Funding Label
clientFundingLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Client Funding Label Map
clientFundingLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Client Funding Labels
clientHazardLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Client Hazard Label
clientHazardLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
Retrieve the Client Hazard Label
clientHazardLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Client Hazard Label Map
clientHazardLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Client Hazard Labels
clientHazardLabelMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Client Hazard Label Map
clientHazardRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Client Hazard Rate Evolver
clientMarginDate() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Client Margin Date
clientNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Retrieve the Client Numeraire Holdings
clientPartyHazardLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Client Hazard Label
clientPostingRequirement(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Calculate the Margin Amount Required to be Posted by the Client
clientPostingRequirement() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Client Posting Requirement
clientRecovery() - Method in class org.drip.xva.definition.CloseOutBilateral
Retrieve the Client Recovery Rate
clientRecoveryLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Client Recovery Label
clientRecoveryLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
Retrieve the Client Recovery Label
clientRecoveryLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Client Senior Recovery Label
clientRecoveryLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Client Recovery Label Map
clientRecoveryLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Client Recovery Labels
clientRecoveryLabelMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Client Recovery Label Map
clientRecoveryRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Client Recovery Rate Evolver
clientThreshold(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Calculate the Client Margin Threshold
clientThresholdFunctionArray() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Array of the Collateral Group Client Threshold R^1 - R^1 Functions
clientTradePayment() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Last Client Trade Payment (Settlement) Date
clientTradePaymentDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Retrieve the Client Trade Payment Delay
clientTradePaymentGap() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Client Trade Payment Gap
clientVariationMarginPosting() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Last Client Variation Margin Posting (Observation) Date
clientVariationMarginPostingDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Retrieve the Client Variation Margin Posting Delay
clientWindowMarginValue(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Calculate the Margin Value at the Client Default Window
clientWindowMarginValue() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Margin Value at the Client Default Window
clipLeft(String, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
clipLeft(String, double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate.
clipLeftOfPredictorOrdinate(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
Clip the part of the Segment to the Right of the specified Predictor Ordinate.
clipRight(String, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
clipRight(String, double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate.
clipRightOfPredictorOrdinate(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
Clip the part of the Segment to the Right of the specified Predictor Ordinate.
close() - Method in class org.drip.historical.state.CreditCurveMetrics
Retrieve the Closing Date
close() - Method in class org.drip.historical.state.FundingCurveMetrics
Retrieve the Closing Date
ClosedUnit(List<Double>, R1, int) - Static method in class org.drip.spaces.metric.R1CombinatorialBall
Construct a R1CombinatorialBall Instance of Unit Radius
ClosedUnit(double, double, R1, int) - Static method in class org.drip.spaces.metric.R1ContinuousBall
Construct a R1ContinuousBall Instance of Unit Radius
ClosedUnit(R1CombinatorialVector[], Rd, int) - Static method in class org.drip.spaces.metric.RdCombinatorialBall
Construct a RdCombinatorialBall Instance of Unit Radius
ClosedUnit(R1ContinuousVector[], Rd, int) - Static method in class org.drip.spaces.metric.RdContinuousBall
Construct a Unit Radius RdContinuousBall Instance
CloseOut - Class in org.drip.xva.definition
CloseOut exposes the General Close Out Amounts to be applied to the MTM Exposure at the Dealer/Client Default.
CloseOut() - Constructor for class org.drip.xva.definition.CloseOut
 
CLOSEOUT_BURGARD_KJAER - Static variable in class org.drip.xva.definition.PDEEvolutionControl
Set the Close-out to the Derivative XVA MTM according to Burgard and Kjaer (2014)
CLOSEOUT_GREGORY_LI_TANG - Static variable in class org.drip.xva.definition.PDEEvolutionControl
Set the Close-out to the Derivative MTM according to Li and Tang (2007) or Gregory (2009)
CloseOutBilateral - Class in org.drip.xva.definition
CloseOutBilateral implements the (2002) ISDA Master Agreement Bilateral Close Out Scheme to be applied to the MTM at the Dealer/Client Default.
CloseOutBilateral(double, double) - Constructor for class org.drip.xva.definition.CloseOutBilateral
CloseOutBilateral Constructor
closeOutScheme() - Method in class org.drip.xva.definition.PDEEvolutionControl
Retrieve the Close-out Scheme
closeOutScheme() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Close Out Scheme
CloseOutScheme - Class in org.drip.xva.settings
CloseOutScheme carries the Close Out Specification Schemes for the Simulation.
CloseOutScheme() - Constructor for class org.drip.xva.settings.CloseOutScheme
 
CLUHoliday - Class in org.drip.analytics.holset
 
CLUHoliday() - Constructor for class org.drip.analytics.holset.CLUHoliday
 
CMEFixFloat - Class in org.drip.sample.securitysuite
CMEFixFloat demonstrates the Analytics Calculation/Reconciliation for the CME Cleared Fix-Float IRS.
CMEFixFloat() - Constructor for class org.drip.sample.securitysuite.CMEFixFloat
 
CMVMonthlyReconciler01 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #1.
CMVMonthlyReconciler01() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler01
 
CMVMonthlyReconciler02 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #2.
CMVMonthlyReconciler02() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler02
 
CMVMonthlyReconciler03 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #3.
CMVMonthlyReconciler03() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler03
 
CMVMonthlyReconciler04 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #4.
CMVMonthlyReconciler04() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler04
 
CMVMonthlyReconciler05 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #5.
CMVMonthlyReconciler05() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler05
 
CMVMonthlyReconciler06 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #6.
CMVMonthlyReconciler06() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler06
 
CMVMonthlyReconciler07 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #7.
CMVMonthlyReconciler07() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler07
 
CMVMonthlyReconciler08 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #8.
CMVMonthlyReconciler08() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler08
 
CMVMonthlyReconciler09 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #9.
CMVMonthlyReconciler09() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler09
 
CMVMonthlyReconciler10 - Class in org.drip.sample.assetallocationexcel
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Monthly Series Implementation for Portfolio Design Returns #10.
CMVMonthlyReconciler10() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler10
 
CMVReconciler1 - Class in org.drip.sample.assetallocationexcel
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #1.
CMVReconciler1() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler1
 
CMVReconciler2 - Class in org.drip.sample.assetallocationexcel
CMVReconciler2 demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #2.
CMVReconciler2() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler2
 
CMVReconciler3 - Class in org.drip.sample.assetallocationexcel
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #3.
CMVReconciler3() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler3
 
CMVReconciler4 - Class in org.drip.sample.assetallocationexcel
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #4.
CMVReconciler4() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler4
 
CMVReconciler5 - Class in org.drip.sample.assetallocationexcel
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #5.
CMVReconciler5() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler5
 
CMVReconciler6 - Class in org.drip.sample.assetallocationexcel
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #6.
CMVReconciler6() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler6
 
CMVReconciler7 - Class in org.drip.sample.assetallocationexcel
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #7.
CMVReconciler7() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler7
 
CMVReconciler8 - Class in org.drip.sample.assetallocationexcel
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against an XL-based Implementation for Portfolio Design Returns #8.
CMVReconciler8() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler8
 
CN1 - Class in org.drip.sample.treasuryfuturesapi
CN1 demonstrates the Invocation and Examination of the CN1 10Y CAN Treasury Futures.
CN1() - Constructor for class org.drip.sample.treasuryfuturesapi.CN1
 
CN1Attribution - Class in org.drip.sample.treasuryfuturespnl
CN1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the CN1 Series.
CN1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.CN1Attribution
 
CN1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
CN1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated CN1 Closes Feed.
CN1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.CN1ClosesReconstitutor
 
CN1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
CN1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the CN1 Treasury Futures.
CN1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.CN1KeyRateDuration
 
CNRQ_CNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
CNRQ_CNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
CNRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
CNRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
CNRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
CNRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
CNY - Class in org.drip.template.irs
CNY contains a Templated Pricing of the OTC Fix-Float CNY IRS Instrument.
CNY() - Constructor for class org.drip.template.irs.CNY
 
CNYHoliday - Class in org.drip.analytics.holset
 
CNYHoliday() - Constructor for class org.drip.analytics.holset.CNYHoliday
 
coalesce(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Coalesce the supplied Merge Stretch with the current one (if possible) to create a new Merge Stretch
code() - Method in class org.drip.market.exchange.TreasuryFuturesContract
Retrieve the Underlying Treasury Code
code() - Method in class org.drip.market.issue.TreasurySetting
Retrieve the Treasury Code
code() - Method in class org.drip.optimization.regularity.ConstraintQualifier
Retrieve the Constraint Qualifier Code
code() - Method in class org.drip.product.govvie.TreasuryComponent
Retrieve the Treasury Code
code() - Method in class org.drip.product.params.CurrencyPair
Get the currency pair code
code() - Method in class org.drip.state.identifier.RatingLabel
Retrieve the Rated Code
code() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Treasury Code
CodeFromMonth(int) - Static method in class org.drip.analytics.date.DateUtil
Retrieve the Digit Code corresponding to the Month
codes() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Code Array
codes() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
Retrieve the Array of the Exchange Codes
coefficient() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
Retrieve the Transaction Charge Coefficient
coefficients() - Method in class org.drip.function.rdtor1.AffineMultivariate
Retrieve the Array of the Coefficients
COFHoliday - Class in org.drip.analytics.holset
 
COFHoliday() - Constructor for class org.drip.analytics.holset.COFHoliday
 
Coimbatore - Class in org.drip.sample.bondmetrics
Coimbatore generates the Full Suite of Replication Metrics for Bond Coimbatore.
Coimbatore() - Constructor for class org.drip.sample.bondmetrics.Coimbatore
 
collateral(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Collateral Latent State
collateral() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Collateral Latent State Node Container
collateral(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Collateral
collateral() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Retrieve the Collateral
collateralAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
collateralAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
collateralAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Collateral Adjustment
CollateralAmountEstimator - Class in org.drip.exposure.mpor
CollateralAmountEstimator estimates the Amount of Collateral Hypothecation that is to be Posted during a Single Run of a Collateral Hypothecation Group Valuation.
CollateralAmountEstimator(PositionGroupSpecification, BrokenDateInterpolator, double) - Constructor for class org.drip.exposure.mpor.CollateralAmountEstimator
CollateralAmountEstimator Constructor
CollateralAmountEstimatorOutput - Class in org.drip.exposure.mpor
CollateralAmountEstimatorOutput contains the Estimation Output of the Hypothecation Collateral that is to be Posted during a Single Run of a Collateral Hypothecation Group Valuation.
CollateralAmountEstimatorOutput(JulianDate, JulianDate, double, double, double, double, double, double, double) - Constructor for class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
CollateralAmountEstimatorOutput Constructor
collateralChoiceDiscountCurve(String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Collateral Choice Discount Curve for the specified Pay Currency
collateralCollateralCorrelation(String, String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Collateral Currency Pair
collateralCredit() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Collateral/Credit Convexity Adjustment
collateralCredit() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Collateral/Credit Convexity Adjustment
collateralCreditCorrelation(String, EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Collateral and the Credit Latent States
collateralCustomCorrelation(String, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Collateral and the Custom Metric Latent States
collateralEquityCorrelation(String, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Collateral and the Equity Latent States
collateralExists(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Collateral Latent State Exists
collateralForward() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Collateral/Forward Convexity Adjustment
collateralForward() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Collateral/Forward Convexity Adjustment
collateralForwardCorrelation(String, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Collateral and the Forward Latent States
collateralFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Collateral/Funding Convexity Adjustment
collateralFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Collateral/Funding Convexity Adjustment
collateralFundingCorrelation(String, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Collateral and the Funding Latent States
collateralFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Collateral/FX Convexity Adjustment
collateralFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Collateral/FX Convexity Adjustment
collateralFXCorrelation(String, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Collateral and the FX Latent State Label
collateralGovvieCorrelation(String, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Collateral and Govvie Latent State Labels
CollateralGroup - Class in org.drip.xva.topology
CollateralGroup represents an Aggregation of Position Groups over a common Collateral Specification.
CollateralGroup(String, String, CollateralGroupSpecification) - Constructor for class org.drip.xva.topology.CollateralGroup
CollateralGroup Constructor
collateralGroup(String) - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Collateral Group identified by the specified ID
collateralGroupMap() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Collateral Group Map
collateralGroupPath() - Method in class org.drip.exposure.holdings.PositionGroup
Retrieve the Collateral Group Path
CollateralGroupPath - Class in org.drip.xva.netting
CollateralGroupPath accumulates the Vertex Realizations of the Sequence in a Single Path Projection Run along the Granularity of a Regular Collateral Hypothecation Group.
CollateralGroupPath(CollateralGroupVertex[], MarketPath) - Constructor for class org.drip.xva.netting.CollateralGroupPath
CollateralGroupPath Constructor
collateralGroupPathArray() - Method in class org.drip.exposure.holdings.PositionGroupSegment
Retrieve the Position Group Collateral Path Array
collateralGroupPaths() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of the Position Hypothecation Group Trajectory Paths
CollateralGroupSpecification - Class in org.drip.xva.proto
CollateralGroupSpecification contains the Specifications of a Collateral Group.
CollateralGroupSpecification(String, String, OvernightLabel, CSALabel) - Constructor for class org.drip.xva.proto.CollateralGroupSpecification
CollateralGroupSpecification Constructor
collateralGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
Retrieve the Collateral Group Specification
collateralGroupSpecification() - Method in class org.drip.xva.topology.CollateralGroup
Retrieve the Collateral Group Specification
CollateralGroupVertex - Class in org.drip.xva.hypothecation
CollateralGroupVertex holds the Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group.
CollateralGroupVertex(JulianDate, double, double, double) - Constructor for class org.drip.xva.hypothecation.CollateralGroupVertex
 
collateralGroupVertex() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Collateral Group Trajectory Vertexes
CollateralGroupVertexCloseOut - Class in org.drip.xva.hypothecation
CollateralGroupVertexCloseOut holds the Dealer and the Client Close Outs at each Re-hypothecation Collateral Group.
CollateralGroupVertexCloseOut(double, double) - Constructor for class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
CollateralGroupVertexCloseOut Constructor
CollateralGroupVertexExposure - Class in org.drip.xva.hypothecation
CollateralGroupVertexExposure holds the Uncollateralized Exposure and the Collateral Balances at each Re-hypothecation Collateral Group.
CollateralGroupVertexExposure(double, double) - Constructor for class org.drip.xva.hypothecation.CollateralGroupVertexExposure
CollateralGroupVertexExposure Constructor
CollateralGroupVertexExposureComponent - Interface in org.drip.xva.hypothecation
CollateralGroupVertexExposureComponent holds the Credit, the Debt, and the Funding Exposures, as well as the Collateral Balances at each Re-hypothecation Collateral Group.
Collateralized(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the Collateralized Transaction Value Adjustment Instance
collateralized() - Method in class org.drip.xva.hypothecation.CollateralGroupVertex
Retrieve the Total Collateralized Exposure at the Path Vertex Time Node
CollateralizedCollateralGroup - Class in org.drip.sample.xva
CollateralizedCollateralGroup illustrates the Sample Run of a Single Partially Collateralized Collateral Group under Non-Zero Bank/Counter Party Threshold with several Fix-Float Swaps.
CollateralizedCollateralGroup() - Constructor for class org.drip.sample.xva.CollateralizedCollateralGroup
 
CollateralizedCollateralGroupCorrelated - Class in org.drip.sample.xva
CollateralizedCollateralGroupCorrelated illustrates the Sample Run of a Single Partially Collateralized Collateral Group under Non-Zero Bank/Counter Party Threshold with several Fix-Float Swaps, and with built in Factor Correlations across the Numeraires.
CollateralizedCollateralGroupCorrelated() - Constructor for class org.drip.sample.xva.CollateralizedCollateralGroupCorrelated
 
CollateralizedCollateralNeutral - Class in org.drip.sample.xvabasel
CollateralizedCollateralNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedCollateralNeutral() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralNeutral
 
CollateralizedCollateralNeutralStochastic - Class in org.drip.sample.xvabasel
CollateralizedCollateralNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedCollateralNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralNeutralStochastic
 
CollateralizedCollateralPayable - Class in org.drip.sample.xvabasel
CollateralizedCollateralPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedCollateralPayable() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralPayable
 
CollateralizedCollateralPayableStochastic - Class in org.drip.sample.xvabasel
CollateralizedCollateralPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedCollateralPayableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralPayableStochastic
 
CollateralizedCollateralReceivable - Class in org.drip.sample.xvabasel
CollateralizedCollateralReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedCollateralReceivable() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralReceivable
 
CollateralizedCollateralReceivableStochastic - Class in org.drip.sample.xvabasel
CollateralizedCollateralReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedCollateralReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralReceivableStochastic
 
collateralizedExposure() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Collateralized Exposure
collateralizedExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Collateralized Exposures
collateralizedExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Collateralized Exposure
collateralizedExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Collateralized Exposure PV's
collateralizedExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Collateralized Exposure PV
collateralizedExposureSegmentBuilderControl() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
Retrieve the Collateralized Exposure Segment Builder Control
CollateralizedFundingNeutral - Class in org.drip.sample.xvabasel
CollateralizedFundingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedFundingNeutral() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingNeutral
 
CollateralizedFundingNeutralStochastic - Class in org.drip.sample.xvabasel
CollateralizedFundingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedFundingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingNeutralStochastic
 
CollateralizedFundingPayable - Class in org.drip.sample.xvabasel
CollateralizedFundingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedFundingPayable() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingPayable
 
CollateralizedFundingPayableStochastic - Class in org.drip.sample.xvabasel
CollateralizedFundingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedFundingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingPayableStochastic
 
CollateralizedFundingReceivable - Class in org.drip.sample.xvabasel
CollateralizedFundingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedFundingReceivable() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingReceivable
 
CollateralizedFundingReceivableStochastic - Class in org.drip.sample.xvabasel
CollateralizedFundingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedFundingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingReceivableStochastic
 
collateralizedNegativeExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Collateralized Negative Exposures
collateralizedNegativeExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure
collateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Collateralized Negative Exposure PV
collateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure PV
CollateralizedNettingNeutral - Class in org.drip.sample.xvabasel
CollateralizedNettingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedNettingNeutral() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingNeutral
 
CollateralizedNettingNeutralStochastic - Class in org.drip.sample.xvabasel
CollateralizedNettingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedNettingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingNeutralStochastic
 
CollateralizedNettingPayable - Class in org.drip.sample.xvabasel
CollateralizedNettingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedNettingPayable() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingPayable
 
CollateralizedNettingPayableStochastic - Class in org.drip.sample.xvabasel
CollateralizedNettingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedNettingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingPayableStochastic
 
CollateralizedNettingReceivable - Class in org.drip.sample.xvabasel
CollateralizedNettingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedNettingReceivable() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingReceivable
 
CollateralizedNettingReceivableStochastic - Class in org.drip.sample.xvabasel
CollateralizedNettingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
CollateralizedNettingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingReceivableStochastic
 
collateralizedPositiveExposure() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Collateralized Positive Exposure
collateralizedPositiveExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Collateralized Positive Exposures
collateralizedPositiveExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure
collateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Collateralized Positive Exposure PV
collateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure PV
collateralizedPositiveExposureSegmentBuilderControl() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
Retrieve the Collateralized Positive Exposure Segment Builder Control
collateralLabel() - Method in class org.drip.analytics.cashflow.Bullet
Return the Collateral Label
CollateralLabel - Class in org.drip.state.identifier
CollateralLabel contains the Identifier Parameters referencing the Latent State of the named Collateral Discount Curve.
collateralMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Collateral Evolver Map
collateralOvernightCorrelation(String, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Collateral and the Overnight Latent States
collateralPaydownCorrelation(String, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Collateral and Pay-down Latent State Labels
collateralRatingCorrelation(String, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Collateral and Rating Latent State Labels
collateralRecoveryCorrelation(String, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Collateral and Recovery Latent State Labels
collateralRepoCorrelation(String, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Collateral and Repo Latent State Labels
CollateralTransferInitiation(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Collateral Transfer Initiation CSA Event Date
collateralTransferInitiation() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Collateral Transfer Initiation Event Date
collateralValueAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Collateral Value Adjustment
collateralVolatility(CollateralLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified Collateral Label
CollectionUtil - Class in org.drip.quant.common
The CollectionUtil class implements generic utility functions used in DRIP modules.
CollectionUtil() - Constructor for class org.drip.quant.common.CollectionUtil
 
color() - Method in class org.drip.pricer.option.Greeks
The Option Color
COLVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the COLVA Value Adjustment Instance
colva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Collateral VA
combinationMetrics() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCustomConfidenceOutput
Retrieve the Bayesian Joint/Posterior Metrics
combinationPortfolioExpectedReturn(double) - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
Calculate the Combination Portfolio's Expected Returns from the corresponding Standard Deviation
combinationPortfolioStandardDeviation(double) - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
Compute the Combination Portfolio's Standard Deviation
combiner() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Prior/Conditional Distributions Combiner
CommodityClassMargin20 - Class in org.drip.sample.simmct
CommodityClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityClassMargin20() - Constructor for class org.drip.sample.simmct.CommodityClassMargin20
 
CommodityClassMargin21 - Class in org.drip.sample.simmct
CommodityClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityClassMargin21() - Constructor for class org.drip.sample.simmct.CommodityClassMargin21
 
CommodityCurvatureMargin20 - Class in org.drip.sample.simmct
CommodityCurvatureMargin20 illustrates the Computation of the SIMM 2.0 Curvature Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityCurvatureMargin20() - Constructor for class org.drip.sample.simmct.CommodityCurvatureMargin20
 
CommodityCurvatureMargin21 - Class in org.drip.sample.simmct
CommodityCurvatureMargin21 illustrates the Computation of the SIMM 2.1 Curvature Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityCurvatureMargin21() - Constructor for class org.drip.sample.simmct.CommodityCurvatureMargin21
 
CommodityDeltaMargin20 - Class in org.drip.sample.simmct
CommodityDeltaMargin20 illustrates the Computation of the ISDA 2.0 Delta Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityDeltaMargin20() - Constructor for class org.drip.sample.simmct.CommodityDeltaMargin20
 
CommodityDeltaMargin21 - Class in org.drip.sample.simmct
CommodityDeltaMargin21 illustrates the Computation of the ISDA 2.1 Delta Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityDeltaMargin21() - Constructor for class org.drip.sample.simmct.CommodityDeltaMargin21
 
commodityMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Retrieve the Commodity Multiplicative Scale
CommodityParameters20 - Class in org.drip.sample.simmsettings
CommodityParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Commodity Bucket Risk Weights, Correlations, and Systemics.
CommodityParameters20() - Constructor for class org.drip.sample.simmsettings.CommodityParameters20
 
CommodityParameters21 - Class in org.drip.sample.simmsettings
CommodityParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Commodity Bucket Risk Weights, Correlations, and Systemics.
CommodityParameters21() - Constructor for class org.drip.sample.simmsettings.CommodityParameters21
 
commodityRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
Retrieve the Commodity Risk Class Aggregate
commodityRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
Retrieve the Commodity Risk Class Sensitivity
commodityRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the Commodity Risk Class Sensitivity Settings
CommodityRiskConcentrationThreshold20 - Class in org.drip.sample.simmsettings
CommodityRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Commodity Risk Concentration Thresholds.
CommodityRiskConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold20
 
CommodityRiskConcentrationThreshold21 - Class in org.drip.sample.simmsettings
CommodityRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Commodity Risk Concentration Thresholds.
CommodityRiskConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold21
 
CommodityVegaMargin20 - Class in org.drip.sample.simmct
CommodityVegaMargin20 illustrates the Computation of the SIMM 2.0 Vega Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityVegaMargin20() - Constructor for class org.drip.sample.simmct.CommodityVegaMargin20
 
CommodityVegaMargin21 - Class in org.drip.sample.simmct
CommodityVegaMargin21 illustrates the Computation of the SIMM 2.1 Vega Margin for across a Group of Commodity Bucket Exposure Sensitivities.
CommodityVegaMargin21() - Constructor for class org.drip.sample.simmct.CommodityVegaMargin21
 
common() - Method in class org.drip.execution.latent.MarketStateSystemic
Retrieve the Common Systemic Market State
Compare(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, double, int) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Compare the Specified VICM Instances
compareTo(JulianDate) - Method in class org.drip.analytics.date.JulianDate
 
compareTo(LatentStateInelastic) - Method in class org.drip.spline.segment.LatentStateInelastic
 
compJackDPVDManifestMeasure(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
compJackDPVDManifestMeasure(JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the calibration set to the DF
complementarySlackness() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Complementary Slackness Necessary Condition
complementarySlacknessCheck(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Complementary Slackness across the Inequality Constraints
ComplexNumber - Class in org.drip.quant.fourier
ComplexNumber implements the functionality for dealing with Complex Numbers.
ComplexNumber(double, double) - Constructor for class org.drip.quant.fourier.ComplexNumber
ComplexNumber constructor
component() - Method in class org.drip.function.definition.UnitVector
Retrieve the Unit Vector's Component Array
component() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the Component
Component - Class in org.drip.product.definition
Component abstract class extends the ComponentMarketParamRef and provides the following methods: - Get the product's initial notional, notional, and coupon.
Component() - Constructor for class org.drip.product.definition.Component
 
component() - Method in class org.drip.state.inference.LatentStateSegmentSpec
Retrieve the Calibration Component
component() - Method in class org.drip.state.repo.RepoCurve
 
component() - Method in interface org.drip.state.repo.RepoEstimator
Retrieve the Repo-able Component
componentArray() - Method in class org.drip.simm.rates.CurrencyRiskGroup
Retrieve the Component Currency Array
componentCreditDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component Credit Delta Double Measure Map
componentCreditGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component Credit Gamma Double Measure Map
componentCurvatureMarginCovariance(BucketSensitivitySettingsCR, String, String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Compute the Component Pair Curvature Margin Covariance
componentCustomMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component Custom Double Measure Map
ComponentExtractor - Interface in org.drip.quant.eigen
ComponentExtractor Interface exposes the Methods that extract the Linear System Components using the Power Iteration Method.
componentIRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component IR Delta Double Measure Map
componentIRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component IR Gamma Double Measure Map
componentLinearMarginCovariance(BucketSensitivitySettingsCR, String, String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Compute the Component Pair Linear Margin Covariance
componentMarginCovarianceMap() - Method in class org.drip.simm.margin.SensitivityAggregateCR
Retrieve the Component Margin Covariance Map
ComponentMarketParamRef - Interface in org.drip.product.definition
ComponentMarketParamRef interface provides stubs for name, IR curve, forward curve, credit curve, TSY curve, and needed to value the component.
ComponentMeasures - Class in org.drip.analytics.output
ComponentMeasures is the place holder for analytical single component output measures, optionally across scenarios.
ComponentMeasures() - Constructor for class org.drip.analytics.output.ComponentMeasures
Empty constructor - all members initialized to NaN or null
componentMPoRList() - Method in class org.drip.exposure.generator.PortfolioMPoR
Retrieve the List of Component MPoR's
componentPair() - Method in class org.drip.market.otc.FloatFloatSwapConvention
Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
ComponentPair - Class in org.drip.product.fx
ComponentPair contains the implementation of the dual cross currency components.
ComponentPair(String, CalibratableComponent, CalibratableComponent, FixingSetting) - Constructor for class org.drip.product.fx.ComponentPair
ComponentPair constructor
ComponentPairDiscountStretch(String, ComponentPair[], ValuationParams, CurveSurfaceQuoteContainer, double[], double[], boolean) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the specified Inputs
ComponentPairForwardStretch(String, ComponentPair[], ValuationParams, CurveSurfaceQuoteContainer, double[], boolean, boolean) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the specified Inputs
componentQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
Retrieve the quote for the given component
componentQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
componentQuotes() - Method in class org.drip.param.definition.ScenarioMarketParams
Retrieve the full map of component quotes
componentQuotes() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
componentRRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component RR Delta Double Measure Map
componentRRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component RR Gamma Double Measure Map
components() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
components() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Array of the Calibration Components
components() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
 
components() - Method in class org.drip.product.credit.BondBasket
 
components() - Method in class org.drip.product.credit.CDSBasket
 
components() - Method in class org.drip.product.definition.BasketProduct
Return the Components in the Basket
components() - Method in class org.drip.product.fx.ComponentPair
 
components() - Method in class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
Retrieve the Array of the Component Single Sequences
componentSensitivityMargin(String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Retrieve the Component Tenor Sensitivity Margin
componentSensitivityMarginMap() - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Retrieve the Component Tenor Sensitivity Margin Map
componentTenorCreditDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component/Tenor Credit Delta Triple Measure Map
componentTenorCreditGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component/Tenor Credit Gamma Triple Measure Map
componentTenorIRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component/Tenor IR Delta Triple Measure Map
componentTenorIRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
Retrieve the Component/Tenor IR Gamma Triple Measure Map
ComposableFixedUnitSetting - Class in org.drip.param.period
ComposableFixedUnitSetting contains the fixed unit details.
ComposableFixedUnitSetting(String, int, DateAdjustParams, double, double, String) - Constructor for class org.drip.param.period.ComposableFixedUnitSetting
ComposableFixedUnitSetting constructor
ComposableFloatingUnitSetting - Class in org.drip.param.period
ComposableFloatingUnitSetting contains the cash flow periods' composable sub period details.
ComposableFloatingUnitSetting(String, int, DateAdjustParams, FloaterLabel, int, double) - Constructor for class org.drip.param.period.ComposableFloatingUnitSetting
ComposableFloatingUnitSetting constructor
ComposableUnitBuilderSetting - Class in org.drip.param.period
ComposableUnitBuilderSetting contains the composable unit builder details.
ComposableUnitBuilderSetting(String, int, DateAdjustParams) - Constructor for class org.drip.param.period.ComposableUnitBuilderSetting
 
ComposableUnitFixedPeriod - Class in org.drip.analytics.cashflow
ComposableUnitFixedPeriod represents the Fixed Cash Flow Periods' Composable Period Details.
ComposableUnitFixedPeriod(int, int, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Constructor for class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
The ComposableUnitFixedPeriod constructor
ComposableUnitFloatingPeriod - Class in org.drip.analytics.cashflow
ComposableUnitFloatingPeriod contains the Cash Flow Periods' Composable Period Details.
ComposableUnitFloatingPeriod(int, int, String, ReferenceIndexPeriod, double) - Constructor for class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
The ComposableUnitFloatingPeriod Constructor
ComposableUnitPeriod - Class in org.drip.analytics.cashflow
ComposableUnitPeriod represents the Cash Flow Periods' Composable Unit Period Details.
ComposableUnitPeriod(int, int, String, UnitCouponAccrualSetting) - Constructor for class org.drip.analytics.cashflow.ComposableUnitPeriod
 
ComposeFromIndex(String, int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
Compose a String constructed from the specified Array Index
compositeConfidenceCovariance() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
Retrieve the Composite Confidence Co-variance
CompositeFedFundLIBORSwap - Class in org.drip.sample.fedfund
CompositeFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for the Composite Fed Fund vs.
CompositeFedFundLIBORSwap() - Constructor for class org.drip.sample.fedfund.CompositeFedFundLIBORSwap
 
CompositeFixedPeriod - Class in org.drip.analytics.cashflow
CompositeFixedPeriod implements the composed fixed coupon period functionality.
CompositeFixedPeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositeFixedPeriod
CompositeFixedPeriod Constructor
CompositeFloatingPeriod - Class in org.drip.analytics.cashflow
CompositeFloatingPeriod implements the Composite Floating Coupon Period Functionality.
CompositeFloatingPeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositeFloatingPeriod
CompositeFloatingPeriod Constructor
CompositePeriod - Class in org.drip.analytics.cashflow
CompositePeriod implements the Composite Coupon Period Functionality.
CompositePeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositePeriod
 
CompositePeriodAccrualMetrics - Class in org.drip.analytics.output
CompositePeriodAccrualMetrics holds the results of the compounded Composed period Accrual Metrics Estimate Output.
CompositePeriodAccrualMetrics(int, List<UnitPeriodMetrics>) - Constructor for class org.drip.analytics.output.CompositePeriodAccrualMetrics
 
CompositePeriodBuilder - Class in org.drip.analytics.support
CompositePeriodBuilder exposes the composite period construction functionality.
CompositePeriodBuilder() - Constructor for class org.drip.analytics.support.CompositePeriodBuilder
 
CompositePeriodCouponMetrics - Class in org.drip.analytics.output
CompositePeriodCouponMetrics holds the results of the compounded Composed period Full Coupon Metrics Estimate Output.
CompositePeriodCouponMetrics(List<UnitPeriodMetrics>) - Constructor for class org.drip.analytics.output.CompositePeriodCouponMetrics
 
CompositePeriodQuoteSet - Class in org.drip.product.calib
CompositePeriodQuoteSet implements the composite period's calibration quote set functionality.
CompositePeriodQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.CompositePeriodQuoteSet
CompositePeriodQuoteSet constructor
CompositePeriodSetting - Class in org.drip.param.period
CompositePeriodSetting implements the custom setting parameters for the composite coupon period.
CompositePeriodSetting(int, String, String, DateAdjustParams, double, Array2D, Array2D, FixingSetting, EntityCDSLabel) - Constructor for class org.drip.param.period.CompositePeriodSetting
CompositePeriodSetting Constructor
compositePeriodTenor() - Method in class org.drip.market.otc.FixedStreamConvention
Retrieve the Composite Period Tenor
compositePeriodTenor() - Method in class org.drip.market.otc.FloatStreamConvention
Retrieve the Composite Period Tenor
compositePriceIncrement() - Method in class org.drip.execution.discrete.ShortfallIncrement
Retrieve the Composite Price Increment Instance
CompositeValue(double[][]) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
Compute the Aggregate Composite Value of the Supplied Matrix
CompoundBracketingRegressorSet - Class in org.drip.regression.fixedpointfinder
CompoundBracketingRegressorSet implements regression run for the Compound Bracketing Fixed Point Search Method.
CompoundBracketingRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.CompoundBracketingRegressorSet
 
compoundedShortRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Compounded Short Rate
compoundedShortRateIncrement(int, int, int, double, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Compute the Continuously Compounded Short Rate Increment given the Spot Date, the View Date, the Target Date, the Continuously Compounded Short Rate, the Current Short Rate, and the View Time Increment.
compoundedShortRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Compounded Short Rate Increment
compounding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Compounding Convexity Correction
compoundingDayCount() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
Retrieve the Compounding Day Count
compoundingFrequency() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
Retrieve the Compounding Frequency
CompoundingRun(ForwardLabel) - Static method in class org.drip.sample.ois.CrossOvernightFloatingStream
 
computeATMBlackVolatility(double, double, double) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Compute the Implied ATM Black Volatility for the ATM Forward Rate and the TTE
computeBlackVolatility(double, double, double, double) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Compute the Implied Black Volatility for the Specified Strike, the ATM Forward Rate, and the TTE
ComputeClient - Class in org.drip.service.engine
ComputeClient contains the Functionality behind the DRIP API Compute Service Client.
ComputeClient(String, int) - Constructor for class org.drip.service.engine.ComputeClient
ComputeClient Constructor
computeOperatorIntegral(double[]) - Method in class org.drip.learning.kernel.IntegralOperator
Compute the Operator's Kernel Integral across the specified X Variate Instance
ComputeServer - Class in org.drip.service.engine
ComputeServer contains the Functionality behind the DRIP API Compute Service Engine.
ComputeServer(int) - Constructor for class org.drip.service.engine.ComputeServer
ComputServer Constructor
computeServerHost() - Method in class org.drip.service.engine.ComputeClient
Retrieve the Compute Server Host
computeServerPort() - Method in class org.drip.service.engine.ComputeClient
Retrieve the Compute Server Port
ConcaveImpactNoDrift - Class in org.drip.sample.execution
ConcaveImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Concave Power Law Evolution Walk Parameters specified.
ConcaveImpactNoDrift() - Constructor for class org.drip.sample.execution.ConcaveImpactNoDrift
 
concentrationLossBoundEvaluator() - Method in class org.drip.learning.rxtor1.L1LossLearner
Retrieve the Concentration of Measure based Loss Expectation Upper Bound Evaluator Instance
concentrationRiskFactor() - Method in class org.drip.simm.margin.RiskFactorAggregate
Retrieve the Bucket Concentration Risk Factor
concentrationRiskFactor() - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Retrieve the Bucket Concentration Risk Factor
concentrationRiskFactor() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the Bucket Concentration Risk Factor
concentrationThreshold() - Method in class org.drip.simm.parameters.LiquiditySettings
Retrieve the Concentration Threshold
conditional() - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
Retrieve the Conditional Price Distribution Instance
conditional() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
Retrieve the Conditional Distribution
conditionalDrift() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
Retrieve the Distribution Conditional Drift
ConditionalPriceDistribution - Class in org.drip.execution.bayesian
ConditionalPriceDistribution holds the Price Distribution Conditional on a given Drift.
ConditionalPriceDistribution(double, double, double) - Constructor for class org.drip.execution.bayesian.ConditionalPriceDistribution
ConditionalPriceDistribution Constructor
conditionalTargetVariateMetrics(double[], int, SingleSequenceAgnosticMetrics) - Method in class org.drip.sequence.functional.MultivariateRandom
Compute the Target Variate Function Metrics Conditional on the specified Input Non-Target Variate Parameter Sequence
conditionalTargetVariateMetrics(SingleSequenceAgnosticMetrics[], int[], int) - Method in class org.drip.sequence.functional.MultivariateRandom
Compute the Target Variate Function Metrics Conditional on the specified Input Non-target Variate Parameter Sequence
conditionOrder() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Array of Condition Orders
ConditionQualifier - Class in org.drip.optimization.necessary
ConditionQualifier holds the Condition Name, the Condition Order, and the Condition Validity Flag that correspond to the Necessary and the Sufficient Conditions.
ConditionQualifier(String, int, boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifier
ConditionQualifier Constructor
ConditionQualifierComplementarySlackness - Class in org.drip.optimization.necessary
ConditionQualifierComplementarySlackness holds the Zero Order Necessary Complementary Slackness Condition.
ConditionQualifierComplementarySlackness(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierComplementarySlackness
ConditionQualifierComplementarySlackness Constructor
ConditionQualifierDualFeasibility - Class in org.drip.optimization.necessary
ConditionQualifierDualFeasibility holds the Zero Order Necessary Dual Feasibility Condition.
ConditionQualifierDualFeasibility(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierDualFeasibility
ConditionQualifierDualFeasibility Constructor
ConditionQualifierFONC - Class in org.drip.optimization.necessary
ConditionQualifierFONC holds the First Order Necessary Condition.
ConditionQualifierFONC(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierFONC
ConditionQualifierFONC Constructor
ConditionQualifierPrimalFeasibility - Class in org.drip.optimization.necessary
ConditionQualifierPrimalFeasibility holds the Zero Order Necessary Primal Feasibility Condition.
ConditionQualifierPrimalFeasibility(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierPrimalFeasibility
ConditionQualifierPrimalFeasibility Constructor
ConditionQualifierSOSC - Class in org.drip.optimization.necessary
ConditionQualifierSOSC holds the Second Order Sufficiency Condition.
ConditionQualifierSOSC(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierSOSC
ConditionQualifierSOSC Constructor
confidence() - Method in class org.drip.execution.bayesian.PriorDriftDistribution
Retrieve the Confidence of the Prior Drift Distribution
confidence(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
Compute the Confidence given the Width around the Mean
confidenceInterval(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
Compute the Width around the Mean given the Confidence Level
confidenceLevel() - Method in class org.drip.portfolioconstruction.objective.RobustErrorTerm
Retrieve the Confidence Level (i.e., Eta)
ConfigLoader - Class in org.drip.param.config
ConfigLoader implements the configuration functionality.
ConfigLoader() - Constructor for class org.drip.param.config.ConfigLoader
 
CONHoliday - Class in org.drip.analytics.holset
 
CONHoliday() - Constructor for class org.drip.analytics.holset.CONHoliday
 
connectionMap() - Method in class org.drip.spaces.graph.Topography
Generate the Connection Map between valid Pairs of Source and Destination
ConnectToAnalServer(String) - Static method in class org.drip.param.config.ConfigLoader
Connect to the analytics server from the connection parameters set in the XML Configuration file
Conservative() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Generate the "Conservative" Parameterization of AndersenPykhtinSokolLag
Conservative(JulianDate, String) - Static method in class org.drip.exposure.csatimeline.EventSequence
Construct an Instance of Conservative EventSequence
ConservativeTimeline - Class in org.drip.sample.csaevents
ConservativeTimeline describes CSA mandated Events Time-line occurring Margin Period, as enforced by an "Conservative" Dealer.
ConservativeTimeline() - Constructor for class org.drip.sample.csaevents.ConservativeTimeline
 
constant() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
 
constant() - Method in class org.drip.execution.athl.TemporaryImpact
 
constant() - Method in class org.drip.execution.impact.ParticipationRatePower
 
constant() - Method in class org.drip.execution.impact.TransactionFunctionPower
Retrieve the Constant Market Impact Parameter
constant() - Method in class org.drip.execution.principal.OptimalMeasureDependence
Retrieve the Constant
constant() - Method in class org.drip.function.rdtor1.AffineMultivariate
Retrieve the Constant
constant() - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
Retrieve the Asymptote Constant
ConstantLiquidityVolatility - Class in org.drip.sample.almgren2003
ConstantLiquidityVolatility demonstrates the Dependence of the Optimal Trading Trajectory as a Function of Constant Trading Enhanced Volatilities.
ConstantLiquidityVolatility() - Constructor for class org.drip.sample.almgren2003.ConstantLiquidityVolatility
 
ConstantPaymentBond - Class in org.drip.sample.assetbacked
ConstantPaymentBond demonstrates the Construction and Valuation of a Custom Constant Payment Mortgage Bond.
ConstantPaymentBond() - Constructor for class org.drip.sample.assetbacked.ConstantPaymentBond
 
ConstantPaymentBondBuilder - Class in org.drip.product.creator
ConstantPaymentBondBuilder contains the Suite of Helper Functions for creating Constant Payments Based Bonds.
ConstantPaymentBondBuilder() - Constructor for class org.drip.product.creator.ConstantPaymentBondBuilder
 
ConstantTradingEnhancedVolatility - Class in org.drip.sample.almgren2003
ConstantTradingEnhancedVolatility demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Constant Trading Enhanced Volatility.
ConstantTradingEnhancedVolatility() - Constructor for class org.drip.sample.almgren2003.ConstantTradingEnhancedVolatility
 
ConstantUniformPaymentAmount(double, double, int) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
Compute the Constant Uniform Payment Amount for the Parameters of the Specified Mortgage Bond
ConstantYield(int, String, String, double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Construct a Govvie Curve from the Specified Date and Yield
ConstrainedCovarianceEllipsoid - Class in org.drip.sample.rdtor1
ConstrainedCovarianceEllipsoid demonstrates the Construction and Usage of a Co-variance Ellipsoid with Linear Constraints.
ConstrainedCovarianceEllipsoid() - Constructor for class org.drip.sample.rdtor1.ConstrainedCovarianceEllipsoid
 
ConstrainedLinearTemporaryImpact - Class in org.drip.execution.cost
ConstrainedLinearTemporaryImpact computes and holds the Optimal Trajectory under Trading Rate Sign Constraints using Linear Temporary Impact Function for the given set of Inputs.
ConstrainedLinearTemporaryImpact(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear, R1ToR1, double, double, double, double) - Constructor for class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
 
ConstrainedMeanVarianceOptimizer - Class in org.drip.portfolioconstruction.allocator
ConstrainedMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical Properties with the Specified Lower/Upper Bounds on the Component Assets.
ConstrainedMeanVarianceOptimizer(InteriorPointBarrierControl, LineStepEvolutionControl) - Constructor for class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
ConstrainedMeanVarianceOptimizer Constructor
constrainedPCP(PortfolioConstructionParameters, double) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
 
constrainedPCP(PortfolioConstructionParameters, double) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
 
constrainedPCP(PortfolioConstructionParameters, double) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
 
constraintAttributes() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
Retrieve the Array of Constraint Attributes
constraintFunctionDimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
Retrieve the Constraint Function Dimension
ConstraintFunctionPointMetrics - Class in org.drip.function.rdtor1solver
ConstraintFunctionPointMetrics holds the R^d Point Base and Sensitivity Metrics of the Constraint Function.
ConstraintFunctionPointMetrics(double[], double[][], double[]) - Constructor for class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
ConstraintFunctionPointMetrics Constructor
constraintFunctions() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
Retrieve the Array of the Constraint R^d To R^1 Function Instances
ConstraintHierarchy - Class in org.drip.portfolioconstruction.optimizer
ConstraintHierarchy holds the Details of a given set of Constraint Terms.
ConstraintHierarchy(ConstraintTerm[], int[]) - Constructor for class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
ConstraintHierarchy Constructor
constraintHierarchy() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
Retrieve the Constraint Hierarchy
constraintMultipliers() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Retrieve the Constraint Multipliers
ConstraintQualifier - Class in org.drip.optimization.regularity
ConstraintQualifier holds the Constraint Name, the Constraint Code, and the Constraint Validity Flag that correspond to the Regularity Conditions.
ConstraintQualifier(String, String, boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifier
ConstraintQualifier Constructor
ConstraintQualifierCPLDCQ - Class in org.drip.optimization.regularity
ConstraintQualifierCPLDCQ holds the Constant Positive Linear Dependence Constraint Qualifier (CPLDCQ).
ConstraintQualifierCPLDCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierCPLDCQ
ConstraintQualifierCPLDCQ Constructor
ConstraintQualifierCRCQ - Class in org.drip.optimization.regularity
ConstraintQualifierCRCQ holds the Constant Rank Constraint Qualifier (CRCQ).
ConstraintQualifierCRCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierCRCQ
ConstraintQualifierCRCQ Constructor
ConstraintQualifierLCQ - Class in org.drip.optimization.regularity
ConstraintQualifierLCQ holds the Linear Constraint Qualifier (LCQ).
ConstraintQualifierLCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierLCQ
ConstraintQualifierLCQ Constructor
ConstraintQualifierLICQ - Class in org.drip.optimization.regularity
ConstraintQualifierLICQ holds the Linear Independence Constraint Qualifier (LICQ).
ConstraintQualifierLICQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierLICQ
ConstraintQualifierLICQ Constructor
ConstraintQualifierMFCQ - Class in org.drip.optimization.regularity
ConstraintQualifierMFCQ holds the Mangasarian-Fromovitz Constraint Qualifier (MFCQ).
ConstraintQualifierMFCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierMFCQ
ConstraintQualifierMFCQ Constructor
ConstraintQualifierQNCQ - Class in org.drip.optimization.regularity
ConstraintQualifierQNCQ holds the Quasi Normal Constraint Qualifier (QNCQ).
ConstraintQualifierQNCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierQNCQ
ConstraintQualifierQNCQ Constructor
ConstraintQualifierSCCQ - Class in org.drip.optimization.regularity
ConstraintQualifierSCCQ holds the Slater Condition Constraint Qualifier (SCCQ).
ConstraintQualifierSCCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierSCCQ
ConstraintQualifierSCCQ Constructor
ConstraintRealization - Class in org.drip.portfolioconstruction.optimizer
ConstraintRealization holds the Realized Set of Values coming out of an Optimizer Run, along with the Bounds.
ConstraintRealization(double, double, double) - Constructor for class org.drip.portfolioconstruction.optimizer.ConstraintRealization
ConstraintRealization Constructor
constraintRealizaton() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
Retrieve the Map of Constraint Realizations
constraints() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
Retrieve the Array of Constraint Terms
constraintSettings() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
Retrieve the Instance of the Portfolio Equality Constraint Settings
ConstraintTerm - Class in org.drip.portfolioconstruction.optimizer
ConstraintTerm holds the Details of a given Constraint Term.
ConstraintTerm(String, String, String, String, Scope, Unit, double, double) - Constructor for class org.drip.portfolioconstruction.optimizer.ConstraintTerm
 
constraintType() - Method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
Retrieve the Constraint Type
constraintValue() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
Retrieve the Constraint Value
constraintVariates() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
Retrieve the Array of the Constraint Function Variates
constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
Constrict the Attribute Values to those of the Holdings
constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.BlockClassification
Constrict the Classification Values to those of the Holdings
constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.Holdings
Constrict "This" Holdings to those of the Assets in the "Other" Holdings
constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
Constrict the Transaction Charge Array to those of the Holdings
constrict(Holdings) - Method in interface org.drip.portfolioconstruction.risk.AssetCovariance
Constrict the Co-variance Matrix to those of the Holdings
constrict(Holdings) - Method in class org.drip.portfolioconstruction.risk.AssetCovarianceDense
 
constrict(Holdings) - Method in class org.drip.portfolioconstruction.risk.AssetCovarianceFactor
 
CONSUMER - Static variable in class org.drip.simm.credit.SectorSystemics
The Consumer Sector
CONSUMER_SERVICES - Static variable in class org.drip.simm.credit.SectorSystemics
The Consumer Services Sector
ContainerFactory - Interface in org.drip.json.parser
ContainerFactory is an Adaptation of the ContainerFactory Interface from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
containingIndex(double, boolean, boolean) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
containingIndex(double, boolean, boolean) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Return the Index for the Segment containing specified Predictor Ordinate
containingPeriod(int) - Method in class org.drip.product.rates.Stream
Retrieve the Period Instance enveloping the specified Date
contains(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
Check whether the supplied Date is inside the Period specified
contains(String) - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
Indicates if an Asset exists in the Holdings
contains(String) - Method in class org.drip.portfolioconstruction.composite.Holdings
Indicates if an Asset exists in the Holdings
contains(String) - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
Indicate if the Asset's Transaction Charge is Available
contains(Asset) - Method in class org.drip.portfolioconstruction.core.LocalUniverse
Indicate if the Asset is contained in the Local Universe
contains(String) - Method in class org.drip.portfolioconstruction.core.LocalUniverse
Indicate if the Asset is contained in the Local Universe
contains(String, String, LatentStateLabel) - Method in class org.drip.product.calib.ProductQuoteSet
Indicate if the Specified External Latent State Specification is contained in the Array
contains(String) - Method in class org.drip.product.calib.ProductQuoteSet
Indicate if the Manifest Measure is available
Contains(String) - Static method in class org.drip.service.env.CacheManager
The Contains Method checks the Presence of the specified Key
containsAsset(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Check if the Asset is represented
containsBaseRate() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
Indicate if the Base Rate Field exists
containsBasis() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
Indicate if the Basis Field exists
containsBasis() - Method in class org.drip.product.calib.StreamQuoteSet
Indicate if the Basis Field exists
ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer20
Indicate if the Bucket denoted by the Number is available
ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer21
Indicate if the Bucket denoted by the Number is available
ContainsBucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
Indicate if the Bucket denoted by the Number is available
ContainsBucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
Indicate if the Bucket denoted by the Number is available
ContainsBucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer20
Indicate if the Bucket denoted by the Number is available
ContainsBucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer21
Indicate if the Bucket denoted by the Number is available
ContainsBucket(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
Indicate if the Bucket is contained the Threshold Container
ContainsBucket(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
Indicate if the Bucket is contained the Threshold Container
ContainsBucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer20
Indicate if the Bucket denoted by the Number is available
ContainsBucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer21
Indicate if the Bucket denoted by the Number is available
ContainsCategory(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Indicate if the Category identified by the Number is available in the Map
ContainsCategory(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Indicate if the Category identified by the Number is available in the Map
containsCollateralGroup(String) - Method in class org.drip.xva.topology.CreditDebtGroup
Indicates if the Collateral Group identified by the specified ID
containsCoupon() - Method in class org.drip.product.calib.FixedStreamQuoteSet
Indicate if the Coupon Field exists
containsCouponBasis() - Method in class org.drip.product.calib.FixedStreamQuoteSet
Indicate if the Coupon Basis Field exists
containsCouponSpread() - Method in class org.drip.product.calib.StreamQuoteSet
Indicate if the Coupon/Spread Field exists
containsCreditDebtGroup(String) - Method in class org.drip.xva.topology.FundingGroup
Indicate the specified CreditDebtGroup ID is available
containsDate(int) - Method in class org.drip.exposure.universe.MarketPath
Indicate if the Market Vertex is available for the Specified Date
containsDerivedParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
Indicate if the Derived Par Basis Spread Field exists
containsDerivedParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
Indicate if the Derived Par Basis Spread Field exists
containsFactor(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Check if the Factor is available
ContainsFeb29(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
Indicate whether there is at least One Leap Day between 2 given Dates
containsForwardRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
Indicate if the Forward Rate Field exists
containsForwardRate() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Indicate if the Forward Rate Field exists
containsFRARate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
Indicate if the FRA Rate Field exists
containsFundingGroup(String) - Method in class org.drip.xva.topology.Adiabat
Indicate if the Funding Group identified by the ID exists
containsKey(Object) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
 
containsKey(Object) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
 
containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
Indicate if Quantification Metrics are available for the specified Latent State
containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
Indicate if Quantification Metrics are available for the specified Latent State
containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
Indicate if Quantification Metrics are available for the specified Latent State
containsLatentState(LatentStateLabel) - Method in class org.drip.exposure.universe.LatentStateWeiner
Indicate if the specified Latent State is available in the Weiner Increment Map
containsLatentStateQuantificationMetric(String) - Method in class org.drip.product.calib.ProductQuoteSet
Indicate if the requested Latent State Quantification Metric is contained in the Quote Set
containsLatentStateType(String) - Method in class org.drip.product.calib.ProductQuoteSet
Indicate if the requested Latent State Type is contained in the Quote Set
ContainsNonQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer20
Indicate if the Non-Qualifying Bucket specified by the Number is available
ContainsNonQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer21
Indicate if the Non-Qualifying Bucket specified by the Number is available
containsOptionPV() - Method in class org.drip.product.calib.VolatilityProductQuoteSet
Indicate if the PV of an Option on the Product Field exists
containsOutright() - Method in class org.drip.product.calib.FXForwardQuoteSet
Indicate if the Terminal FX Forward Outright Field exists
containsParForwardRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
Indicate if the Par Forward Rate Field exists
containsPIP() - Method in class org.drip.product.calib.FXForwardQuoteSet
Indicate if the Terminal FX Forward PIP Field exists
containsPositionGroup(String) - Method in class org.drip.xva.topology.CollateralGroup
Indicates if the Position Group identified by the specified ID
containsPrice() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
Indicate if the Price Field exists
containsPV() - Method in class org.drip.product.calib.DepositComponentQuoteSet
Indicate if the PV Field exists
containsPV() - Method in class org.drip.product.calib.FixedStreamQuoteSet
Indicate if the PV Field exists
containsPV() - Method in class org.drip.product.calib.FixFloatQuoteSet
Indicate if the PV Field exists
containsPV() - Method in class org.drip.product.calib.FloatFloatQuoteSet
Indicate if the PV Field exists
containsPV() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Indicate if the PV Field exists
containsPV() - Method in class org.drip.product.calib.StreamQuoteSet
Indicate if the PV Field exists
containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
Indicate if the Value for the specified Quantification Metric is available
containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
Indicate if the Value for the specified Quantification Metric is available
containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
Indicate if the Value for the specified Quantification Metric is available
ContainsQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer20
Indicate if the Qualifying Bucket specified by the Number is available
ContainsQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer21
Indicate if the Qualifying Bucket specified by the Number is available
containsQuote(String) - Method in class org.drip.param.definition.ProductQuote
Indicate if the named quote is available
containsQuote(String) - Method in class org.drip.param.quote.ProductMultiMeasure
 
containsRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
Indicate if the Rate Field exists
containsRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
Indicate if the Rate Field exists
containsRate() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
Indicate if the Rate Field exists
containsReferenceParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
Indicate if the Reference Par Basis Spread Field exists
containsReferenceParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
Indicate if the Reference Par Basis Spread Field exists
ContainsRiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
Indicate if the IR Risk Weight is available for the specified Currency
ContainsRiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
Indicate if the IR Risk Weight is available for the specified Currency
ContainsRiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
Indicate if the IR Risk Weight is available for the specified Currency
ContainsRiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
Indicate if the IR Risk Weight is available for the specified Currency
containsRoot() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Indicate whether the root is present in the output, i.e., if the finder has successfully completed.
containsSpread() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Indicate if the Spread Field exists
containsSwapRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
Indicate if the Swap Rate Field exists
ContainsThreshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer20
Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
ContainsThreshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer20
Indicate if the Currency is available as an Interest Rate Threshold
ContainsThreshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer21
Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
ContainsThreshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer21
Indicate if the Currency is available as an Interest Rate Threshold
containsValue(double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
Check if the Node that containing the specified Value Exists
containsVertex(String) - Method in class org.drip.spaces.graph.ShortestPathTree
Indicate of the Vertex is available in the Periphery Map
containsYield() - Method in class org.drip.product.calib.TreasuryBondQuoteSet
Indicate if the Yield Field exists
content() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Row of Content Fields
content() - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Row of Content Fields
ContentHandler - Interface in org.drip.json.parser
ContentHandler is an Adaptation of the ContentHandler Interface from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
Contiguous(String) - Static method in class org.drip.spaces.big.SubStringSetExtractor
Extract all the Contiguous Strings available inside the specified Master String
ContinuousAlmgrenChriss - Class in org.drip.execution.nonadaptive
ContinuousAlmgrenChriss contains the Continuous Version of the Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
ContinuousAlmgrenChriss(OrderSpecification, LinearPermanentExpectationParameters, MeanVarianceObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.ContinuousAlmgrenChriss
ContinuousAlmgrenChriss Constructor
ContinuousConstantTradingEnhanced - Class in org.drip.execution.nonadaptive
ContinuousConstantTradingEnhanced contains the Constant Volatility Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift AND Constant Temporary Impact Volatility.
ContinuousCoordinatedVariationDeterministic - Class in org.drip.execution.nonadaptive
ContinuousCoordinatedVariationDeterministic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory.
ContinuousCoordinatedVariationStochastic - Class in org.drip.execution.nonadaptive
ContinuousCoordinatedVariationStochastic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory in the T To Infinite Limit.
continuousForwardRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Continuously Compounded Forward Rate
continuousForwardRate() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Continuously Compounded Forward Rate
ContinuousForwardRateEvolver - Class in org.drip.dynamics.lmm
ContinuousForwardRateEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Rates State Quantifiers traced from the Evolution of the Continuously Compounded Forward Rate as formulated in: 1) Goldys, B., M.
ContinuousForwardRateEvolver(FundingLabel, ForwardLabel, MultiFactorVolatility, R1ToR1) - Constructor for class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
ContinuousForwardRateEvolver Constructor
continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the Instantaneous Continuously Compounded Forward Curve Increment Span
continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Continuously Compounded Forward Rate Increment
continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Continuously Compounded Forward Rate Increment
continuousForwardRateIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
ContinuousForwardRateUpdate - Class in org.drip.dynamics.lmm
ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.
ContinuousForwardRateVolatility - Class in org.drip.sample.lmm
ContinuousForwardRateVolatility demonstrates the Implying of the Volatility of the Continuously Compounded Forward Rate from the Corresponding LIBOR Forward Rate Volatility.
ContinuousForwardRateVolatility() - Constructor for class org.drip.sample.lmm.ContinuousForwardRateVolatility
 
continuousForwardVolatility(int, ForwardCurve) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
continuousForwardVolatility(int, MergedDiscountForwardCurve) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
continuousForwardVolatilityConstraint(ForwardCurve, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
Compute the Constraint in the Difference in the Volatility of the Continuously Compounded Forward Rate between the Target Date and the Target Date + Forward Tenor
ContinuousHighUrgencyAsymptote - Class in org.drip.execution.nonadaptive
ContinuousHighUrgencyAsymptote contains the High Urgency Asymptote of the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
ContinuousLowUrgencyAsymptote - Class in org.drip.execution.nonadaptive
ContinuousLowUrgencyAsymptote contains the Low Urgency Asymptote of the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
continuouslyCompoundedForwardIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Continuously Compounded Forward Rate Increment
ContinuouslyCompoundedForwardProcess - Class in org.drip.dynamics.lmm
ContinuouslyCompoundedForwardProcess implements the Continuously Compounded Forward Rate Process defined in the LIBOR Market Model.
ContinuouslyCompoundedForwardProcess(int, R1R1ToR1) - Constructor for class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
ContinuouslyCompoundedForwardProcess Constructor
continuouslyCompoundedForwardVolatility() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Continuously Compounded Forward Rate Volatility
continuouslyCompoundedForwardVolatility() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Continuously Compounded Forward Rate Volatility
continuouslyReinvestedAccrualFactor(int) - Method in class org.drip.dynamics.lmm.ShortRateProcess
Retrieve the Continuously Re-invested Accruing Bank Account
ContinuousPowerImpact - Class in org.drip.execution.nonadaptive
ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift.
ContinuousTradingTrajectory - Class in org.drip.execution.strategy
ContinuousTradingTrajectory holds the Continuous Trajectory of a Trading Block that is to be executed over the Specified Horizon.
ContinuousTradingTrajectory(double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.strategy.ContinuousTradingTrajectory
ContinuousTradingTrajectory Constructor
ContinuousTrajectoryConcaveImpact - Class in org.drip.sample.almgren2003
ContinuousTrajectoryConcaveImpact reconciles the Characteristic Times of the Optimal Continuous Trading Trajectory resulting from the Application of the Almgren (2003) Scheme to a Concave Power Law Temporary Market Impact Function.
ContinuousTrajectoryConcaveImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryConcaveImpact
 
ContinuousTrajectoryConvexImpact - Class in org.drip.sample.almgren2003
ContinuousTrajectoryConvexImpact reconciles the Characteristic Times of the Optimal Continuous Trading Trajectory resulting from the Application of the Almgren (2003) Scheme to a Convex Power Law Temporary Market Impact Function.
ContinuousTrajectoryConvexImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryConvexImpact
 
ContinuousTrajectoryLinearImpact - Class in org.drip.sample.almgren2003
ContinuousTrajectoryLinearImpact reconciles the Characteristic Times of the Optimal Continuous Trading Trajectory resulting from the Application of the Almgren (2003) Scheme to a Linear Power Law Temporary Market Impact Function.
ContinuousTrajectoryLinearImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryLinearImpact
 
contraAsset() - Method in class org.drip.xva.basel.BalanceSheetVertex
Retrieve the Contra Asset Account
contraAssetAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModus
Compute the Contra-Asset Adjustment
contraAssetAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFCAFBA
 
contraAssetAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFVAFDA
 
contraAssetDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
contraAssetDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
contraAssetDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Contra-Asset Debt Adjustment
contraAssetDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Contra-Asset Debt Adjustment
contraAssetDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Contra-Asset Debt Adjustment
ContractDefinitions - Class in org.drip.sample.treasuryfutures
ContractDefinitions contains all the pre-fixed Definitions of Exchange-traded Treasury Futures Contracts.
ContractDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ContractDefinitions
 
ContractEligibilitySettlementDefinitions - Class in org.drip.sample.treasuryfutures
ContractEligibilitySettlementDefinitions contains all the pre-fixed Definitions of the Bond Futures Contracts.
ContractEligibilitySettlementDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ContractEligibilitySettlementDefinitions
 
contractual() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
Indicate if the Netting allowed is Contractual
contraintValue() - Method in class org.drip.spline.params.SegmentBasisFlexureConstraint
Retrieve the Constraint Value
contraLiability() - Method in class org.drip.xva.basel.BalanceSheetVertex
Retrieve the Contra Liability Account
contraLiabilityAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModus
Compute the Contra-Liability Adjustment
contraLiabilityAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFCAFBA
 
contraLiabilityAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFVAFDA
 
contraLiabilityChange() - Method in class org.drip.xva.basel.OTCAccountingPolicy
Retrieve the Contra-Liability Change
contraLiabilityCreditAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
contraLiabilityCreditAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
contraLiabilityCreditAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Contra-Liability Credit Adjustment
contraLiabilityCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Contra-Liability Credit Adjustment
contraLiabilityCreditAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Contra-Liability Credit Adjustment
control() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete
Retrieve the Discrete Trajectory Control Settings
control() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
Retrieve the Interior Point Barrier Strength Control Parameters
control() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Retrieve the Convergence Control Parameters
ControlNodesGreek - Class in org.drip.execution.sensitivity
ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the Holdings Control Nodes.
ControlNodesGreek(double, double[], double[][]) - Constructor for class org.drip.execution.sensitivity.ControlNodesGreek
ControlNodesGreek Constructor
ControlNodesGreekGenerator - Interface in org.drip.execution.sensitivity
ControlNodesGreekGenerator exposes the Functionality to compute the Base Value, the Jacobian, and the Hessian Sensitivities of the Mean and the Variance Contributions to the Permanent Impact, Temporary Impact, and the Market Core Components.
CONV_CDS - Static variable in class org.drip.param.quoting.QuotedSpreadInterpreter
Conventional CDS Contract
convAdj() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
Retrieve the Convexity Adjustment
Convention - Class in org.drip.analytics.daycount
This class contains flags that indicate where the holidays are loaded from, as well as the holiday types and load rules.
Convention() - Constructor for class org.drip.analytics.daycount.Convention
 
ConventionFromFullName(String) - Static method in class org.drip.market.otc.CreditIndexConventionContainer
Retrieve the OTC Credit Index Convention Instance from the Full Index Name
ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.CrossFloatConventionContainer
Retrieve the Cross-Currency Float-Float Convention Instance from the Jurisdiction Name
ConventionFromJurisdiction(String, String) - Static method in class org.drip.market.otc.CrossFloatConventionContainer
Retrieve the Cross-Currency Float-Float Convention Instance from the Reference/Derived Jurisdiction Names
ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
Retrieve the Fix-Float Convention for the specified Jurisdiction
ConventionFromJurisdiction(String, String, String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Index, Location, and Maturity Tenor
ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.IBORFloatFloatContainer
Retrieve the Float-Float Convention Instance from the Jurisdiction Name
ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.SwapOptionSettlementContainer
Retrieve the Swap Option Settlement Convention for the specified Jurisdiction
ConventionFromJurisdictionIndex(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Index
ConventionFromJurisdictionLocation(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Location
ConventionFromJurisdictionMaturity(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Maturity Tenor
ConvergenceControl - Class in org.drip.function.rdtor1solver
ConvergenceControl contains the R^d To R^1 Convergence Control/Tuning Parameters.
ConvergenceControl(int, double, double, int) - Constructor for class org.drip.function.rdtor1solver.ConvergenceControl
ConvergenceControl Constructor
ConvergenceControlParams - Class in org.drip.function.r1tor1solver
ConvergenceControlParams holds the fields needed for the controlling the execution of Newton's method.
ConvergenceControlParams() - Constructor for class org.drip.function.r1tor1solver.ConvergenceControlParams
Default Convergence Control Parameters constructor
ConvergenceControlParams(int, double, double, double) - Constructor for class org.drip.function.r1tor1solver.ConvergenceControlParams
ConvergenceControlParams constructor
ConvergenceOutput - Class in org.drip.function.r1tor1solver
ConvergenceOutput extends the ExecutionInitializationOutput by retaining the starting variate that results from the convergence zone search.
ConvergenceOutput() - Constructor for class org.drip.function.r1tor1solver.ConvergenceOutput
Default ConvergenceOutput constructor: Initializes the output object
ConvergenceOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.ConvergenceOutput
Initialize off of an existing EIOP
convergenceType() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
Retrieve the Convergence Type
convergeObjectiveFunction(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Objective Function Convergence
convergeVariate(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Variate/Inequality Constraint Tuple Convergence
conversionFactor() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Retrieve the CTD Conversion Factor at Expiry
conversionFactor() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Conversion Factor Array
conversionFactor() - Method in class org.drip.product.params.CTDEntry
Retrieve the CTD Conversion Factor
Converter - Class in org.drip.json.parser
TypeConverter transforms the JSON Object to certain Primitive/Simple Data Type Arrays, i.e., double, integer, String, or JulianDate Arrays.
Converter() - Constructor for class org.drip.json.parser.Converter
 
convexity() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Convexity
convexityAdjustment() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal Convexity Adjustment
ConvexityAdjustment - Class in org.drip.analytics.output
ConvexityAdjustment holds the dynamical convexity Adjustments between the Latent States.
ConvexityAdjustment() - Constructor for class org.drip.analytics.output.ConvexityAdjustment
Empty ConvexityAdjustment Constructor
convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from ASW to Work-out
convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from ASW to Maturity
convexityFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from ASW to Optimal Exercise
convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Bond Basis to Work-out
convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Bond Basis to Maturity
convexityFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Bond Basis to Optimal Exercise
convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Credit Basis to Work-out
convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Credit Basis to Maturity
convexityFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Credit Basis to Optimal Exercise
convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Discount Margin to Work-out
convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Discount Margin to Maturity
convexityFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Discount Margin to Optimal Exercise
convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from E Spread to Work-out
convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from E Spread to Maturity
convexityFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from E Spread to Optimal Exercise
convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from G Spread to Work-out
convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from G Spread to Maturity
convexityFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from G Spread to Optimal Exercise
convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from I Spread to Work-out
convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from I Spread to Maturity
convexityFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from I Spread to Optimal Exercise
convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from J Spread to Work-out
convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from J Spread to Maturity
convexityFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from J Spread to Optimal Exercise
convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from N Spread to Work-out
convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from N Spread to Maturity
convexityFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from N Spread to Optimal Exercise
convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from OAS to Work-out
convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from OAS to Maturity
convexityFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from OAS to Optimal Exercise
convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from PECS to Work-out
convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from PECS to Maturity
convexityFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from PECS to Optimal Exercise
convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Price to Work-out
convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Price to Maturity
convexityFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Price to Optimal Exercise
convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from TSY Spread to Work-out
convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from TSY Spread to Maturity
convexityFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from TSY Spread to Optimal Exercise
convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Yield to Work-out
convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Yield to Maturity
convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Yield Spread to Work-out
convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Yield Spread to Maturity
convexityFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Yield Spread to Optimal Exercise
convexityFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Yield to Optimal Exercise
convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Z Spread to Work-out
convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Z Spread to Maturity
convexityFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
convexityFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Convexity from Z Spread to Optimal Exercise
ConvexMultivariate - Interface in org.drip.function.rdtor1
ConvexMultivariate is a Shell Interface that "typifies" a Convex R^d To R^1.
cookCustomCC(String, String, ValuationParams, MergedDiscountForwardCurve, GovvieCurve, String[], double[], double, LatentStateFixingsContainer, ValuationCustomizationParams, boolean, ManifestMeasureTweak, ManifestMeasureTweak, ManifestMeasureTweak) - Method in class org.drip.param.market.CreditCurveScenarioContainer
Cook the credit curve according to the desired tweak parameters
cookScenarioCC(String, ValuationParams, MergedDiscountForwardCurve, GovvieCurve, String[], double[], double, LatentStateFixingsContainer, ValuationCustomizationParams, boolean, int) - Method in class org.drip.param.market.CreditCurveScenarioContainer
Cook and save the credit curves corresponding to the scenario specified
cookScenarioDC(ValuationParams, GovvieCurve, double[], String[], double, LatentStateFixingsContainer, ValuationCustomizationParams, int) - Method in class org.drip.param.market.DiscountCurveScenarioContainer
Generate the set of discount curves from the scenario specified, and the instrument quotes
CoordinatedMarketState - Class in org.drip.execution.tradingtime
CoordinatedMarketState implements the Coordinated Variation Version of the Volatility and the Linear Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedMarketState(CoordinatedVariation) - Constructor for class org.drip.execution.tradingtime.CoordinatedMarketState
CoordinatedParticipationRateLinear Constructor
CoordinatedMarketStateTrajectory - Class in org.drip.sample.almgren2009
CoordinatedMarketStateTrajectory traces a Sample Realization of the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
CoordinatedMarketStateTrajectory() - Constructor for class org.drip.sample.almgren2009.CoordinatedMarketStateTrajectory
 
CoordinatedParticipationRateLinear - Class in org.drip.execution.tradingtime
CoordinatedParticipationRateLinear implements the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model.
CoordinatedParticipationRateLinear(CoordinatedVariation, R1ToR1) - Constructor for class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
CoordinatedParticipationRateLinear Constructor
CoordinatedVariation(R1ToR1, CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
Construct a Arithmetic Price Evolution Parameters from Coordinated Variation Instance
CoordinatedVariation - Class in org.drip.execution.tradingtime
CoordinatedVariation implements the Coordinated Variation of the Volatility and Liquidity as described in the "Trading Time" Model.
CoordinatedVariation(double, double) - Constructor for class org.drip.execution.tradingtime.CoordinatedVariation
CoordinatedVariation Constructor
coordinatedVariationConstraint() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Retrieve the Coordinated Variation Instance
CoordinatedVariationDynamic - Class in org.drip.execution.adaptive
CoordinatedVariationDynamic implements the HJB-based Single Step Optimal Cost Dynamic Trajectory using the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedVariationDynamic(CoordinatedVariationTrajectoryDeterminant, double[], double[], NonDimensionalCost[]) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationDynamic
CoordinatedVariationDynamic Constructor
CoordinatedVariationRollingHorizon - Class in org.drip.execution.adaptive
CoordinatedVariationRollingHorizon implements the "Rolling Horizon" Approximation of the Optimal Cost Dynamic Trajectory arising from the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedVariationRollingHorizon(CoordinatedVariationTrajectoryDeterminant, double[], double[], double[]) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationRollingHorizon
CoordinatedVariationRollingHorizon Constructor
CoordinatedVariationStatic - Class in org.drip.execution.adaptive
CoordinatedVariationStatic implements the Static Trajectory based on the "Mean Equilibrium Market State" of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedVariationStatic(CoordinatedVariationTrajectoryDeterminant, EfficientTradingTrajectoryContinuous) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationStatic
CoordinatedVariationStatic Constructor
CoordinatedVariationTrajectory - Class in org.drip.execution.adaptive
CoordinatedVariationTrajectory holds the "Common" Measures generated from the HJB-based MultiStep Optimal Cost Dynamic Trajectory Generation using the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedVariationTrajectory(CoordinatedVariationTrajectoryDeterminant) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectory
CoordinatedVariationTrajectory Constructor
CoordinatedVariationTrajectoryDeterminant - Class in org.drip.execution.adaptive
CoordinatedVariationTrajectoryDeterminant contains the HJB-based MultiStep Optimal Cost Dynamic Trajectory Generation Metrics using the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedVariationTrajectoryDeterminant(double, double, double, double, double, double, double) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
CoordinatedVariationTrajectoryDeterminant Constructor
CoordinatedVariationTrajectoryGenerator - Class in org.drip.execution.adaptive
CoordinatedVariationTrajectoryGenerator implements the Continuous HJB-based Single Step Optimal Cost Trajectory using the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedVariationTrajectoryGenerator(OrderSpecification, CoordinatedVariation, MeanVarianceObjectiveUtility, NonDimensionalCostEvolver, int) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
CoordinatedVariationTrajectoryGenerator Constructor
CoordinatedVariationTrajectoryState - Class in org.drip.execution.adaptive
CoordinatedVariationTrajectoryState holds the HJB-based Multi Step Optimal Trajectory State at each Step of the Evolution using the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
CoordinatedVariationTrajectoryState(double, double, double, double, double) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
CoordinatedVariationTrajectoryState Constructor
COPHoliday - Class in org.drip.analytics.holset
 
COPHoliday() - Constructor for class org.drip.analytics.holset.COPHoliday
 
CoreCashFlowMeasures - Class in org.drip.sample.bond
CoreCashFlowMeasures contains a demo of the Bond Core Measures and the Cash Flow Sample.
CoreCashFlowMeasures() - Constructor for class org.drip.sample.bond.CoreCashFlowMeasures
 
coreSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregate
Retrieve the Core SBA Variance
coreSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
Retrieve the Core SBA Variance
coreSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
Retrieve the Core SBA Variance
CornishFischer() - Static method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
Construct the Cornish Fischer Instance of the Curvature Estimator
CornishFischer(String) - Static method in class org.drip.simm.parameters.MarginEstimationSettings
Generate a Cornish-Fischer Instance of MarginEstimationSettings
CORPORATE_LOAN_RECOVERY_RATE - Static variable in class org.drip.service.scenario.BondReplicator
Loan Corporate Recovery Rate
CORPORATE_SENIOR_RECOVERY_RATE - Static variable in class org.drip.service.scenario.BondReplicator
Senior Corporate Recovery Rate
CORPORATE_SUBORDINATE_RECOVERY_RATE - Static variable in class org.drip.service.scenario.BondReplicator
Subordinate Corporate Recovery Rate
CorporateIssueMetrics - Class in org.drip.sample.bond
CorporateIssueMetrics demonstrates the Corporate Bond Pricing and Relative Value Measure Generation Functionality.
CorporateIssueMetrics() - Constructor for class org.drip.sample.bond.CorporateIssueMetrics
 
CorporateLoan(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, String, String[], double[], String[], double[], double, double, int, BondComponent) - Static method in class org.drip.service.scenario.BondReplicator
Generate a Standard Corporate Loan BondReplicator Instance
CorporateSenior(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, String, String[], double[], String[], double[], double, double, int, BondComponent) - Static method in class org.drip.service.scenario.BondReplicator
Generate a Standard Senior Corporate BondReplicator Instance
CorporateSubordinate(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, String, String[], double[], String[], double[], double, double, int, BondComponent) - Static method in class org.drip.service.scenario.BondReplicator
Generate a Standard Subordinate Corporate BondReplicator Instance
Correlated(OrnsteinUhlenbeckPair, double, double, double, int) - Static method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
Construct a Standard Correlated Instance of OrnsteinUhlenbeckSequence
CorrelatedNumeraireXVAAttribution - Class in org.drip.sample.burgard2011
CorrelatedNumeraireXVAAttribution constructs the XVA PnL Attribution arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
CorrelatedNumeraireXVAAttribution() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAAttribution
 
CorrelatedNumeraireXVAExplain - Class in org.drip.sample.burgard2011
CorrelatedNumeraireXVAExplain constructs the XVA PnL Explain arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
CorrelatedNumeraireXVAExplain() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAExplain
 
CorrelatedNumeraireXVAGreeks - Class in org.drip.sample.burgard2011
CorrelatedNumeraireXVAGreeks constructs the XVA Greeks arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
CorrelatedNumeraireXVAGreeks() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAGreeks
 
CorrelatedNumeraireXVAReplicationPortfolio - Class in org.drip.sample.burgard2011
CorrelatedNumeraireXVAReplicationPortfolio calculates the XVA Replication Portfolio arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
CorrelatedNumeraireXVAReplicationPortfolio() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAReplicationPortfolio
 
CorrelatedPathVertexDimension - Class in org.drip.measure.discrete
CorrelatedPathVertexDimension generates Correlated R^d Random Numbers at the specified Vertexes, over the Specified Paths.
CorrelatedPathVertexDimension(RandomNumberGenerator, double[][], int, int, boolean, QuadraticResampler) - Constructor for class org.drip.measure.discrete.CorrelatedPathVertexDimension
CorrelatedPathVertexDimension Constructor
CorrelatedRdSequence - Class in org.drip.sample.statistics
CorrelatedRdSequence demonstrates the Generation of the Statistical Measures for the Input Correlated Sequence Set created using the Multi-Path Correlated Random Variable Generator without Quadratic Re-sampling or Antithetic Variables.
CorrelatedRdSequence() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequence
 
CorrelatedRdSequenceAntithetic - Class in org.drip.sample.statistics
CorrelatedRdSequenceAntithetic demonstrates the Generation of the Statistical Measures for the Input Correlated Sequence Set created using the Multi-Path Correlated Random Variable Generator without Quadratic Re-sampling, but with Antithetic Variables.
CorrelatedRdSequenceAntithetic() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequenceAntithetic
 
CorrelatedRdSequenceQR - Class in org.drip.sample.statistics
CorrelatedRdSequenceQR demonstrates the Generation of the Statistical Measures for the Input Correlated Sequence Set created using the Multi-Path Correlated Random Variable Generator using Quadratic Re-sampling but without Antithetic Variables.
CorrelatedRdSequenceQR() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequenceQR
 
CorrelatedRdSequenceQRUnbiased - Class in org.drip.sample.statistics
CorrelatedRdSequenceQRUnbiased demonstrates the Generation of the Statistical Measures for the Input Correlated Sequence Set created using the Multi-Path Correlated Random Variable Generator using Unbiased Quadratic Re-sampling but without Antithetic Variables.
CorrelatedRdSequenceQRUnbiased() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequenceQRUnbiased
 
correlation() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Retrieve the Correlation Matrix
correlation() - Method in class org.drip.measure.joint.Evolver
Retrieve the Correlation Matrix
correlation() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
Retrieve the Correlation between the Ornstein-Uhlenbeck Processes
correlation() - Method in class org.drip.measure.statistics.MultivariateDiscrete
Retrieve the Multivariate Correlation
correlation(String, String) - Method in class org.drip.measure.statistics.MultivariateMoments
Retrieve the Correlation between the Named Variate Pair
correlation(String, String) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Retrieve the Correlation between the Specified Assets
correlation() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
Retrieve the Correlation Matrix
CORRELATION - Static variable in class org.drip.simm.fx.FXSystemics20
FX Risk Class Correlation
CORRELATION - Static variable in class org.drip.simm.fx.FXSystemics21
FX Risk Class Correlation
correlationMatrix() - Method in class org.drip.measure.gaussian.Covariance
Retrieve the Correlation Matrix
COSH - Static variable in class org.drip.function.r1tor1.HyperbolicTension
Hyperbolic Tension Function Type - cosh
cost() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
Retrieve the Trajectory State Time Node Cost
costIncrementDistribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
Generate the R^1 Normal Cost Increment Distribution
costIncrementRealization(double, WalkSuite, ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
Generate the Cost Evolution Increment Unit Realization given the Walk Realization
costScale() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
Retrieve the Cost Scale
count() - Method in class org.drip.assetbacked.borrower.DelinquentAccountsLast2Years
Retrieve the Count of the Delinquent Borrower Accounts over the last Two Years
count() - Method in class org.drip.assetbacked.borrower.TotalAccounts
Retrieve the Borrower's Current Count of the Total Number of Accounts
count() - Method in class org.drip.assetbacked.loan.InquiriesLast6Months
Retrieve the Total Number of Inquiries for the Loan over the Last 6 Months
count() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
Retrieve the Total Count of States realized
count() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Number of the Positions in the Container
count() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
Retrieve the Constraint Count
count() - Method in class org.drip.spaces.big.BinaryTree
Retrieve the Node Instance Count
count() - Method in class org.drip.xva.dynamics.PathSimulator
Retrieve the Path Count
CountablyFinite(double) - Static method in class org.drip.spaces.tensor.Cardinality
Countably Finite Cardinality
CountablyInfinite() - Static method in class org.drip.spaces.tensor.Cardinality
Countably Infinite Cardinality
counterParty() - Method in class org.drip.param.quote.ProductTick
Retrieve the Counter Party
CounterPartyHazardHigh - Class in org.drip.sample.burgard2012
CounterPartyHazardHigh estimates the CVA Relative to V for a Call Option bought by the Bank for different Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the Counter Party Hazard is High (5%).
CounterPartyHazardHigh() - Constructor for class org.drip.sample.burgard2012.CounterPartyHazardHigh
 
CounterPartyHazardLow - Class in org.drip.sample.burgard2012
CounterPartyHazardLow estimates the CVA Relative to V for a Call Option bought by the Bank for different Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the Counter Party Hazard is Low (Zero).
CounterPartyHazardLow() - Constructor for class org.drip.sample.burgard2012.CounterPartyHazardLow
 
CounterPartyHazardMedium - Class in org.drip.sample.burgard2012
CounterPartyHazardMedium estimates the CVA Relative to V for a Call Option bought by the Bank for different Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the Counter Party Hazard is Medium (2.5%).
CounterPartyHazardMedium() - Constructor for class org.drip.sample.burgard2012.CounterPartyHazardMedium
 
Coupon - Class in org.drip.assetbacked.loan
Coupon contains the current Loan Annualized Coupon Rate and Frequency
Coupon(double, int) - Constructor for class org.drip.assetbacked.loan.Coupon
Coupon Constructor
coupon() - Method in class org.drip.product.calib.FixedStreamQuoteSet
Retrieve the Coupon
coupon(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.BasketProduct
Retrieve the basket product's coupon amount at the given date
coupon(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.Stream
Get the Coupon Metrics for the period corresponding to the specified accrual end date
coupon() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Calibration Treasury Coupon Array
couponBasis() - Method in class org.drip.product.calib.FixedStreamQuoteSet
Retrieve the Coupon Basis
couponCeilingRate() - Method in class org.drip.product.params.CouponSetting
Retrieve the Coupon Ceiling Rate
couponCurrency() - Method in class org.drip.analytics.cashflow.Bullet
Retrieve the Coupon Currency
couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
 
couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
 
couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Get the Period Coupon Currency
couponCurrency() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Coupon Currency
couponCurrency() - Method in class org.drip.param.period.ComposableFixedUnitSetting
Retrieve the Fixed Coupon Currency
couponCurrency() - Method in class org.drip.product.credit.BondComponent
 
couponCurrency() - Method in class org.drip.product.credit.CDSComponent
 
couponCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Coupon Currency
couponCurrency() - Method in class org.drip.product.definition.BasketProduct
 
couponCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Map of Coupon Currencies
couponCurrency() - Method in class org.drip.product.fx.FXForwardComponent
 
couponCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
 
couponCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
 
couponCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
 
couponCurrency() - Method in class org.drip.product.option.OptionComponent
 
couponCurrency() - Method in class org.drip.product.rates.FixFloatComponent
 
couponCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
 
couponCurrency() - Method in class org.drip.product.rates.RatesBasket
 
couponCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
 
couponCurrency() - Method in class org.drip.product.rates.Stream
Retrieve the Coupon Currency
couponDC() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Coupon Day Count
couponDC() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Coupon Day Count
couponDC() - Method in class org.drip.product.credit.BondComponent
 
couponDC() - Method in class org.drip.product.definition.Bond
Return the bond's coupon day count
couponDC() - Method in class org.drip.product.rates.Stream
Retrieve the Coupon Day Count
couponDCF() - Method in class org.drip.analytics.cashflow.CompositePeriod
Compute the Full Coupon DCF
couponDCFOffOfFreq() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
couponDCFOffOfFreq() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
couponEOMAdjustment() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Coupon EOM Adjustment Flag
couponEOMAdjustment() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Coupon EOM Adjustment Flag
couponEOMAdjustment() - Method in class org.drip.product.rates.Stream
Retrieve the Coupon EOM Adjustment
couponFactor(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Period Coupon Schedule Factor Corresponding to the specified Date
couponFactor(int, int) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Period Coupon Schedule Factor Aggregated over the specified Dates
couponFactor(int) - Method in class org.drip.product.credit.BondComponent
 
couponFloorRate() - Method in class org.drip.product.params.CouponSetting
Retrieve the Coupon Floor Rate
couponMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Compute the Full Period Coupon Measures
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.CDSComponent
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Component
Get the Product's coupon Metrics at the specified accrual date
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.fx.FXForwardComponent
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.govvie.TreasuryFutures
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.option.OptionComponent
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.FixFloatComponent
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.FloatFloatComponent
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.RatesBasket
 
couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.SingleStreamComponent
 
couponPeriod() - Method in class org.drip.product.definition.BasketProduct
Get the basket product's coupon periods
couponPeriods() - Method in class org.drip.product.credit.BondComponent
 
couponPeriods() - Method in class org.drip.product.credit.CDSComponent
 
couponPeriods() - Method in class org.drip.product.definition.Component
Get the Product's Cash Flow Periods
couponPeriods() - Method in class org.drip.product.fx.FXForwardComponent
 
couponPeriods() - Method in class org.drip.product.govvie.TreasuryFutures
 
couponPeriods() - Method in class org.drip.product.option.OptionComponent
 
couponPeriods() - Method in class org.drip.product.rates.FixFloatComponent
 
couponPeriods() - Method in class org.drip.product.rates.FloatFloatComponent
 
couponPeriods() - Method in class org.drip.product.rates.RatesBasket
 
couponPeriods() - Method in class org.drip.product.rates.SingleStreamComponent
 
couponPV() - Method in class org.drip.analytics.output.BondCouponMeasures
Retrieve the Coupon PV
couponPV() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Coupon PV
couponRate() - Method in class org.drip.product.params.CouponSetting
Retrieve the Coupon Rate
couponRateExtension() - Method in class org.drip.product.params.CouponSetting
Retrieve the Coupon Rate Extension
couponSchedule() - Method in class org.drip.analytics.cashflow.CompositePeriod
Get the Period Coupon Schedule
couponSchedule() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Coupon Schedule
couponSetting() - Method in class org.drip.product.credit.BondComponent
 
couponSetting() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond coupon setting
CouponSetting - Class in org.drip.product.params
CouponSetting contains the coupon type, schedule, and the coupon amount for the component.
CouponSetting(Array2D, String, double, double, double) - Constructor for class org.drip.product.params.CouponSetting
Construct the CouponSetting from the coupon schedule, coupon type, and the coupon amount
CouponSetting(Array2D, String, double, double, double, double) - Constructor for class org.drip.product.params.CouponSetting
Construct the CouponSetting from the coupon schedule, coupon type, the coupon rate, and its extension
couponSpread() - Method in class org.drip.product.calib.StreamQuoteSet
Retrieve the Coupon/Spread
couponStrike() - Method in class org.drip.param.quoting.QuotedSpreadInterpreter
Retrieve the Coupon Strike
couponType() - Method in class org.drip.product.credit.BondComponent
 
couponType() - Method in class org.drip.product.definition.Bond
Return the bond's coupon type
couponType() - Method in class org.drip.product.params.CouponSetting
Retrieve the Coupon Type
covariance() - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
Retrieve the Co-variance Matrix
covariance() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
Retrieve the Co-variance Matrix
Covariance - Class in org.drip.measure.gaussian
Covariance holds the Standard Covariance Matrix, and provides functions to manipulate it.
Covariance(double[][]) - Constructor for class org.drip.measure.gaussian.Covariance
Covariance Constructor
covariance() - Method in class org.drip.measure.gaussian.R1MultivariateNormal
Compute the Co-variance of the Distribution
covariance() - Method in class org.drip.measure.statistics.MultivariateDiscrete
Retrieve the Multivariate Covariance
covariance(String, String) - Method in class org.drip.measure.statistics.MultivariateMoments
Retrieve the Co-variance of the Named Variate Pair
covariance(String[]) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Retrieve the Asset Covariance Matrix
CovarianceEllipsoidMultivariate - Class in org.drip.function.rdtor1
CovarianceEllipsoidMultivariate implements an R^d To R^1 Co-variance Estimate of the specified Distribution.
CovarianceEllipsoidMultivariate(double[][]) - Constructor for class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
CovarianceEllipsoidMultivariate Constructor
covarianceMatrix() - Method in class org.drip.measure.gaussian.Covariance
Retrieve the Covariance Matrix
CoveringBoundsHelper - Class in org.drip.spaces.cover
CoveringBoundsHelper contains the assortment of Utilities used in the Computation of Upper Bounds for Normed Single Function Spaces and Function Space Products.
CoveringBoundsHelper() - Constructor for class org.drip.spaces.cover.CoveringBoundsHelper
 
coveringLossBoundEvaluator() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Retrieve the Covering Number based Deviation Upper Probability Bound Generator
CoveringNumberBoundBuilder - Class in org.drip.learning.bound
CoveringNumberBoundBuilder constructs the CoveringNumberProbabilityBound Instances for specific Learning Situations.
CoveringNumberBoundBuilder() - Constructor for class org.drip.learning.bound.CoveringNumberBoundBuilder
 
CoveringNumberLossBound - Class in org.drip.learning.bound
CoveringNumberLossBound provides the Upper Probability Bound that the Loss/Deviation of the Empirical from the Actual Mean of the given Learner Class exceeds 'epsilon', using the Covering Number Generalization Bounds.
CoveringNumberLossBound(R1ToR1, double, double) - Constructor for class org.drip.learning.bound.CoveringNumberLossBound
CoveringNumberLossBound Constructor
CPGACollateralized - Class in org.drip.sample.xvadigest
CPGACollateralized illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps.
CPGACollateralized() - Constructor for class org.drip.sample.xvadigest.CPGACollateralized
 
CPGACollateralizedCorrelated - Class in org.drip.sample.xvadigest
CPGACollateralizedCorrelated illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps where the Market Numeraires have Correlated Realizations.
CPGACollateralizedCorrelated() - Constructor for class org.drip.sample.xvadigest.CPGACollateralizedCorrelated
 
CPGAUncollateralized - Class in org.drip.sample.xvadigest
CPGAUncollateralized illustrates the Counter Party Aggregation over Netting Groups based Uncollateralized Collateral Groups with several Fix-Float Swaps.
CPGAUncollateralized() - Constructor for class org.drip.sample.xvadigest.CPGAUncollateralized
 
CPGAUncollateralizedCorrelated - Class in org.drip.sample.xvadigest
CPGAUncollateralizedCorrelated illustrates the Counter Party Aggregation over Netting Groups based Uncollateralized Collateral Groups with several Fix-Float Swaps where the Market Numeraires have Correlated Realizations.
CPGAUncollateralizedCorrelated() - Constructor for class org.drip.sample.xvadigest.CPGAUncollateralizedCorrelated
 
CPGAZeroThreshold - Class in org.drip.sample.xvadigest
CPGAZeroThreshold illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps under Zero Collateral Threshold.
CPGAZeroThreshold() - Constructor for class org.drip.sample.xvadigest.CPGAZeroThreshold
 
CPGAZeroThresholdCorrelated - Class in org.drip.sample.xvadigest
CPGAZeroThresholdCorrelated illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps under Zero Collateral Threshold, and with built in Factor Correlations across the Numeraires.
CPGAZeroThresholdCorrelated() - Constructor for class org.drip.sample.xvadigest.CPGAZeroThresholdCorrelated
 
cpldcq() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the CPLDCQ Constraint Qualifier
cpvd() - Method in class org.drip.state.sequence.PathVertexRd
Retrieve the Latent State Evolver CPVD Instance
CRBucket - Class in org.drip.simm.credit
CRBucket holds the ISDA SIMM Credit Quality, Sector List, and Risk Weights for a given Credit Qualifying/Non-Qualifying Issuer Exposure Bucket.
CRBucket(int, String, String[], double) - Constructor for class org.drip.simm.credit.CRBucket
CRBucket Constructor
CRCHoliday - Class in org.drip.analytics.holset
 
CRCHoliday() - Constructor for class org.drip.analytics.holset.CRCHoliday
 
crcq() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the CRCQ Constraint Qualifier
creatArrayContainer() - Method in interface org.drip.json.parser.ContainerFactory
 
Create(ValuationParams, ValuationCustomizationParams, CalibratableComponent[], double[], String[], LatentStateFixingsContainer) - Static method in class org.drip.analytics.input.BootCurveConstructionInput
Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
Create(int, List<UnitPeriodMetrics>) - Static method in class org.drip.analytics.output.CompositePeriodAccrualMetrics
CompositePeriodAccrualMetrics Instance from the list of the composite period metrics
Create(List<UnitPeriodMetrics>) - Static method in class org.drip.analytics.output.CompositePeriodCouponMetrics
CompositePeriodCouponMetrics Instance from the list of the composite period metrics
Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Construct an Instance of ShortForwardRateUpdate
Create(FundingLabel, int, int, int, double, double, double, double, double) - Static method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Construct an Instance of ShortRateUpdate
Create(FundingLabel, ForwardLabel, int, int, ForwardCurve, Span, MergedDiscountForwardCurve, Span, Span, Span, Span, Span, LognormalLIBORVolatility) - Static method in class org.drip.dynamics.lmm.BGMCurveUpdate
Construct an Instance of BGMCurveUpdate
Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.lmm.BGMPointUpdate
Construct an Instance of BGMPointUpdate
Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Construct an Instance of ContinuousForwardRateUpdate
Create(FundingLabel, ForwardLabel, int, SegmentCustomBuilderControl) - Static method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Create a LognormalLIBORCurveEvolver Instance
Create(ForwardLabel, int, int, int, double, double, double, double) - Static method in class org.drip.dynamics.sabr.ForwardRateUpdate
ForwardRateUpdate Creator
Create(JulianDate, double) - Method in class org.drip.market.exchange.DeliverableSwapFutures
Create an Instance of the Deliverable Swaps Futures
Create(MergedDiscountForwardCurve, ForwardCurve, GovvieCurve, CreditCurve, String, ProductQuote, CaseInsensitiveTreeMap<ProductQuote>, LatentStateFixingsContainer) - Static method in class org.drip.param.creator.MarketParamsBuilder
Create a Market Parameters instance with the funding discount curve, the forward discount curve, the govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Instance.
Create(MergedDiscountForwardCurve, GovvieCurve, CreditCurve, String, ProductQuote, CaseInsensitiveTreeMap<ProductQuote>, LatentStateFixingsContainer) - Static method in class org.drip.param.creator.MarketParamsBuilder
Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
Create(AssetComponent[], AssetUniverseStatisticalProperties) - Static method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
Create an Instance of the Optimal Portfolio
Create(int, int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, boolean, String, String, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.params.BondStream
Construct and Instance of BondStream from the specified Parameters
Create(FunctionSupremumUnivariateRandom, int) - Static method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
Construct an Instance of GlivenkoCantelliFunctionSupremum from the Sample
Create(BoundedIdempotentUnivariateRandom, int) - Static method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
GlivenkoCantelliUniformDeviation Constructor
Create(double[], double[], double[]) - Static method in class org.drip.spline.params.SegmentBestFitResponse
Construct the SegmentBestFitResponse Instance from the given Inputs
Create(double[], double[]) - Static method in class org.drip.spline.params.SegmentBestFitResponse
Construct the SegmentBestFitResponse Instance from the given Predictor Ordinate/Response Pairs, using Uniform Weightings.
Create(int, int) - Static method in class org.drip.spline.params.SegmentInelasticDesignControl
Create the Inelastic Design Parameters for the desired Ck Criterion and the Roughness Penalty Order
Create(double[], double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
Construct the StretchBestFitResponse Instance from the given Inputs
Create(int[], double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
Construct the StretchBestFitResponse Instance from the given Inputs
Create(double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
Construct the StretchBestFitResponse Instance from the given Predictor Ordinate/Response Pairs, using Uniform Weightings.
Create(double[], double[]) - Static method in class org.drip.spline.pchip.AkimaLocalC1Generator
Construct an Instance of AkimaLocalC1Generator from the Array of the supplied Predictor Ordinates and the Response Values
Create(double[], double[], String, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate the Local Control Stretch in accordance with the desired Customization Parameters
Create(int[], double[], String, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate the Local Control Stretch in accordance with the desired Customization Parameters
Create(double[], double[], double) - Static method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
Create an instance of MinimalQuadraticHaganWest
Create(double[], double[], boolean) - Static method in class org.drip.spline.pchip.MonotoneConvexHaganWest
Create an instance of MonotoneConvexHaganWest
Create(double, double, FunctionSet, ResponseScalingShapeControl, SegmentInelasticDesignControl) - Static method in class org.drip.spline.segment.LatentStateResponseModel
Build the LatentStateResponseModel instance from the Basis Function/Shape Controller Set
Create(double, double, BasisEvaluator, SegmentInelasticDesignControl) - Static method in class org.drip.spline.segment.LatentStateResponseModel
Build the LatentStateResponseModel instance from the Basis Evaluator Set
Create(FloaterIndex, String) - Static method in class org.drip.state.identifier.ForwardLabel
Construct a ForwardLabel from the tenor and the index
Create(String, String) - Static method in class org.drip.state.identifier.ForwardLabel
Create from the Currency and the Tenor
Create(String) - Static method in class org.drip.state.identifier.OvernightLabel
Construct an OvernightLabel from the Jurisdiction
Create(OvernightIndex) - Static method in class org.drip.state.identifier.OvernightLabel
Construct an OvernightLabel from the Index
CreateAkimaStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Generate the local control C1 Slope using the Akima Cubic Algorithm.
createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
Create a shifted curve from an array of basis shifts
createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
CreateBernsteinPolynomialSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
Create an instance of Bernstein Polynomial BasisSplineRegressor
CreateBesselCubicSplineStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create Hermite/Bessel C1 Cubic Spline Stretch
CreateBondBasket(String, Bond[], double[]) - Static method in class org.drip.product.creator.BondBasketBuilder
BondBasket constructor
CreateBondFromCF(String, JulianDate, String, String, String, double, double, int, JulianDate[], double[], double[], boolean) - Static method in class org.drip.product.creator.BondBuilder
Create a bond from custom/user-defined cash flows and coupon conventions
CreateBondFromParams(TreasuryBenchmarks, IdentifierSet, CouponSetting, FloaterSetting, QuoteConvention, CreditSetting, TerminationSetting, BondStream, NotionalSetting) - Static method in class org.drip.product.creator.BondBuilder
Create the full generic bond object from the complete set of parameters
CreateCalibratedStretchEstimator(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response Values using the specified Basis Splines.
CreateCalibratedStretchEstimator(String, int[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response Values using the specified Basis Splines.
CreateCalibratedStretchEstimator(String, double[], double, SegmentResponseValueConstraint[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create a calibrated Stretch Instance over the specified Predictor Ordinates, Response Values, and their Constraints, using the specified Segment Builder Parameters.
CreateCalibratedStretchEstimator(String, double[], SegmentResponseValueConstraint, SegmentResponseValueConstraint[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response Value Constraints, with the Segment Builder Parameters.
CreateCalibratedStretchEstimator(String, double[], double, SegmentCustomBuilderControl, StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create a Calibrated Stretch Instance from the Array of Predictor Ordinates and a flat Response Value
CreateCCSC(CalibratableComponent[]) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create CreditScenarioCurve from the array of calibration instruments
CreateCDS(JulianDate, JulianDate, double, String, CreditSetting, String, boolean) - Static method in class org.drip.product.creator.CDSBuilder
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and component credit valuation parameters.
CreateCDS(JulianDate, JulianDate, double, String, double, String, String, boolean) - Static method in class org.drip.product.creator.CDSBuilder
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
CreateCDS(JulianDate, String, double, String, CreditSetting, String) - Static method in class org.drip.product.creator.CDSBuilder
Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component credit valuation parameters.
CreateCDS(JulianDate, String, double, String, String, String) - Static method in class org.drip.product.creator.CDSBuilder
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit curve.
CreateCDXIdentifierFromCode(String) - Static method in class org.drip.product.params.CDXIdentifier
Create the CDX Identifier from the CDX Code
CreateCDXRefDataBuilder(String, String, String, String, String, int, int, double, String, String, boolean, double, int, String, String, int, String, String, String, int, int, String, double, int, int, String, boolean, boolean, boolean, String, String) - Static method in class org.drip.product.params.CDXRefDataParams
Create a CDXRefData instance from valid individual parameters (so no additional validation is performed).
CreateExponentialTensionSplineRegressor(String, String, double) - Static method in class org.drip.regression.spline.BasisSplineRegressor
Create an instance of Exponential BasisSplineRegressor
createFixFloatComponent(JulianDate, String, double, double, double) - Method in class org.drip.market.otc.FixedFloatSwapConvention
Create a Standardized Fixed-Float Component Instance from the Inputs
createFixFloatComponentPair(JulianDate, String, String, double, double, double, double) - Method in class org.drip.market.otc.FloatFloatSwapConvention
Create an Instance of the Fix-Float Component Pair
CreateFixingsObject(Bond, JulianDate, double) - Static method in class org.drip.analytics.support.Helper
Create the Latent State Fixings object from the bond, the fixings date, and the fixing.
createFloatFloatComponent(JulianDate, String, double, double, double) - Method in class org.drip.market.otc.CrossFloatSwapConvention
Create an Instance of the Float-Float Component
createFloatFloatComponent(JulianDate, String, String, double, double) - Method in class org.drip.market.otc.FloatFloatSwapConvention
Create an Instance of the Float-Float Component
CreateFromDateDescription(String, String) - Static method in class org.drip.analytics.eventday.Static
Create a static holiday from the date string and the description
CreateFromDateFactorSet(String, String, int, boolean, boolean, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
Create the EOS from the dates/factors string arrays
CreateFromDDMMMYYYY(String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from a String containing the Date in the DDMMMYYYY Format
CreateFromFlatYield(JulianDate, String, double, String, int) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create a Discount Curve from the Flat Yield
CreateFromJSONMap(CaseInsensitiveTreeMap<String>, ScenarioMarketParams) - Static method in class org.drip.product.creator.BondProductBuilder
Create BondProductBuilder from the JSON Map and the input MPC
CreateFromMDY(String, String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from a String containing Date in the DDMMYYYY Format
CreateFromResultSet(ResultSet, ScenarioMarketParams) - Static method in class org.drip.product.creator.BondProductBuilder
Create BondProductBuilder from the SQL ResultSet and the input MPC
CreateFromResultSet(ResultSet) - Static method in class org.drip.product.creator.BondRefDataBuilder
Create BondRefDataBuilder object from java ResultSet SQL
CreateFromYMD(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from the Year/Month/Date
CreateFromYMD(String, String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from a String containing Date in the YYYYMMDD Format
CreateHarmonicMonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create the Harmonic Monotone Preserving Stretch.
CreateHermiteSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.HermiteBasisSplineRegressor
Create an instance of Hermite BasisSplineRegressor
CreateHuynhLeFlochLimiterStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create the Huynh Le Floch Limiter Stretch.
CreateHyman83MonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create Hyman (1983) Monotone Preserving Stretch.
CreateHyman89MonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create Hyman (1989) enhancement to the Hyman (1983) Monotone Preserving Stretch.
CreateHyperbolicTensionSplineRegressor(String, String, double) - Static method in class org.drip.regression.spline.BasisSplineRegressor
Create an instance of Hyperbolic BasisSplineRegressor
CreateKaklisPandelisSplineRegressor(String, String, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
Create an instance of the Kaklis-Pandelis BasisSplineRegressor
CreateKrugerStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create the Kruger Stretch.
CreateMarketParams() - Static method in class org.drip.param.creator.MarketParamsBuilder
Create MarketParams from the array of calibration instruments
CreateMonotoneConvexStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Generate the local control C1 Slope using the Hagan-West Monotone Convex Algorithm.
createObjectContainer() - Method in interface org.drip.json.parser.ContainerFactory
 
CreatePolynomialSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
Create an instance of Polynomial BasisSplineRegressor
CreateProductQuote() - Static method in class org.drip.param.creator.QuoteBuilder
Constructor: Constructs an Empty Product Quote instance.
CreateProductTickQuote() - Static method in class org.drip.param.creator.QuoteBuilder
Constructor: Constructs an Empty Product Tick Quote instance.
CreateQuote(String, double, double) - Static method in class org.drip.param.creator.QuoteBuilder
Constructor: Constructs a Quote object from the quote value and the side string.
CreateRegressionSplineEstimator(String, double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points and the Set of the Points to be Best Fit.
CreateSAPC(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
Create an Standard Asia Pacific CDS contract with full first stub
CreateSegmentSet(double[], SegmentCustomBuilderControl[]) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified Basis Spline Parameters for the Segment.
CreateSimpleFixed(String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a simple fixed bond from parameters
CreateSimpleFixedF(String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a Fixed Coupon Bond from the First Coupon Date and the other Parameters
CreateSimpleFixedFP(String, String, String, double, int, String, JulianDate, JulianDate, int, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a Fixed Coupon Bond from the First and Penultimate Coupon Dates, and the other Parameters
CreateSimpleFixedP(String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a Fixed Coupon Bond from the Penultimate Coupon Date and the other Parameters
CreateSimpleFloater(String, String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a simple floating rate bond
CreateSimpleFloaterF(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
CreateSimpleFloaterFP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
CreateSimpleFloaterP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
CreateSimpleOTCIRSFloater(String, String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a Simple OTF Fix Float Floating Rate Bond
CreateSimpleOTCIRSFloaterF(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
CreateSimpleOTCIRSFloaterFP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
CreateSimpleOTCIRSFloaterP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
Create a OTC Fix-Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
CreateSNAC(JulianDate, String, double, String, String, String) - Static method in class org.drip.product.creator.CDSBuilder
Create an SNAC style CDS contract with full first stub
CreateSNAC(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
Create an SNAC style CDS contract with full first stub
CreateSTEM(JulianDate, String, double, String, String) - Static method in class org.drip.product.creator.CDSBuilder
Create an Standard Emerging Market CDS contract with full first stub
CreateSTEU(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
Create an Standard EU CDS contract with full first stub
createStream(JulianDate, String, double, double) - Method in class org.drip.market.otc.FixedStreamConvention
Create a Fixed Stream Instance
createStream(JulianDate, String, double, double) - Method in class org.drip.market.otc.FloatStreamConvention
Create a Floating Stream Instance
CreateUncalibratedStretchEstimator(String, double[], SegmentCustomBuilderControl[]) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified Basis Spline Parameters for the Segment.
CreateVanLeerLimiterStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create the Van Leer Limiter Stretch.
Credit(MergedDiscountForwardCurve, CreditCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
Create a Market Parameters Instance with the Funding Curve and the credit curve
credit() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
Retrieve the Credit Exposure of the Collateral Group
credit() - Method in class org.drip.xva.vertex.AlbaneseAndersen
 
credit() - Method in class org.drip.xva.vertex.BurgardKjaer
 
credit() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
 
credit01UpCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Credit Curve Flat Bumped 1 bp
CREDIT_QUALITY_HIGH_YIELD - Static variable in class org.drip.simm.credit.CRSystemics
The "High Yield" Credit Quality
CREDIT_QUALITY_HY - Static variable in class org.drip.simm.credit.CRSystemics
The "High Yield" Credit Quality
CREDIT_QUALITY_IG - Static variable in class org.drip.simm.credit.CRSystemics
The "Investment Grade" Credit Quality
CREDIT_QUALITY_INVESTMENT_GRADE - Static variable in class org.drip.simm.credit.CRSystemics
The "IG" Credit Quality
CREDIT_QUALITY_NOT_RATED - Static variable in class org.drip.simm.credit.CRSystemics
The "Not Rated" Credit Quality
CREDIT_QUALITY_NR - Static variable in class org.drip.simm.credit.CRSystemics
The "Not Rated" Credit Quality
CREDIT_QUALITY_UNSPECIFIED - Static variable in class org.drip.simm.credit.CRSystemics
The "Unspecified" Credit Quality
CREDIT_TWEAK_NODE_MEASURE_HAZARD - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
Tweak Measure Type of Hazard
CREDIT_TWEAK_NODE_MEASURE_QUOTE - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
Tweak Measure Type of Quote
CREDIT_TWEAK_NODE_PARAM_QUOTE - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
Tweak Parameter Type of Quote
CREDIT_TWEAK_NODE_PARAM_RECOVERY - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
Tweak Parameter Type of Recovery
creditAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
creditAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
creditAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Credit Adjustment
creditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Credit Adjustment
creditAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
 
CreditAnalyticsRegressionEngine - Class in org.drip.regression.curve
CreditAnalyticsRegressionEngine implements the RegressionEngine for the curve regression.
CreditAnalyticsRegressionEngine(int, int) - Constructor for class org.drip.regression.curve.CreditAnalyticsRegressionEngine
Initialize the Credit Analytics Regression Engine
creditBaseCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Base Credit Curve
creditBasis() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Credit Basis
creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from ASW to Work-out
creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from ASW to Maturity
creditBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from ASW to Optimal Exercise
creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Bond Basis to Work-out
creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Bond Basis to Maturity
creditBasisFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Bond Basis to Optimal Exercise
creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Discount Margin to Work-out
creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Discount Margin to Maturity
creditBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Discount Margin to Optimal Exercise
creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from E Spread to Work-out
creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from E Spread to Maturity
creditBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from E Spread to Optimal Exercise
creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from G Spread to Work-out
creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from G Spread to Maturity
creditBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from G Spread to Optimal Exercise
creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from I Spread to Work-out
creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from I Spread to Maturity
creditBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from I Spread to Optimal Exercise
creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from J Spread to Work-out
creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from J Spread to Maturity
creditBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from J Spread to Optimal Exercise
creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from N Spread to Work-out
creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from N Spread to Maturity
creditBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from N Spread to Optimal Exercise
creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from OAS to Work-out
creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from OAS to Maturity
creditBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from OAS to Optimal Exercise
creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from PECS to Work-out
creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from PECS to Maturity
creditBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from PECS to Optimal Exercise
creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Price to Work-out
creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Price to Maturity
creditBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Price to Optimal Exercise
creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from TSY Spread to Work-out
creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from TSY Spread to Maturity
creditBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from TSY Spread to Optimal Exercise
creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Yield to Work-out
creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Yield to Maturity
creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Yield Spread to Work-out
creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Yield Spread to Maturity
creditBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Yield Spread to Optimal Exercise
creditBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Yield to Optimal Exercise
creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Z Spread to Work-out
creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Z Spread to Maturity
creditBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
creditBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Credit Basis from Z Spread to Optimal Exercise
CreditCDSIndexMarksReconstitutor - Class in org.drip.feed.transformer
CreditCDSIndexMarksReconstitutor transforms the Credit CDS Index Closes - Feed Inputs into Formats suitable for Valuation Metrics and Sensitivities Generation.
CreditCDSIndexMarksReconstitutor() - Constructor for class org.drip.feed.transformer.CreditCDSIndexMarksReconstitutor
 
CreditComponent - Class in org.drip.product.definition
CreditComponent is the base abstract class on top of which all credit components are implemented.
CreditComponent() - Constructor for class org.drip.product.definition.CreditComponent
 
creditCreditCorrelation(EntityCDSLabel, EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Credit Latent States
CreditCurve(JulianDate, String, String[], double[], double[], String, MergedDiscountForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
CreditCurve(JulianDate, CreditDefaultSwap[], double[], String, MergedDiscountForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Credit Curve from the specified Calibration CDS Instruments
CreditCurve - Class in org.drip.state.credit
CreditCurve is the stub for the survival curve functionality.
CreditCurve(int, EntityCDSLabel, String) - Constructor for class org.drip.state.credit.CreditCurve
 
CreditCurve(ValuationParams, Component, double, String, boolean, int, ExplicitBootCreditCurve, MergedDiscountForwardCurve, GovvieCurve, CreditPricerParams, LatentStateFixingsContainer, ValuationCustomizationParams, CalibrationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
Calibrate a single Hazard Rate Node from the corresponding Component
CreditCurveAPI - Class in org.drip.service.state
CreditCurveAPI computes the Metrics associated the Credit Curve State.
CreditCurveAPI() - Constructor for class org.drip.service.state.CreditCurveAPI
 
CreditCurveMetrics - Class in org.drip.historical.state
CreditCurveMetrics holds the computed Metrics associated the Credit Curve State.
CreditCurveMetrics(JulianDate) - Constructor for class org.drip.historical.state.CreditCurveMetrics
CreditCurveMetrics Constructor
creditCurveName() - Method in class org.drip.product.params.CreditSetting
Retrieve the Credit Curve Name
CreditCurveRegressor - Class in org.drip.regression.curve
CreditCurveRegressor implements the regression set analysis for the Credit Curve.
CreditCurveRegressor() - Constructor for class org.drip.regression.curve.CreditCurveRegressor
Do Nothing CreditCurveRegressor constructor.
CreditCurveScenario - Class in org.drip.state.boot
CreditCurveScenario uses the hazard rate calibration instruments along with the component calibrator to produce scenario hazard rate curves.
CreditCurveScenario() - Constructor for class org.drip.state.boot.CreditCurveScenario
 
CreditCurveScenarioContainer - Class in org.drip.param.market
CreditCurveScenarioContainer contains the place holder for the bump parameters and the curves for the different credit curve scenarios.
CreditCurveScenarioContainer(CalibratableComponent[], double, double) - Constructor for class org.drip.param.market.CreditCurveScenarioContainer
Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump parameter, and the recovery bump parameter
creditCustomMetricCorrelation(EntityCDSLabel, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Custom Metric Latent States
CreditDebtGroup - Class in org.drip.xva.topology
CreditDebtGroup represents an Aggregation of Collateral Groups with a common Credit Debt Specification.
CreditDebtGroup(String, String, CreditDebtGroupSpecification) - Constructor for class org.drip.xva.topology.CreditDebtGroup
CreditDebtGroup Constructor
creditDebtGroup(String) - Method in class org.drip.xva.topology.FundingGroup
Retrieve the CreditDebtGroup
creditDebtGroupMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Credit Debt Group Map
CreditDebtGroupPath - Class in org.drip.xva.netting
CreditDebtGroupPath rolls up the Path Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Hypothecation Groups onto a Single Credit/Debt Netting Group - the Purpose being to calculate Credit Valuation Adjustments.
CreditDebtGroupPath(CollateralGroupPath[], MarketPath) - Constructor for class org.drip.xva.netting.CreditDebtGroupPath
 
creditDebtGroupPathArray() - Method in class org.drip.xva.netting.FundingGroupPath
Retrieve the Array of CreditDebtGroupPath
CreditDebtGroupSpecification - Class in org.drip.xva.proto
CreditDebtGroupSpecification contains the Specification of a Credit/Debt Netting Group.
CreditDebtGroupSpecification(String, String, EntityHazardLabel, EntityHazardLabel, EntityRecoveryLabel, EntityRecoveryLabel, EntityRecoveryLabel, boolean, boolean) - Constructor for class org.drip.xva.proto.CreditDebtGroupSpecification
CreditDebtGroupSpecification Constructor
creditDebtGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
Retrieve the Credit Debt Group Specification
creditDebtGroupSpecification() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Credit Debt Group Specification
creditDebtGroupTrajectoryPaths() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
Retrieve the Array of Credit/Debt Netting Group Trajectory Paths
creditDebtSegmentPaths() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Array of Position Groups Collected into Credit Debt Group Collateral Vertex Paths
creditDebtSegments() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Position Groups Sorted into Credit Debt Group Segments
CreditDefaultSwap - Class in org.drip.product.definition
CreditDefaultSwap is the base abstract class implements the pricing, the valuation, and the RV analytics functionality for the CDS product.
CreditDefaultSwap() - Constructor for class org.drip.product.definition.CreditDefaultSwap
 
CreditDefaultSwapClient - Class in org.drip.sample.service
CreditDefaultSwapClient demonstrates the Invocation and Examination of the JSON-based CDS Service Client.
CreditDefaultSwapClient() - Constructor for class org.drip.sample.service.CreditDefaultSwapClient
 
CreditDefaultSwapIndex - Class in org.drip.sample.securitysuite
CreditDefaultSwapIndex demonstrates the Analytics Calculation/Reconciliation for a CDX.
CreditDefaultSwapIndex() - Constructor for class org.drip.sample.securitysuite.CreditDefaultSwapIndex
 
CreditDefaultSwapProcessor - Class in org.drip.service.json
CreditDefaultSwapProcessor Sets Up and Executes a JSON Based In/Out Credit Default Swap Valuation Processor.
CreditDefaultSwapProcessor() - Constructor for class org.drip.service.json.CreditDefaultSwapProcessor
 
CreditEntity - Class in org.drip.simm.product
CreditEntity holds the SIMM specific Details of a Credit Entity.
CreditEntity(String, String, String) - Constructor for class org.drip.simm.product.CreditEntity
CreditEntity Constructor
creditEquityCorrelation(EntityCDSLabel, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Equity Latent States
creditFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Map of credit Flat Bumped Curves for the given Basket Product
creditFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
creditForward() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Credit/Forward Convexity Adjustment
creditForward() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Credit/Forward Convexity Adjustment
creditForwardCorrelation(EntityCDSLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Forward Latent States
creditFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Credit/Funding Convexity Adjustment
creditFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Credit/Funding Convexity Adjustment
creditFundingCorrelation(EntityCDSLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Funding Latent States
creditFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Credit/FX Convexity Adjustment
creditFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Credit/FX Convexity Adjustment
creditFXCorrelation(EntityCDSLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the FX Latent State Labels
creditGovvieCorrelation(EntityCDSLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Govvie Latent State Labels
CreditIndexAPI - Class in org.drip.service.product
CreditIndexAPI contains the Functionality associated with the Horizon Analysis of the CDS Index.
CreditIndexAPI() - Constructor for class org.drip.service.product.CreditIndexAPI
 
CreditIndexConvention - Class in org.drip.market.otc
CreditIndexConvention contains the details of the Credit Index of an OTC Index CDS Contract.
CreditIndexConvention(String, String, String, String, String, JulianDate, JulianDate, int, String, double, double, int) - Constructor for class org.drip.market.otc.CreditIndexConvention
CreditIndexConvention Constructor
CreditIndexConventionContainer - Class in org.drip.market.otc
CreditIndexConventionContainer contains the Conventions of the Credit Index of an OTC Index CDS Contract.
CreditIndexConventionContainer() - Constructor for class org.drip.market.otc.CreditIndexConventionContainer
 
CreditIndexDefinitions - Class in org.drip.sample.credit
CreditIndexDefinitions displays the Definitions of the CDX NA IG OTC Index CDS Contracts.
CreditIndexDefinitions() - Constructor for class org.drip.sample.credit.CreditIndexDefinitions
 
creditLabel() - Method in class org.drip.analytics.cashflow.Bullet
Return the Credit Label
creditLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Credit Label
creditLabel() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Credit Label
creditLabel() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Credit Label
creditLabel() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Credit Label
creditLabel() - Method in class org.drip.product.credit.BondComponent
 
creditLabel() - Method in class org.drip.product.credit.CDSComponent
 
creditLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Array of Credit Curve Latent State Identifier Labels
creditLabel() - Method in class org.drip.product.definition.BasketProduct
 
creditLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Credit Curve Latent State Identifier Label
creditLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
creditLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
creditLabel() - Method in class org.drip.product.option.OptionComponent
 
creditLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
creditLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
creditLabel() - Method in class org.drip.product.rates.RatesBasket
 
creditLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
creditLabel() - Method in class org.drip.product.rates.Stream
Retrieve the Credit Label
CreditManifestMeasureTweak - Class in org.drip.param.definition
CreditManifestMeasureTweak contains the place holder for the credit curve scenario tweak parameters: in addition to the ResponseValueTweakParams fields, this exposes the calibration manifest measure, the curve node, and the nodal calibration type (entire curve/flat or a given tenor point).
CreditManifestMeasureTweak(String, String, int, boolean, double, boolean) - Constructor for class org.drip.param.definition.CreditManifestMeasureTweak
CreditManifestMeasureTweak constructor
creditMetricsFromMarketPrice() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Flag that indicates the Generation the Credit Metrics from the Market Price
creditMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Retrieve the Credit Multiplicative Scale
CreditNonQualifying_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
CreditNonQualifying_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
CreditNonQualifyingBucketCurvatureMargin20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketCurvatureMargin20 illustrates the Computation of the SIMM 2.0 CR Curvature Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin20
 
CreditNonQualifyingBucketCurvatureMargin21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketCurvatureMargin21 illustrates the Computation of the SIMM 2.1 CR Curvature Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin21
 
CreditNonQualifyingBucketCurvatureMarginFlow20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Curvature Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMarginFlow20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow20
 
CreditNonQualifyingBucketCurvatureMarginFlow21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Curvature Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketCurvatureMarginFlow21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow21
 
CreditNonQualifyingBucketDeltaMargin20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketDeltaMargin20 illustrates the Computation of the SIMM 2.0 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin20
 
CreditNonQualifyingBucketDeltaMargin21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketDeltaMargin21 illustrates the Computation of the SIMM 2.1 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin21
 
CreditNonQualifyingBucketDeltaMarginFlow20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMarginFlow20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow20
 
CreditNonQualifyingBucketDeltaMarginFlow21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketDeltaMarginFlow21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow21
 
CreditNonQualifyingBucketVegaMargin20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketVegaMargin20 illustrates the Computation of the SIMM 2.0 CR Vega Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketVegaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin20
 
CreditNonQualifyingBucketVegaMargin21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketVegaMargin21 illustrates the Computation of the SIMM 2.1 CR Vega Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingBucketVegaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin21
 
CreditNonQualifyingBucketVegaMarginFlow20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Non-Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketVegaMarginFlow20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow20
 
CreditNonQualifyingBucketVegaMarginFlow21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingBucketVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Non-Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditNonQualifyingBucketVegaMarginFlow21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow21
 
CreditNonQualifyingClassMargin20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingClassMargin20 illustrates the Computation of the SIMM 2.0 CR Class Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingClassMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin20
 
CreditNonQualifyingClassMargin21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingClassMargin21 illustrates the Computation of the SIMM 2.1 CR Class Margin for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingClassMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin21
 
CreditNonQualifyingCurvatureMargin20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingCurvatureMargin20 illustrates the Computation of the CR SIMM 2.0 Curvature Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingCurvatureMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin20
 
CreditNonQualifyingCurvatureMargin21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingCurvatureMargin21 illustrates the Computation of the CR SIMM 2.1 Curvature Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingCurvatureMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin21
 
CreditNonQualifyingDeltaMargin20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingDeltaMargin20 illustrates the Computation of the CR SIMM 2.0 Delta Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingDeltaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin20
 
CreditNonQualifyingDeltaMargin21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingDeltaMargin21 illustrates the Computation of the CR SIMM 2.1 Delta Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingDeltaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin21
 
CreditNonQualifyingParameters20 - Class in org.drip.sample.simmsettings
CreditNonQualifyingParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Credit Non-Qualifying Bucket Risk Weights, Systemics, and Correlations.
CreditNonQualifyingParameters20() - Constructor for class org.drip.sample.simmsettings.CreditNonQualifyingParameters20
 
CreditNonQualifyingParameters21 - Class in org.drip.sample.simmsettings
CreditNonQualifyingParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Credit Non-Qualifying Bucket Risk Weights, Systemics, and Correlations.
CreditNonQualifyingParameters21() - Constructor for class org.drip.sample.simmsettings.CreditNonQualifyingParameters21
 
creditNonQualifyingRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
Retrieve the Credit Non-Qualifying Risk Class Aggregate
creditNonQualifyingRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
Retrieve the Credit Non-Qualifying Risk Class Sensitivity
creditNonQualifyingRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings
CreditNonQualifyingVegaMargin20 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingVegaMargin20 illustrates the Computation of the CR SIMM 2.0 Vega Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingVegaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin20
 
CreditNonQualifyingVegaMargin21 - Class in org.drip.sample.simmcrnq
CreditNonQualifyingVegaMargin21 illustrates the Computation of the CR SIMM 2.1 Vega Margin for a Bucket of Non-Qualifying Credit Exposure Sensitivities.
CreditNonQualifyingVegaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin21
 
creditOvernightCorrelation(EntityCDSLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Overnight Latent States
creditPaydownCorrelation(EntityCDSLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Pay-down Latent State Labels
CreditPricerParams - Class in org.drip.param.pricer
CreditPricerParams contains the Credit Pricer Parameters - the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme
CreditPricerParams(int, CalibrationParams, boolean, int) - Constructor for class org.drip.param.pricer.CreditPricerParams
Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme
CreditQualifyingBucketCurvatureMargin20 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketCurvatureMargin20 illustrates the Computation of the SIMM 2.0 CR Curvature Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketCurvatureMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin20
 
CreditQualifyingBucketCurvatureMargin21 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketCurvatureMargin21 illustrates the Computation of the SIMM 2.1 CR Curvature Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketCurvatureMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin21
 
CreditQualifyingBucketCurvatureMarginFlow20 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Curvature Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketCurvatureMarginFlow20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow20
 
CreditQualifyingBucketCurvatureMarginFlow21 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Curvature Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketCurvatureMarginFlow21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow21
 
CreditQualifyingBucketDeltaMargin20 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketDeltaMargin20 illustrates the Computation of the SIMM 2.0 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketDeltaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin20
 
CreditQualifyingBucketDeltaMargin21 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketDeltaMargin21 illustrates the Computation of the SIMM 2.1 CR Delta Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketDeltaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin21
 
CreditQualifyingBucketDeltaMarginFlow20 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketDeltaMarginFlow20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow20
 
CreditQualifyingBucketDeltaMarginFlow21 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketDeltaMarginFlow21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow21
 
CreditQualifyingBucketVegaMargin20 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketVegaMargin20 illustrates the Computation of the SIMM 2.0 CR Vega Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketVegaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin20
 
CreditQualifyingBucketVegaMargin21 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketVegaMargin21 illustrates the Computation of the SIMM 2.1 CR Vega Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingBucketVegaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin21
 
CreditQualifyingBucketVegaMarginFlow20 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketVegaMarginFlow20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow20
 
CreditQualifyingBucketVegaMarginFlow21 - Class in org.drip.sample.simmcrq
CreditQualifyingBucketVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
CreditQualifyingBucketVegaMarginFlow21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow21
 
CreditQualifyingClassMargin20 - Class in org.drip.sample.simmcrq
CreditQualifyingClassMargin20 illustrates the Computation of the SIMM 2.0 CR Class Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingClassMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingClassMargin20
 
CreditQualifyingClassMargin21 - Class in org.drip.sample.simmcrq
CreditQualifyingClassMargin21 illustrates the Computation of the SIMM 2.1 CR Class Margin for a Bucket's Credit Exposure Sensitivities.
CreditQualifyingClassMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingClassMargin21
 
CreditQualifyingCurvatureMargin20 - Class in org.drip.sample.simmcrq
CreditQualifyingCurvatureMargin20 illustrates the Computation of the CR SIMM 2.0 Curvature Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingCurvatureMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin20
 
CreditQualifyingCurvatureMargin21 - Class in org.drip.sample.simmcrq
CreditQualifyingCurvatureMargin21 illustrates the Computation of the CR SIMM 2.1 Curvature Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingCurvatureMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin21
 
CreditQualifyingDeltaMargin20 - Class in org.drip.sample.simmcrq
CreditQualifyingDeltaMargin20 illustrates the Computation of the CR SIMM 2.0 Delta Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingDeltaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin20
 
CreditQualifyingDeltaMargin21 - Class in org.drip.sample.simmcrq
CreditQualifyingDeltaMargin21 illustrates the Computation of the CR SIMM 2.1 Delta Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingDeltaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin21
 
CreditQualifyingParameters20 - Class in org.drip.sample.simmsettings
CreditQualifyingParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations.
CreditQualifyingParameters20() - Constructor for class org.drip.sample.simmsettings.CreditQualifyingParameters20
 
CreditQualifyingParameters21 - Class in org.drip.sample.simmsettings
CreditQualifyingParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations.
CreditQualifyingParameters21() - Constructor for class org.drip.sample.simmsettings.CreditQualifyingParameters21
 
creditQualifyingRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
Retrieve the Credit Qualifying Risk Class Aggregate
creditQualifyingRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
Retrieve the Credit Qualifying Risk Class Sensitivity
creditQualifyingRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the Credit Qualifying Risk Class Sensitivity Settings
CreditQualifyingVegaMargin20 - Class in org.drip.sample.simmcrq
CreditQualifyingVegaMargin20 illustrates the Computation of the CR SIMM 2.0 Vega Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingVegaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingVegaMargin20
 
CreditQualifyingVegaMargin21 - Class in org.drip.sample.simmcrq
CreditQualifyingVegaMargin21 illustrates the Computation of the CR SIMM 2.1 Vega Margin for a Bucket of Credit Exposure Sensitivities.
CreditQualifyingVegaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingVegaMargin21
 
creditQuote() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of CDS Quotes
creditRatingCorrelation(EntityCDSLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Rating Latent State Labels
creditRecoveryCorrelation(EntityCDSLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Recovery Latent State Labels
creditRepoCorrelation(EntityCDSLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Credit and the Repo Latent State Labels
CreditRiskConcentrationThreshold20 - Class in org.drip.sample.simmsettings
CreditRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Credit Risk Concentration Thresholds.
CreditRiskConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold20
 
CreditRiskConcentrationThreshold21 - Class in org.drip.sample.simmsettings
CreditRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Credit Risk Concentration Thresholds.
CreditRiskConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold21
 
creditRisklessCleanbcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risk-less Clean Bond Coupon Measures
creditRisklessDirtybcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risk-less Dirty Bond Coupon Measures
creditRisklessParPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risk-less Par PV
creditRisklessPrincipalPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risk-less Principal PV
CreditRiskNonQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer20
Retrieve the Credit Risk Non-Qualifying Threshold Map
CreditRiskNonQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer21
Retrieve the Credit Risk Non-Qualifying Threshold Map
CreditRiskQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer20
Retrieve the Credit Risk Qualifying Threshold Map
CreditRiskQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer21
Retrieve the Credit Risk Qualifying Threshold Map
creditRiskyCleanbcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risky Clean Bond Coupon Measures
creditRiskyDirtybcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risky Dirty Bond Coupon Measures
creditRiskyParPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risky Par PV
creditRiskyPrincipalPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Credit Risky Principal PV
creditSetting() - Method in class org.drip.product.credit.BondComponent
 
creditSetting() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond credit Setting
CreditSetting - Class in org.drip.product.params
CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the component recovery, component recovery, credit curve name, and whether there is accrual on default.
CreditSetting(int, double, boolean, String, boolean) - Constructor for class org.drip.product.params.CreditSetting
Construct the CreditSetting from the default pay lag, use curve or the component recovery flag, component recovery, credit curve name, and whether there is accrual on default
creditState(EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Credit Latent State from the Label
CreditStateClient - Class in org.drip.sample.service
CreditStateClient demonstrates the Invocation and Examination of the JSON-based Credit Service Client.
CreditStateClient() - Constructor for class org.drip.sample.service.CreditStateClient
 
creditTenor() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of CDS Instrument Maturity Tenors
creditTenorBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product
creditTenorBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
creditTenorCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Instances of the Credit Curve CSQC
creditTenorMarketParams(Component, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the map of tenor credit bumped Market Parameters corresponding to the component
creditTenorMarketParams(Component, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
creditValuationParams() - Method in class org.drip.product.credit.BondComponent
 
creditValuationParams() - Method in class org.drip.product.credit.CDSComponent
 
creditValuationParams() - Method in class org.drip.product.definition.CreditComponent
Get the credit component's Credit Valuation Parameters
creditVolatility(EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the Credit Latent State
criticalDrift() - Method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
Retrieve the Critical Drift
CRNQ - Static variable in class org.drip.simm.common.Chargram
The Credit Non-Qualifying Quatro-gram CRNQ
CRNQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Credit Non Qualifying and Commodity Risk Classes
CRNQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Credit Non Qualifying and Commodity Risk Classes
CRNQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Credit Non Qualifying and Equity Risk Classes
CRNQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Credit Non Qualifying and Equity Risk Classes
CRNQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Credit Non Qualifying and FX Risk Classes
CRNQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Credit Non Qualifying and FX Risk Classes
CRNQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
CRNQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
CRNQBucketCorrelation20 - Class in org.drip.simm.credit
CRNQBucketCorrelation20 contains the SIMM 2.0 between the Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Non-Qualifying Buckets.
CRNQBucketCorrelation20() - Constructor for class org.drip.simm.credit.CRNQBucketCorrelation20
 
CRNQBucketCorrelation21 - Class in org.drip.simm.credit
CRNQBucketCorrelation21 contains the SIMM 2.1 between the Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Non-Qualifying Buckets.
CRNQBucketCorrelation21() - Constructor for class org.drip.simm.credit.CRNQBucketCorrelation21
 
CRNQMarginComparison - Class in org.drip.sample.simmvariance
CRNQMarginComparison illustrates the Comparison of the Credit Non-Qualifying Margin Estimates using different Schemes for Calculating the Position-Bucket Principal Component Co-variance.
CRNQMarginComparison() - Constructor for class org.drip.sample.simmvariance.CRNQMarginComparison
 
CRNQSettingsContainer20 - Class in org.drip.simm.credit
CRNQSettingsContainer20 holds the ISDA SIMM 2.0 Credit Non-Qualifying Buckets.
CRNQSettingsContainer20() - Constructor for class org.drip.simm.credit.CRNQSettingsContainer20
 
CRNQSettingsContainer21 - Class in org.drip.simm.credit
CRNQSettingsContainer21 holds the ISDA SIMM 2.1 Credit Non-Qualifying Buckets.
CRNQSettingsContainer21() - Constructor for class org.drip.simm.credit.CRNQSettingsContainer21
 
CRNQSystemics20 - Class in org.drip.simm.credit
CRNQSystemics20 contains the SIMM 2.0 Systemic Settings of the Credit Non-Qualifying Risk Factors.
CRNQSystemics20() - Constructor for class org.drip.simm.credit.CRNQSystemics20
 
CRNQSystemics21 - Class in org.drip.simm.credit
CRNQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit Non-Qualifying Risk Factors.
CRNQSystemics21() - Constructor for class org.drip.simm.credit.CRNQSystemics21
 
CROSS_CURRENCY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
Cross Currency Curve Correlation
CROSS_CURRENCY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
Cross Currency Curve Correlation
crossAssetAttribute(String, String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Compute the Cross Asset Attribute
CrossBucketCorrelation() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
Retrieve the Cross Bucket Correlation
CrossBucketCorrelation() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
Retrieve the Cross Bucket Correlation
CrossBucketCorrelation() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
Retrieve the Cross Bucket Correlation
CrossBucketCorrelation() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
Retrieve the Cross Bucket Correlation
CrossBucketCorrelation() - Static method in class org.drip.simm.equity.EQSettingsContainer20
Retrieve the Cross Bucket Correlation
CrossBucketCorrelation() - Static method in class org.drip.simm.equity.EQSettingsContainer21
Retrieve the Cross Bucket Correlation
crossBucketCorrelation() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Retrieve the Cross Bucket Correlation
crossBucketCorrelation() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Retrieve the Cross Bucket Correlation
crossBucketCorrelation() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Retrieve the Cross Bucket Correlation
CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
Retrieve the Cross Bucket Co-variance Matrix
CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
Retrieve the Cross Bucket Co-variance Matrix
CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.equity.EQSettingsContainer20
Retrieve the Cross Bucket Co-variance Matrix
CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.equity.EQSettingsContainer21
Retrieve the Cross Bucket Co-variance Matrix
crossCurveCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the Cross Curve Correlation
crossFactorAttribute(String, String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Cross Factor Attribute Entry
CrossFixedPlainFloat - Class in org.drip.sample.cross
CrossFixedPlainFloat demonstrates the construction, usage, and eventual valuation of a fix-float swap with a EUR Fixed leg that pays in USD, and a USD Floating Leg.
CrossFixedPlainFloat() - Constructor for class org.drip.sample.cross.CrossFixedPlainFloat
 
CrossFixedPlainFloatAnalysis - Class in org.drip.sample.cross
CrossFixedPlainFloatAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and Funding/Forward Correlation on the Valuation of a fix-float swap with a EUR Fixed leg that pays in USD, and a USD Floating Leg.
CrossFixedPlainFloatAnalysis() - Constructor for class org.drip.sample.cross.CrossFixedPlainFloatAnalysis
 
CrossFloatConventionContainer - Class in org.drip.market.otc
CrossFloatConventionContainer contains the Conventions of Standard OTC Cross-Currency Float-Float Swaps.
CrossFloatConventionContainer() - Constructor for class org.drip.market.otc.CrossFloatConventionContainer
 
CrossFloatCrossFloat - Class in org.drip.sample.cross
CrossFloatCrossFloat demonstrates the construction, usage, and eventual valuation of the Mark-to-market float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD.
CrossFloatCrossFloat() - Constructor for class org.drip.sample.cross.CrossFloatCrossFloat
 
CrossFloatCrossFloatAnalysis - Class in org.drip.sample.cross
FloatFloatMTMVolAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and Funding/Forward, Funding/FX, and Forward/FX Correlation for each of the FRI's on the Valuation of a float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD.
CrossFloatCrossFloatAnalysis() - Constructor for class org.drip.sample.cross.CrossFloatCrossFloatAnalysis
 
CrossFloatStreamConvention - Class in org.drip.market.otc
CrossFloatStreamConvention contains the Details of the Single Currency Floating Stream of an OTC Contact.
CrossFloatStreamConvention(String, String, boolean) - Constructor for class org.drip.market.otc.CrossFloatStreamConvention
CrossFloatStreamConvention Constructor
CrossFloatSwapConvention - Class in org.drip.market.otc
CrossFloatSwapConvention contains the Details of the Cross-Currency Floating Swap of an OTC contact.
CrossFloatSwapConvention(CrossFloatStreamConvention, CrossFloatStreamConvention, int, boolean, int) - Constructor for class org.drip.market.otc.CrossFloatSwapConvention
CrossFloatSwapConvention Constructor
CrossGroupPrincipalCovariance - Class in org.drip.sample.simmvariance
CrossGroupPrincipalCovariance demonstrates the Computation of the Cross Risk Group Principal Component Co-variance using the Actual Risk Group Principal Component.
CrossGroupPrincipalCovariance() - Constructor for class org.drip.sample.simmvariance.CrossGroupPrincipalCovariance
 
CrossGroupPrincipalCovariance() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Cross Risk Group Co-variance Matrix
CrossGroupPrincipalCovariance() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Cross Risk Group Co-variance Matrix
crossHoldingsDerivative(double, double) - Method in class org.drip.execution.impact.TransactionFunction
Compute the Second Order Sensitivity to the Left/Right Holdings
crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.FixFloatExplainProcessor
 
crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Generate the Horizon Differential Metrics Map
crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
 
CrossOvernightFloatingStream - Class in org.drip.sample.ois
CrossOvernightStream demonstrates the construction, customization, and valuation of Cross-Currency Overnight Floating Streams.
CrossOvernightFloatingStream() - Constructor for class org.drip.sample.ois.CrossOvernightFloatingStream
 
CrossProduct(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Cross Product between the Specified Vectors
CrossRiskClassCorrelation20 - Class in org.drip.simm.common
CrossRiskClassCorrelation20 contains the SIMM 2.0 Correlation between the Different Risk Classes.
CrossRiskClassCorrelation20() - Constructor for class org.drip.simm.common.CrossRiskClassCorrelation20
 
CrossRiskClassCorrelation21 - Class in org.drip.simm.common
CrossRiskClassCorrelation21 contains the SIMM 2.1 Correlation between the Different Risk Classes.
CrossRiskClassCorrelation21() - Constructor for class org.drip.simm.common.CrossRiskClassCorrelation21
 
crossTenorCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the Single Curve Cross Tenor Correlation
crossVolatilityIntegralProduct(int, int, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
Multi-Factor Cross Volatility Integral
CRQ - Static variable in class org.drip.simm.common.Chargram
The Credit Qualifying Trigram CRQ
CRQ_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
CRQ_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
CRQ_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
CRQ_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
CRQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Credit Qualifying and Commodity Risk Classes
CRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
CRQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Credit Qualifying and Commodity Risk Classes
CRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
CRQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Credit Qualifying and Equity Risk Classes
CRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
CRQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Credit Qualifying and Equity Risk Classes
CRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
CRQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Credit Qualifying and FX Risk Classes
CRQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
CRQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Credit Qualifying and FX Risk Classes
CRQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
CRQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
CRQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
CRQBucketCorrelation20 - Class in org.drip.simm.credit
CRQBucketCorrelation20 contains the between the SIMM 2.0 Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Qualifying Buckets.
CRQBucketCorrelation20() - Constructor for class org.drip.simm.credit.CRQBucketCorrelation20
 
CRQBucketCorrelation21 - Class in org.drip.simm.credit
CRQBucketCorrelation21 contains the between the SIMM 2.1 Same/Different Issuer/Seniority and Different Vertex/Currency for the Same Credit Qualifying Buckets.
CRQBucketCorrelation21() - Constructor for class org.drip.simm.credit.CRQBucketCorrelation21
 
CRQMarginComparison - Class in org.drip.sample.simmvariance
CRQMarginComparison illustrates the Comparison of the Credit Qualifying Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
CRQMarginComparison() - Constructor for class org.drip.sample.simmvariance.CRQMarginComparison
 
CRQSettingsContainer20 - Class in org.drip.simm.credit
CRQSettingsContainer20 holds the ISDA SIMM 2.0 Credit Qualifying Buckets.
CRQSettingsContainer20() - Constructor for class org.drip.simm.credit.CRQSettingsContainer20
 
CRQSettingsContainer21 - Class in org.drip.simm.credit
CRQSettingsContainer21 holds the ISDA SIMM 2.1 Credit Qualifying Buckets.
CRQSettingsContainer21() - Constructor for class org.drip.simm.credit.CRQSettingsContainer21
 
CRQSystemics20 - Class in org.drip.simm.credit
CRQSystemics20 contains the SIMM 2.0 Systemic Settings of the Credit Qualifying Risk Factors.
CRQSystemics20() - Constructor for class org.drip.simm.credit.CRQSystemics20
 
CRQSystemics21 - Class in org.drip.simm.credit
CRQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit Qualifying Risk Factors.
CRQSystemics21() - Constructor for class org.drip.simm.credit.CRQSystemics21
 
CRSystemics - Class in org.drip.simm.credit
CRSystemics contains the Systemic Settings Common to both Qualifying and Non-Qualifying Credit Risk Factors.
CRSystemics() - Constructor for class org.drip.simm.credit.CRSystemics
 
CRThresholdContainer20 - Class in org.drip.simm.credit
CRThresholdContainer20 holds the ISDA SIMM 2.0 Credit Risk Thresholds - the Credit Risk Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
CRThresholdContainer20() - Constructor for class org.drip.simm.credit.CRThresholdContainer20
 
CRThresholdContainer21 - Class in org.drip.simm.credit
CRThresholdContainer21 holds the ISDA SIMM 2.1 Credit Risk Thresholds - the Credit Risk Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
CRThresholdContainer21() - Constructor for class org.drip.simm.credit.CRThresholdContainer21
 
csa(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the CSA Latent State
csa() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the CSA Latent State Node Container
csa(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled CSA
csa() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
Retrieve the CSA Primary Security
csaEventDates() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Generate the Array of CSA Event Dates
csaExists(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the CSA Latent State Exists
csaForward() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
Return the Value of the Forward Contract under CSA
csaForwardProcess() - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Generate the CSA Forward Diffusion Process
CSAFundingAbsoluteForward - Class in org.drip.sample.piterbarg2010
CSAFundingAbsoluteForward compares the Absolute Differences between the CSA and the non-CSA Forward LIBOR under a Stochastic Funding Model.
CSAFundingAbsoluteForward() - Constructor for class org.drip.sample.piterbarg2010.CSAFundingAbsoluteForward
 
CSAFundingRelativeForward - Class in org.drip.sample.piterbarg2010
CSAFundingRelativeForward compares the Relative Differences between the CSA and the non-CSA Forward Prices under a Stochastic Funding Model.
CSAFundingRelativeForward() - Constructor for class org.drip.sample.piterbarg2010.CSAFundingRelativeForward
 
CSAImpliedMeasureDifference - Class in org.drip.sample.piterbarg2010
CSAImpliedMeasureDifference compares the Differences between the CSA and the non-CSA Implied Distribution, expressed in Implied Volatilities across Strikes, and across Correlations.
CSAImpliedMeasureDifference() - Constructor for class org.drip.sample.piterbarg2010.CSAImpliedMeasureDifference
 
CSALabel - Class in org.drip.state.identifier
CSALabel specifies the Label of of a Credit Support Annex (CSA) Specification.
CSALabel(String, String) - Constructor for class org.drip.state.identifier.CSALabel
CSALabel Constructor
csaLabel() - Method in class org.drip.xva.proto.CollateralGroupSpecification
Retrieve the CSA Label
csaLabel() - Method in class org.drip.xva.topology.CollateralGroup
Retrieve the CSA Label
csaLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the CSA Label Map
csaLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of CSA Labels
csaLabelMap() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the CSA Label Map
csaLabelMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the CSA Label Map
csaMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the CSA Evolver Map
CSANoCSARatio(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Compute the CSA vs.
csaRate() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized CSA Scheme Rate
csaReplicator() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized CSA Scheme Numeraire
csaSpread() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized Spread over the Overnight Policy Rate corresponding to the CSA Scheme
CSVGrid - Class in org.drip.feed.loader
CSVGrid Holds the Outputs of a CSV Parsing Exercise.
CSVGrid() - Constructor for class org.drip.feed.loader.CSVGrid
Empty CSVGrid Constructor
CSVParser - Class in org.drip.feed.loader
CSVParser Parses the Lines of a Comma Separated File into appropriate Data Types.
CSVParser() - Constructor for class org.drip.feed.loader.CSVParser
 
CT - Static variable in class org.drip.simm.common.Chargram
The Commodity Digram CT
CT_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
CT_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
CT_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
CT_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
CT_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Equity and Commodity Risk Classes
CT_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Equity and Commodity Risk Classes
CT_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Commodity and FX Risk Classes
CT_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Commodity and FX Risk Classes
CT_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Commodity and FX Risk Classes
CT_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Commodity and FX Risk Classes
CT_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
CT_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
CTBucket - Class in org.drip.simm.commodity
CTBucket holds the ISDA SIMM Commodity, Risk Weight, and Member Correlation for each Commodity Bucket.
CTBucket(int, String, double, double) - Constructor for class org.drip.simm.commodity.CTBucket
CTBucket Constructor
CTCrossBucketPrincipal - Class in org.drip.sample.simmvariance
CTCrossBucketPrincipal demonstrates the Computation of the Cross CT Bucket Principal Component Co-variance using the CT Bucket Principal Component.
CTCrossBucketPrincipal() - Constructor for class org.drip.sample.simmvariance.CTCrossBucketPrincipal
 
CTDEntry - Class in org.drip.product.params
CTDEntry implements the Bond Futures CTD Entry Details.
CTDEntry(Bond, double, double) - Constructor for class org.drip.product.params.CTDEntry
CTDEntry Constructor
ctdName() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Retrieve the CTD Name
CTMarginComparison - Class in org.drip.sample.simmvariance
CTMarginComparison illustrates the Comparison of the Commodity Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
CTMarginComparison() - Constructor for class org.drip.sample.simmvariance.CTMarginComparison
 
CTRiskThresholdContainer20 - Class in org.drip.simm.commodity
CTRiskThresholdContainer20 holds the ISDA SIMM 2.0 Commodity Risk Thresholds - the Commodity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
CTRiskThresholdContainer20() - Constructor for class org.drip.simm.commodity.CTRiskThresholdContainer20
 
CTRiskThresholdContainer21 - Class in org.drip.simm.commodity
CTRiskThresholdContainer21 holds the ISDA SIMM 2.1 Commodity Risk Thresholds - the Commodity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
CTRiskThresholdContainer21() - Constructor for class org.drip.simm.commodity.CTRiskThresholdContainer21
 
CTSettingsContainer20 - Class in org.drip.simm.commodity
CTSettingsContainer20 holds the ISDA SIMM 2.0 Commodity Buckets and their Correlations.
CTSettingsContainer20() - Constructor for class org.drip.simm.commodity.CTSettingsContainer20
 
CTSettingsContainer21 - Class in org.drip.simm.commodity
CTSettingsContainer21 holds the ISDA SIMM 2.1 Commodity Buckets and their Correlations.
CTSettingsContainer21() - Constructor for class org.drip.simm.commodity.CTSettingsContainer21
 
CTSystemics20 - Class in org.drip.simm.commodity
CTSystemics20 contains the SIMM 2.0 Systemic Settings Common to Commodity Risk Factors.
CTSystemics20() - Constructor for class org.drip.simm.commodity.CTSystemics20
 
CTSystemics21 - Class in org.drip.simm.commodity
CTSystemics21 contains the SIMM 2.1 Systemic Settings Common to Commodity Risk Factors.
CTSystemics21() - Constructor for class org.drip.simm.commodity.CTSystemics21
 
CubicKLKHyperbolicDFRateShapePreserver(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified basis set builder parameters.
CubicPolyDFRateShapePreserver(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified basis set builder parameters.
CubicPolynomialBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[]) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
Create an Instance of the Cubic Polynomial Splined Basis Curve
CubicPolynomialCurve(String, JulianDate, CurrencyPair, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Create an Instance of the Cubic Polynomial Splined FX Forward Curve
CubicPolynomialCurve(String, JulianDate, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
CubicPolynomialDiscountCurve(String, JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the Cubic Polynomial Splined DF Discount Curve
CubicPolynomialRepoCurve(String, JulianDate, Component, int[], double[]) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Create an Instance of the Cubic Polynomial Splined Repo Curve
CubicPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
CubicPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
Construct a Term Structure Instance based off of a Cubic Polynomial Spline
CubicPolynomialWireSurface(String, JulianDate, String, double, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioLocalVolatilityBuilder
Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface Spline.
CubicPolynomialWireSurface(String, JulianDate, String, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Construct a Scenario Market Surface off of Cubic Polynomial Wire Spline and Cubic Polynomial Surface Spline.
CubicPolyShapePreserver(String, CurrencyPair, int, CalibratableComponent[], double[], String, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
CubicPolyShapePreserver(String, String, String, int, CalibratableComponent[], double[], String) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis Set Builder Parameters.
CubicRationalLeftRaw - Class in org.drip.spline.bspline
CubicRationalLeftRaw implements the TensionBasisHat interface in accordance with the raw left cubic rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
CubicRationalLeftRaw(double, double, String, double) - Constructor for class org.drip.spline.bspline.CubicRationalLeftRaw
CubicRationalLeftRaw constructor
CubicRationalRightRaw - Class in org.drip.spline.bspline
CubicRationalRightRaw implements the TensionBasisHat interface in accordance with the raw right cubic rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
CubicRationalRightRaw(double, double, String, double) - Constructor for class org.drip.spline.bspline.CubicRationalRightRaw
CubicRationalRightRaw constructor
cumulative() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Cumulative Convexity Correction
cumulative() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Cumulative Convexity Correction
cumulative(double) - Method in class org.drip.measure.continuous.R1
Compute the cumulative under the distribution to the given value
cumulative(double[]) - Method in class org.drip.measure.continuous.R1Multivariate
Compute the Cumulative under the Distribution to the given Variate Values
cumulative(double, double) - Method in class org.drip.measure.continuous.R1R1
Compute the Cumulative under the Distribution to the given Variate Pair
cumulative(double[]) - Method in class org.drip.measure.continuous.Rd
Compute the Cumulative under the Distribution to the given Variaate Array
cumulative(double[], double) - Method in class org.drip.measure.continuous.RdR1
Compute the Cumulative under the Distribution to the given Variate Array/Variate Combination
cumulative(double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
 
cumulative(double) - Method in class org.drip.measure.discrete.PoissonDistribution
 
cumulative(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
 
cumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
 
cumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
 
cumulative(double) - Method in class org.drip.measure.lebesgue.R1Uniform
 
cumulative(double[]) - Method in class org.drip.measure.lebesgue.RdUniform
 
cumulative() - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
Generate the Cumulative Tenor Sensitivity
cumulativeComponentSensitivityMargin(String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Compute the Cumulative Sensitivity Margin for the specified Component
cumulativeCouponAmount() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Cumulative Coupon Amount
cumulativeCouponAmount() - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Cumulative Coupon Amount
cumulativeExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Cumulative Expectation Sequence
cumulativeHazardIntegral() - Method in class org.drip.measure.realization.JumpDiffusionVertex
Retrieve the Jump Occurrence Cumulative Hazard Integral
cumulativeLIBOR12MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative LIBOR12M Sensitivity Margin
cumulativeLIBOR1MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative LIBOR1M Sensitivity Margin
cumulativeLIBOR3MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative LIBOR3M Sensitivity Margin
cumulativeLIBOR6MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative LIBOR6M Sensitivity Margin
cumulativeMargin() - Method in class org.drip.simm.margin.SensitivityAggregateCR
Compute the Cumulative Sensitivity Margin
cumulativeMargin() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Compute the Cumulative Sensitivity Margin
cumulativeMarginCovariance() - Method in class org.drip.simm.margin.SensitivityAggregateCR
Compute the Cumulative Margin Covariance
cumulativeMarginCovariance() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Compute the Cumulative Margin Covariance
cumulativeMarginSensitivity() - Method in class org.drip.simm.margin.SensitivityAggregateCR
Retrieve the Cumulative Margin Sensitivity
cumulativeMarginSensitivity() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the Cumulative Margin Sensitivity
cumulativeMarketDynamicDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Cumulative Market Dynamic Cost Drift
cumulativeMarketDynamicExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Cumulative Market Dynamic Expectation Sequence
cumulativeMarketDynamicWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Cumulative Market Dynamic Cost Wander
cumulativeMerge(WengertJacobian) - Method in class org.drip.quant.calculus.WengertJacobian
Accumulate and merge partial entries from the other CurveWengertJacobian
cumulativeMerge(WengertJacobian, double) - Method in class org.drip.quant.calculus.WengertJacobian
Accumulate and merge the weighted partial entries from the other CurveWengertJacobian
cumulativeMUNICIPALSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative MUNICIPAL Sensitivity Margin
cumulativeOISSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative OIS Sensitivity Margin
cumulativePermanentDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Cumulative Permanent Cost Drift
cumulativePermanentImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Cumulative Permanent Impact Expectation Sequence
cumulativePermanentWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Cumulative Permanent Cost Wander
cumulativePRIMESensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative PRIME Sensitivity Margin
cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.BucketAggregate
Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.BucketAggregateCR
Retrieve the CR Bucket Cumulative Sensitivity Margin
cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.BucketAggregateIR
Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Compute the Cumulative Sensitivity Margin
cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Cumulative Sensitivity Margin
cumulativeTemporaryDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Cumulative Temporary Cost Drift
cumulativeTemporaryImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Cumulative Temporary Impact Expectation Sequence
cumulativeTemporaryWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Cumulative Temporary Cost Wander
cumulativeTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityCR
Generate the Cumulative Tenor Sensitivity
cumulativeTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the Cumulative Tenor Sensitivity
cumulativeTenorSensitivityMap() - Method in class org.drip.simm.product.BucketSensitivityCR
Retrieve the Cumulative Risk Factor Tenor Sensitivity Map
cumulativeVariance() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Cumulative Variance Sequence
cumulativeViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
Compute the Array of Cumulative View Loading Components
CURE_PERIOD_IMA_1992 - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
1992 ISDA IMA Cure Period of 3 Business Days
CURE_PERIOD_IMA_2002 - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
2002 ISDA IMA Cure Period of 1 Business Day
curePeriod() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Client Cure Period
currency() - Method in interface org.drip.analytics.definition.Curve
Get the Currency
currency() - Method in class org.drip.analytics.definition.MarketSurface
 
currency() - Method in class org.drip.analytics.definition.NodeStructure
 
currency() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Index Currency
currency() - Method in class org.drip.market.exchange.DeliverableSwapFutures
Retrieve the Currency
currency() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Currency
currency() - Method in class org.drip.market.issue.TreasurySetting
Retrieve the Currency
currency() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Currency
currency() - Method in class org.drip.market.otc.CrossFloatStreamConvention
Retrieve the Currency
currency() - Method in class org.drip.market.otc.FixedStreamConvention
Retrieve the Currency
currency() - Method in class org.drip.market.otc.FloatFloatSwapConvention
Retrieve the Currency
currency() - Method in class org.drip.portfolioconstruction.composite.Holdings
Retrieve the Currency
currency() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Currency
currency() - Method in class org.drip.portfolioconstruction.core.Asset
Retrieve the Asset Currency
CURRENCY - Static variable in class org.drip.portfolioconstruction.optimizer.Unit
Constraint Unit - CURRENCY
currency() - Method in class org.drip.product.credit.BondComponent
 
currency() - Method in class org.drip.product.definition.Bond
Return the bond's coupon currency
currency() - Method in class org.drip.service.api.FixFloatFundingInstrument
Retrieve the Currency
currency() - Method in class org.drip.state.basis.BasisCurve
 
currency() - Method in class org.drip.state.credit.CreditCurve
 
currency() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
currency() - Method in class org.drip.state.discount.ZeroCurve
 
currency() - Method in class org.drip.state.forward.ForwardCurve
 
currency() - Method in class org.drip.state.fx.FXCurve
 
currency() - Method in class org.drip.state.govvie.GovvieCurve
 
currency() - Method in class org.drip.state.identifier.CSALabel
Retrieve the CSA Currency
currency() - Method in class org.drip.state.identifier.EntityDesignateLabel
Retrieve the Currency
currency() - Method in class org.drip.state.identifier.FloaterLabel
Retrieve the Currency
currency() - Method in class org.drip.state.identifier.OvernightLabel
Retrieve the Currency
currency() - Method in class org.drip.state.repo.RepoCurve
 
currencyArray() - Method in class org.drip.simm.fx.FXRiskGroup
Retrieve the FX Risk Currency Array
CurrencyBenchmarkCode(String) - Static method in class org.drip.market.issue.TreasurySettingContainer
Retrieve the Benchmark Treasury Code for the specified Currency
CurrencyCategory(String) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Category for the specified Currency
CurrencyCategory(String) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Category for the specified Currency
CurrencyOrder(String) - Static method in class org.drip.market.definition.FXSettingContainer
Retrieve the Order corresponding to the specified Currency
CurrencyPair(String, String) - Static method in class org.drip.market.definition.FXSettingContainer
Retrieve the Currency Pair Instance from the specified Currencies
currencyPair() - Method in class org.drip.product.fx.FXForwardComponent
Get the Currency Pair
CurrencyPair - Class in org.drip.product.params
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the PIP Factor.
CurrencyPair(String, String, String, double) - Constructor for class org.drip.product.params.CurrencyPair
Construct the currency pair from the numerator currency, the denominator currency, the quote currency, and the PIP Factor
currencyPair() - Method in class org.drip.state.fx.FXCurve
Return the CurrencyPair
currencyPair() - Method in class org.drip.state.identifier.FXLabel
Retrieve the Currency Pair Instance
CurrencyPairPrincipalCovariance(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Currency Pair Principal Co-variance Matrix
CurrencyPairPrincipalCovariance(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Currency Pair Principal Co-variance Matrix
CurrencyRiskGroup - Class in org.drip.simm.rates
CurrencyRiskGroup holds the ISDA SIMM Currency Risk Group Concentrations.
CurrencyRiskGroup(String, String, String[]) - Constructor for class org.drip.simm.rates.CurrencyRiskGroup
CurrencyRiskGroup Constructor
currencyRiskGroup() - Method in class org.drip.simm.rates.IRThreshold
Retrieve the Currency Risk Group
CurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Set of all Available Currencies
CurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Set of all Available Currencies
CurrencySet() - Static method in class org.drip.simm.rates.IRThresholdContainer20
Retrieve the Interest Rate Threshold Container Currency Set
CurrencySet() - Static method in class org.drip.simm.rates.IRThresholdContainer21
Retrieve the Interest Rate Threshold Container Currency Set
CurrencyThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer20
Retrieve the Currency Threshold Map
CurrencyThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer21
Retrieve the Currency Threshold Map
current() - Method in class org.drip.spaces.graph.ShortestPathVertex
Retrieve the Current Vertex
currentCollateralBalance() - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Retrieve the Current Collateral Balance
currentCoupon() - Method in class org.drip.product.credit.BondComponent
 
currentCoupon() - Method in class org.drip.product.definition.Bond
Return the current bond coupon
currentCouponDate(JulianDate) - Method in class org.drip.product.credit.BondComponent
 
currentCouponDate(JulianDate) - Method in class org.drip.product.definition.Bond
Return the coupon date for the period containing the specified date
currentCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
currentCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Return the coupon rate for the period corresponding to the specified date
currentFairPremium() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Current Fair Premium
currentFullCoupon() - Method in class org.drip.product.params.FloaterSetting
Retrieve the Full Current Coupon
currentPrice() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Bond Current Market Price
currentReferenceYield() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Current Reference Coupon
currentStep() - Method in class org.drip.execution.evolution.MarketImpactComponent
Retrieve the Current Step Contribution
currentVariate() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
Retrieve the Current Variate Array
currentVariateFunctionJacobian() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
Retrieve the Function Jacobian at the Current Variate
currentVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
Retrieve the Function Value at the Current Variate
currentVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Retrieve the Function Value at the Current Variate
currentWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
Retrieve the Current Instance of the Walk Wanderer
cursorVariates() - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
Retrieve the Cursor Variate Array
curvature() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Curvature Risk Measure Sensitivity Settings
curvature() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
Retrieve the Credit Risk Class Curvature Sensitivity Settings
curvature() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
Curvature IR Risk Measure Sensitivity Settings
curvature() - Method in class org.drip.simm.product.RiskClassSensitivity
Retrieve the Curvature Risk Measure Sensitivity
curvature() - Method in class org.drip.simm.product.RiskClassSensitivityCR
Retrieve the CR Curvature Risk Measure Sensitivity
curvature() - Method in class org.drip.simm.product.RiskClassSensitivityIR
Retrieve the IR Curvature Tenor Sensitivity
CURVATURE_VAR_CUT_OFF - Static variable in class org.drip.simm.foundation.CurvatureResponseCornishFischer
ISDA SIMM VaR Curvature Cut-off
curvatureAggregate(RiskMeasureSensitivitySettings, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivity
Generate the Curvature Risk Measure Aggregate
curvatureAggregate(RiskMeasureSensitivitySettingsCR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityCR
Generate the Curvature Risk Measure Aggregate
curvatureAggregate(RiskMeasureSensitivitySettingsIR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityIR
Generate the Curvature Risk Measure Aggregate
curvatureDPE() - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Segment Curvature DPE
curvatureDPE() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
curvatureDPE() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Span Curvature DPE
CurvatureEstimator - Interface in org.drip.simm.foundation
CurvatureEstimator exposes the Curvature Margin Estimation using the Curvature Sensitivities.
curvatureEstimator() - Method in class org.drip.simm.parameters.MarginEstimationSettings
Retrieve the Curvature Estimator Function
CurvatureEstimatorISDADelta - Class in org.drip.simm.foundation
CurvatureEstimatorISDADelta estimates the Curvature Margin from the Curvature Sensitivities using the ISDA Delta Curvature Margin Estimate.
CurvatureEstimatorISDADelta() - Constructor for class org.drip.simm.foundation.CurvatureEstimatorISDADelta
 
CurvatureEstimatorResponseFunction - Class in org.drip.simm.foundation
CurvatureEstimatorResponseFunction estimates the Curvature Margin from the Curvature Sensitivities using the Curvature Response Function.
CurvatureEstimatorResponseFunction(CurvatureResponse) - Constructor for class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
CurvatureEstimatorResponseFunction Constructor
CurvatureEvolutionVerifier - Class in org.drip.function.rdtor1descent
CurvatuveEvolutionVerifier implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently.
CurvatureEvolutionVerifier(double, boolean) - Constructor for class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
CurvatureEvolutionVerifier Constructor
CurvatureEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
CurvatuveEvolutionVerifierMetrics implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently.
CurvatureEvolutionVerifierMetrics(double, boolean, UnitVector, double[], double, double[], double[]) - Constructor for class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
CurvatureEvolutionVerifierMetrics Constructor
CurvatureLengthRoughnessPenalty - Class in org.drip.sample.stretch
PenalizedCurvatureLCurvatureLengthRoughnessPenaltyengthFit demonstrates the setting up and the usage of the curvature, the length, and the closeness of fit penalizing spline.
CurvatureLengthRoughnessPenalty() - Constructor for class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
 
curvatureMargin() - Method in class org.drip.simm.margin.RiskClassAggregate
Retrieve the Curvature Margin
curvatureMargin() - Method in class org.drip.simm.margin.RiskClassAggregateCR
Retrieve the CR Curvature SBA Margin
curvatureMargin() - Method in class org.drip.simm.margin.RiskClassAggregateIR
Retrieve the Curvature Margin
curvatureMargin(BucketSensitivitySettingsCR) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Compute the Curvature Margin Co-variance
curvatureMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature Margin Co-variance
curvatureMarginCovariance_LIBOR12M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR12M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR12M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR12M-PRIME Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR1M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR1M_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR1M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR1M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR1M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR1M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR1M-PRIME Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR3M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR3M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR3M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR3M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR3M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR3M-PRIME Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR6M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR6M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR6M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
curvatureMarginCovariance_LIBOR6M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature LIBOR6M-PRIME Sensitivity Margin Co-variance
curvatureMarginCovariance_MUNICIPAL_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
curvatureMarginCovariance_OIS_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature OIS-LIBOR12M Sensitivity Margin Co-variance
curvatureMarginCovariance_OIS_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature OIS-LIBOR1M Sensitivity Margin Co-variance
curvatureMarginCovariance_OIS_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature OIS-LIBOR3M Sensitivity Margin Co-variance
curvatureMarginCovariance_OIS_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature OIS-LIBOR6M Sensitivity Margin Co-variance
curvatureMarginCovariance_OIS_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature OIS-MUNICIPAL Sensitivity Margin Co-variance
curvatureMarginCovariance_OIS_OIS(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature OIS-OIS Sensitivity Margin Co-variance
curvatureMarginCovariance_OIS_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature OIS-PRIME Sensitivity Margin Co-variance
curvatureMarginCovariance_PRIME_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature PRIME-MUNICIPAL Sensitivity Margin Co-variance
curvatureMarginCovariance_PRIME_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Curvature PRIME-PRIME Sensitivity Margin Co-variance
curvatureParameter() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
Retrieve the Curvature Parameter
curvatureParameter() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
Retrieve the Curvature Parameter
curvatureParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
Retrieve the Curvature Parameter
curvatureParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Retrieve the Curvature Parameter
curvaturePenaltyControl() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
Retrieve the Curvature Penalty Parameters
curvatureResponse() - Method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
Retrieve the Curvature Response Function
CurvatureResponse - Interface in org.drip.simm.foundation
CurvatureResponse exposes the Calculation of the Curvature Co-variance Scaling Factor (lambda) using the Cumulative Curvature Sensitivities.
CurvatureResponseCornishFischer - Class in org.drip.simm.foundation
CurvatureResponseCornishFischer computes the Curvature Co-variance Scaling Factor using the Cumulative Curvature Sensitivities.
CurvatureResponseCornishFischer(double) - Constructor for class org.drip.simm.foundation.CurvatureResponseCornishFischer
CurvatureResponseCornishFischer Constructor
CurvatureRoughnessPenaltyFit - Class in org.drip.sample.stretch
CurvatureRoughnessPenaltyFit demonstrates the setting up and the usage of the curvature and closeness of fit penalizing spline.
CurvatureRoughnessPenaltyFit() - Constructor for class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
 
Curve - Interface in org.drip.analytics.definition
Curve extends the Latent State to abstract the functionality required among all financial curve.
curveAggregate(BucketSensitivitySettingsCR) - Method in class org.drip.simm.product.BucketSensitivityCR
Generate the CR Margin Factor Curve Tenor Aggregate
curveAggregate(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the IR Margin Factor Curve Tenor Aggregate
CurveConstructionInputSet - Interface in org.drip.analytics.input
CurveConstructionInputSet interface contains the Parameters needed for the Curve Calibration/Estimation.
CurveJacobianRegressionEngine - Class in org.drip.regression.curvejacobian
CurveJacobianRegressionEngine implements the RegressionEngine for the curve Jacobian regression.
CurveJacobianRegressionEngine(int, int) - Constructor for class org.drip.regression.curvejacobian.CurveJacobianRegressionEngine
CurveJacobianRegressionEngine constructor
curveSequence(int) - Method in class org.drip.state.sequence.PathGovvie
Generate the R^d Path Govvie Curves using the Initial R^d and the Evolution Time Width
curveShift1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Curve Shift PnL
curveShiftSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Curve Shift Swap Rate
CurveStateEvolver - Interface in org.drip.dynamics.evolution
CurveStateEvolver is the Interface on top of which the Curve State Evolution Dynamics is constructed.
CurveStretch - Class in org.drip.state.estimator
CurveStretch expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped Instruments.
CurveStretch(String, LatentStateResponseModel[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.state.estimator.CurveStretch
CurveStretch constructor - Construct a sequence of Basis Spline Segments
CurveSurfaceQuoteContainer - Class in org.drip.param.market
CurveSurfaceQuoteContainer provides implementation of the set of the market curve parameters.
CurveSurfaceQuoteContainer() - Constructor for class org.drip.param.market.CurveSurfaceQuoteContainer
Empty CurveSurfaceQuoteSet Constructor
CurveSurfaceScenarioContainer - Class in org.drip.param.market
CurveSurfaceScenarioContainer extends MarketParams abstract class, and is the place holder for the comprehensive suite of the market set of curves for the given date.
CurveSurfaceScenarioContainer() - Constructor for class org.drip.param.market.CurveSurfaceScenarioContainer
Construct an empty MarketParamsContainer instance
cusip() - Method in class org.drip.product.credit.BondComponent
 
cusip() - Method in class org.drip.product.definition.Bond
Get the CUSIP
cusip() - Method in class org.drip.product.params.IdentifierSet
Retrieve the CUSIP
custom(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Custom Latent State
custom() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Custom Latent State Node Container
custom(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Custom
custom() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the Custom credit curve map
custom() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
Return the Custom Discount curve map
Custom(String, JulianDate, CalibratableComponent[], MergedDiscountForwardCurve, double[], String[], double, boolean, CalibrationParams) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Calibrate the base credit curve from the input credit instruments, measures, and the quotes
Custom(String, JulianDate, CalibratableComponent[], MergedDiscountForwardCurve, double[], String[], double, boolean) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Calibrate the base credit curve from the input credit instruments, measures, and the quotes
CustomBasisCurveBuilder - Class in org.drip.sample.multicurve
CustomBasisCurveBuilder contains the sample demonstrating the full functionality behind creating highly customized spline based Basis curves.
CustomBasisCurveBuilder() - Constructor for class org.drip.sample.multicurve.CustomBasisCurveBuilder
 
customConfidenceOutput() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Custom Projection Confidence Black Litterman Run Output
customConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator Using the specified Confidence Level
customCreditBasisBump() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Custom Credit Basis Bump
customCustomCorrelation(CustomLabel, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric Latent State Pair
CustomDENSE(String, ValuationParams, CalibratableComponent[], double[], String, String[], CalibratableComponent[], double[], String, String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Customizable DENSE Curve Creation Methodology - the references are: - Sankar, L.
CustomDiscountCurveBuilder - Class in org.drip.sample.stretch
CustomDiscountCurveBuilder contains samples that demo how to build a discount curve from purely the cash flows.
CustomDiscountCurveBuilder() - Constructor for class org.drip.sample.stretch.CustomDiscountCurveBuilder
 
customEquityCorrelation(CustomLabel, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Equity Latent States
customExists(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Custom Latent State Exists
CustomFixFloatSwap - Class in org.drip.sample.fixfloat
CustomFixFloatSwap demonstrates the Construction and Valuation of a Custom Fix-Float Swap.
CustomFixFloatSwap() - Constructor for class org.drip.sample.fixfloat.CustomFixFloatSwap
 
customForwardCorrelation(CustomLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Forward Latent States
CustomFRAVolatilityCurve - Class in org.drip.sample.forwardvolatility
CustomFRAVolatilityCurve demonstrates the Construction of the FRA Volatility Curve from the FRACap Quotes.
CustomFRAVolatilityCurve() - Constructor for class org.drip.sample.forwardvolatility.CustomFRAVolatilityCurve
 
CustomFundingCurveBuilder - Class in org.drip.sample.funding
CustomFundingCurveBuilder funding curve calibration and input instrument calibration quote recovery.
CustomFundingCurveBuilder() - Constructor for class org.drip.sample.funding.CustomFundingCurveBuilder
 
CustomFundingCurveReconciler - Class in org.drip.sample.funding
CustomFundingCurveReconciler demonstrates the multi-stretch transition custom Funding curve construction, turns application, discount factor extraction, and calibration quote recovery.
CustomFundingCurveReconciler() - Constructor for class org.drip.sample.funding.CustomFundingCurveReconciler
 
customFXCorrelation(CustomLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the FX Latent States
CustomFXCurveBuilder - Class in org.drip.sample.fx
CustomFXCurveBuilder illustrates the Construction and Usage of the FX Forward Curve.
CustomFXCurveBuilder() - Constructor for class org.drip.sample.fx.CustomFXCurveBuilder
 
customGovvieCorrelation(CustomLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Govvie Latent States
customGrossTaxGain(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
Compute the Custom Gross Tax Gain
customGrossTaxLoss(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
Compute the Custom Gross Tax Loss
CustomIBORBuilderSample(MergedDiscountForwardCurve, ForwardCurve, ForwardLabel, SegmentCustomBuilderControl, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String, boolean) - Static method in class org.drip.sample.forward.IBORCurve
 
CustomIBORBuilderSample2(MergedDiscountForwardCurve, ForwardCurve, ForwardLabel, SegmentCustomBuilderControl, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String, boolean) - Static method in class org.drip.sample.forward.IBORCurve
 
CustomLabel - Class in org.drip.state.identifier
CustomLabel contains the Identifier Parameters referencing the Latent State of the named Custom Metric.
customMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Custom Evolver Map
customMarketCorrelation(List<LatentStateLabel>) - Method in class org.drip.exposure.universe.MarketCorrelation
Synthesize a MarketCorrelation Instance for the Custom Latent State List
customMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Custom Double Measure Map
customMetricFundingCorrelation(CustomLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between Custom Metric and the Funding Latent States
customNetTaxGain(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
Compute the Custom Net Tax Gain
CustomNetTaxGainsTerm - Class in org.drip.portfolioconstruction.objective
CustomNetTaxGainsTerm holds the Details of the Portfolio Custom Net Tax Gain Objective Term.
CustomNetTaxGainsTerm(String, double[], TaxationScheme) - Constructor for class org.drip.portfolioconstruction.objective.CustomNetTaxGainsTerm
CustomNetTaxGainsTerm Constructor
customNetTaxLoss(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
Compute the Custom Net Tax Loss
customOvernightCorrelation(CustomLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Overnight Latent States
CustomOvernightCurveReconciler - Class in org.drip.sample.overnight
CustomOvernightCurveReconciler demonstrates the multi-stretch transition custom Overnight curve construction, turns application, discount factor extraction, and calibration quote recovery.
CustomOvernightCurveReconciler() - Constructor for class org.drip.sample.overnight.CustomOvernightCurveReconciler
 
customPaydownCorrelation(CustomLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Pay-down Latent States
customPivotAnchor() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
Retrieve the Custom Pivot Anchor
customProjectionConfidenceDeviation() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Custom Projection Induced Equilibrium Asset Deviation Array
customProjectionConfidenceWeight() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Custom Projection Induced Equilibrium Asset Weight Array
customRatingCorrelation(CustomLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Rating Latent States
customRecoveryCorrelation(CustomLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Recovery Latent States
customRepoCorrelation(CustomLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Custom Metric and the Repo Latent States
CustomRiskUtilitySettings - Class in org.drip.portfolioconstruction.allocator
CustomRiskUtilitySettings contains the settings used to generate the Risk Objective Utility Function.
CustomRiskUtilitySettings(double, double) - Constructor for class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
CustomRiskUtilitySettings Constructor
customScenarioMeasures(ValuationParams, CreditPricerParams, ScenarioMarketParams, String, ValuationCustomizationParams, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.BasketProduct
Compute Basket's Custom Scenario Measures
customScenarioMeasures(ValuationParams, CreditPricerParams, ScenarioMarketParams, String, ValuationCustomizationParams, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.Component
Generate a full list of custom measures for the set of scenario market parameters present in the org.drip.param.definition.MarketParams
CustomSlopeHermiteSpline(String, double[], double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response Values, the Custom Slopes, and the Segment Builder Parameters.
CustomSlopeHermiteSpline(String, int[], double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response Values, the Custom Slopes, and the Segment Builder Parameters.
CustomSplineBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
Create an Instance of the Custom Splined Basis Curve
CustomSplineCurve(String, JulianDate, CurrencyPair, String[], double[], SegmentCustomBuilderControl, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Create an Instance of the Custom Splined FX Forward Curve
CustomSplineCurve(String, JulianDate, String, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Create an Instance of the Custom Splined Govvie Yield Curve
CustomSplineDiscountCurve(String, JulianDate, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the Custom Splined Discount Curve
CustomSplineRepoCurve(String, JulianDate, Component, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Create an Instance of the Custom Splined Repo Curve
CustomSplineTermStructure(String, JulianDate, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
CustomSplineTermStructure(String, JulianDate, String, double[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
Construct a Term Structure Instance using the specified Custom Spline
CustomSplineWireSurface(String, JulianDate, String, double, double[], double[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioLocalVolatilityBuilder
Build an Instance of the Volatility Surface using custom wire span and surface splines
CustomSplineWireSurface(String, JulianDate, String, double[], double[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Build an Instance of the Market Node Surface using Custom Wire Span and Surface Splines.
CustomSwapMeasures - Class in org.drip.sample.oisapi
CustomSwapMeasures demonstrates the Invocation and Usage of the OIS API.
CustomSwapMeasures() - Constructor for class org.drip.sample.oisapi.CustomSwapMeasures
 
CustomTransactionChargeTerm - Class in org.drip.portfolioconstruction.objective
CustomTransactionChargeTerm implements the Objective Term that models the Custom Transaction Charge associated with a Portfolio Transaction.
CustomTransactionChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.CustomTransactionChargeTerm
CustomTransactionChargeTerm Constructor
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.analytics.definition.MarketSurface
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.analytics.definition.NodeStructure
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.basis.BasisCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DerivedZeroRate
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.forward.ForwardCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.fx.FXCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.govvie.GovvieCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.repo.RepoCurve
 
customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in interface org.drip.state.representation.LatentState
Create a LatentState Instance from the Manifest Measure Tweak Parameters
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.analytics.definition.MarketSurface
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.analytics.definition.NodeStructure
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.basis.BasisCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DerivedZeroRate
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.forward.ForwardCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.fx.FXCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.govvie.GovvieCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.repo.RepoCurve
 
customTweakQuantificationMetric(ManifestMeasureTweak) - Method in interface org.drip.state.representation.LatentState
Create a LatentState Instance from the Quantification Metric Tweak Parameters
customVolatility(CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the Custom Metric Latent State
CustomVolSurfaceBuilder - Class in org.drip.sample.option
CustomVolSurfaceBuilder contains an Comparison of the Construction of the Volatility Surface using different Splining Techniques.
CustomVolSurfaceBuilder() - Constructor for class org.drip.sample.option.CustomVolSurfaceBuilder
 
CustomWireSurface(String, JulianDate, String, double[], String[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Construct a Scenario Market Surface off of Custom Wire Spline and Custom Surface Spline.
customYieldBump() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Custom Yield Bump
Cuttack - Class in org.drip.sample.bondsink
Cuttack generates the Full Suite of Replication Metrics for the Sinker Bond Cuttack.
Cuttack() - Constructor for class org.drip.sample.bondsink.Cuttack
 
cva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected CVA
cva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for CVA
CVACL(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the CVA Contra-Liability Value Adjustment Instance
cvacl() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected CVA Contra-Liability
cvacl() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for CVA Contra-Liabilities
cyclicalScan() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
Retrieve the Cyclical Scan Flag
CYPHoliday - Class in org.drip.analytics.holset
 
CYPHoliday() - Constructor for class org.drip.analytics.holset.CYPHoliday
 
CZKHoliday - Class in org.drip.analytics.holset
 
CZKHoliday() - Constructor for class org.drip.analytics.holset.CZKHoliday
 
CZKIRSAttribution - Class in org.drip.sample.fixfloatpnl
CZKIRSAttribution generates the Historical PnL Attribution for CZK IRS.
CZKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CZKIRSAttribution
 
CZKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
CZKShapePreserving1YStart Generates the Historical CZK Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
CZKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CZKShapePreserving1YStart
 
CZKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
CZKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the CZK Input Marks.
CZKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CZKShapePreservingReconstitutor
 

D

D() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
Return "D"
DailyMetrics(JulianDate, String[], double[], String, double, String[]) - Static method in class org.drip.service.state.CreditCurveAPI
Generate the Horizon Metrics for the Specified Inputs
DailyMetrics(JulianDate, String[], double[], String[], String[], String, int) - Static method in class org.drip.service.state.FundingCurveAPI
Generate the Funding Curve Daily Metrics
DailyMetrics(JulianDate, String[], double[], String[], String[], String, int) - Static method in class org.drip.service.state.OvernightCurveAPI
Generate the Overnight Curve Horizon Metrics for the Specified Date
dailyVolatility() - Method in class org.drip.execution.parameters.AssetFlowSettings
Retrieve the Daily Volatility
dailyVolumeExecutionFactor() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
Retrieve the Daily Reference Execution Rate as a Proportion of the Daily Volume
DaJagannathan2005a - Class in org.drip.sample.blacklitterman
DaJagannathan2005a reconciles the Outputs of the Black-Litterman Model Process.
DaJagannathan2005a() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005a
 
DaJagannathan2005b - Class in org.drip.sample.blacklitterman
DaJagannathan2005b reconciles the Outputs of the Black-Litterman Model Process.
DaJagannathan2005b() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005b
 
DaJagannathan2005c - Class in org.drip.sample.blacklitterman
DaJagannathan2005c reconciles the Outputs of the Black-Litterman Model Process.
DaJagannathan2005c() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005c
 
DaJagannathan2005d - Class in org.drip.sample.blacklitterman
DaJagannathan2005d reconciles the Outputs of the Black-Litterman Model Process.
DaJagannathan2005d() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005d
 
DaJagannathan2005e - Class in org.drip.sample.blacklitterman
DaJagannathan2005e reconciles the Outputs of the Black-Litterman Model Process.
DaJagannathan2005e() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005e
 
Dalian - Class in org.drip.sample.bondeos
Dalian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dalian.
Dalian() - Constructor for class org.drip.sample.bondeos.Dalian
 
Dandong - Class in org.drip.sample.bondeos
Dandong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dandong.
Dandong() - Constructor for class org.drip.sample.bondeos.Dandong
 
Danyang - Class in org.drip.sample.bondeos
Danyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Danyang.
Danyang() - Constructor for class org.drip.sample.bondeos.Danyang
 
dap() - Method in class org.drip.param.period.FixingSetting
Retrieve the Fixing DAP
dap() - Method in class org.drip.product.params.TerminationSetting
Retrieve the Termination Setting Date Adjustment Parameters
dapEdge() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
Retrieve the Edge Date Adjust Parameters
dapPay() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Pay DAP
Daqing - Class in org.drip.sample.bondeos
Daqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Daqing.
Daqing() - Constructor for class org.drip.sample.bondeos.Daqing
 
Darbhanga - Class in org.drip.sample.bondmetrics
Darbhanga generates the Full Suite of Replication Metrics for Bond Darbhanga.
Darbhanga() - Constructor for class org.drip.sample.bondmetrics.Darbhanga
 
dataDependentVarianceBound(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
Retrieve the Univariate Sequence Dependent Variance Bound
dataDependentVarianceBound(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
Retrieve the Multivariate Sequence Dependent Variance Bound
date() - Method in class org.drip.analytics.date.DateTime
Retrieve the Date
Date(int) - Static method in class org.drip.analytics.date.DateUtil
Return the Date given the Julian Date represented by the Integer.
date() - Method in class org.drip.analytics.output.ExerciseInfo
Retrieve the Exercise Date
date() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Tenor Date
date() - Method in class org.drip.exposure.csatimeline.EventDate
Retrieve the CSA Event Julian Date
date() - Method in class org.drip.exposure.regression.PillarVertex
Retrieve the Path Pillar Date
date(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Custom Date Entry corresponding to the Specified Key
date(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Retrieve the Custom Date Entry corresponding to the Specified Key
date() - Method in class org.drip.param.valuation.WorkoutInfo
Retrieve the Work-out Date
date() - Method in class org.drip.service.api.DateDiscountCurvePair
Retrieve the COB
date() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Curve Epoch Date
date() - Method in class org.drip.xva.derivative.TerminalPayout
Retrieve the Terminal Pay Out Date
DATE_PHASE_AFTER_MORTALITY - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Date Phase - After Death
DATE_PHASE_AFTER_RETIREMENT - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Date Phase - After Retirement
DATE_PHASE_BEFORE_RETIREMENT - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Date Phase - Before Retirement
DATE_ROLL_ACTUAL - Static variable in class org.drip.analytics.daycount.Convention
Date Roll Actual
DATE_ROLL_FOLLOWING - Static variable in class org.drip.analytics.daycount.Convention
Date Roll Following
DATE_ROLL_MODIFIED_FOLLOWING - Static variable in class org.drip.analytics.daycount.Convention
Date Roll Modified Following
DATE_ROLL_MODIFIED_FOLLOWING_BIMONTHLY - Static variable in class org.drip.analytics.daycount.Convention
Date Roll Modified Following Bi-monthly
DATE_ROLL_MODIFIED_PREVIOUS - Static variable in class org.drip.analytics.daycount.Convention
Date Roll Modified Previous
DATE_ROLL_PREVIOUS - Static variable in class org.drip.analytics.daycount.Convention
Date Roll Previous
DateAdjustParams - Class in org.drip.analytics.daycount
This class contains the parameters needed for adjusting dates.
DateAdjustParams(int, int, String) - Constructor for class org.drip.analytics.daycount.DateAdjustParams
Create a DateAdjustParams instance from the roll mode and the calendar
dateArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Array of JulianDate corresponding to the specified Column Index
DateArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a Date Array
DateDiscountCurvePair - Class in org.drip.service.api
DateDiscountCurvePair contains the COB/Discount Curve Pair, and the corresponding computed outputs.
DateDiscountCurvePair(JulianDate, MergedDiscountForwardCurve, List<String>) - Constructor for class org.drip.service.api.DateDiscountCurvePair
DateDiscountCurvePair constructor
DateEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a Date
DateEOMAdjustment - Class in org.drip.analytics.daycount
This class holds the applicable adjustments for a given date pair.
DateEOMAdjustment() - Constructor for class org.drip.analytics.daycount.DateEOMAdjustment
 
DateInMonth - Class in org.drip.analytics.eventday
DateInMonth exports Functionality that generates the specific Event Date inside of the specified Month/Year.
DateInMonth(int, boolean, int, int, int, int) - Constructor for class org.drip.analytics.eventday.DateInMonth
DateInMonth Constructor
dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Base
Generate the full date specific to the input year
dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Fixed
 
dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Static
 
dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Variable
 
dateLocation(int) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Place the Date Node Location in Relation to the Segment Location
DateManipulationClient - Class in org.drip.sample.service
DateManipulationClient demonstrates the Invocation and Examination of the JSON-based Date Manipulation Service Client.
DateManipulationClient() - Constructor for class org.drip.sample.service.DateManipulationClient
 
DateProcessor - Class in org.drip.service.json
DateProcessor Sets Up and Executes a JSON Based In/Out Date Related Service.
DateProcessor() - Constructor for class org.drip.service.json.DateProcessor
 
DateRollAPI - Class in org.drip.sample.date
DateRollAPI demonstrates Date Roll Functionality.
DateRollAPI() - Constructor for class org.drip.sample.date.DateRollAPI
 
dates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor Dates
dates() - Method in class org.drip.product.params.EmbeddedOptionSchedule
Get the array of dates
dates() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
Retrieve the Forward Node Dates
dateSnap() - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Retrieve the KRD Date Snap
DateTime - Class in org.drip.analytics.date
This class provides the representation of the instantiation-time date and time objects.
DateTime() - Constructor for class org.drip.analytics.date.DateTime
Default constructor initializes the time and date to the current time and current date.
DateTime(double, long) - Constructor for class org.drip.analytics.date.DateTime
Constructs DateTime from separate date and time inputs
DateUtil - Class in org.drip.analytics.date
DateUtil contains Various Utilities for manipulating Date.
DateUtil() - Constructor for class org.drip.analytics.date.DateUtil
 
DateYield(int, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Construct a Govvie Curve from an Array of Dates and Yields
Datong - Class in org.drip.sample.bondeos
Datong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Datong.
Datong() - Constructor for class org.drip.sample.bondeos.Datong
 
Davanagere - Class in org.drip.sample.municipal
Davanagere demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Davanagere.
Davanagere() - Constructor for class org.drip.sample.municipal.Davanagere
 
Day(Date) - Static method in class org.drip.analytics.date.DateUtil
Return the Day corresponding to the java.util.Date Instance
DayChars(int) - Static method in class org.drip.analytics.date.DateUtil
Get the English word for day corresponding to the input integer
dayCount() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Index Day Count Convention
dayCount() - Method in class org.drip.market.issue.TreasurySetting
Retrieve the Day Count
dayCount() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Day Count
dayCount() - Method in class org.drip.market.otc.FixedStreamConvention
Retrieve the Day Count Convention
dayCount() - Method in class org.drip.param.quoting.YieldInterpreter
Retrieve the Day Count Convention
dayCount() - Method in class org.drip.product.params.FloaterSetting
Retrieve the Floating Day Count
dayCount() - Method in class org.drip.state.govvie.GovvieCurve
Retrieve the Yield Day Count
DayCountAPI - Class in org.drip.sample.date
DayCountAPI demonstrates Day-count API Functionality.
DayCountAPI() - Constructor for class org.drip.sample.date.DayCountAPI
 
DayOfTheWeek(Date) - Static method in class org.drip.analytics.date.DateUtil
Return the Day of the Week corresponding to the java.util.Date Instance
dayOfWeek() - Method in class org.drip.analytics.eventday.DateInMonth
Retrieve the Day Of Week
days() - Method in class org.drip.analytics.daycount.ActActDCParams
Number of Days in the Act/Act Period
days() - Method in class org.drip.analytics.eventday.Weekend
Retrieve the weekend days
DaysAccrued(int, int, String, boolean, ActActDCParams, String) - Static method in class org.drip.analytics.daycount.Convention
Calculate the Days Accrued between 2 given Dates for the given Day Count Convention and the other Parameters
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC1_1
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC28_360
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_360
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_365
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_Act
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_360
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_364
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365L
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_UST
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in interface org.drip.analytics.daycount.DCFCalculator
Calculates the number of days accrued between the two given days
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_360
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_365
 
daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_Act
 
daysDiff(JulianDate) - Method in class org.drip.analytics.date.JulianDate
Difference in Days between the Current and the Input Dates
DaysElapsed(int) - Static method in class org.drip.analytics.date.DateUtil
Number of Days elapsed in the Year represented by the given Julian Date
DaysInMonth(int, int) - Static method in class org.drip.analytics.date.DateUtil
Get the maximum number of days in the given month and year
DaysRemaining(int) - Static method in class org.drip.analytics.date.DateUtil
Number of Days remaining in the Year represented by the given Julian Date
DBR(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the German Treasury EUR DBR Bond
DBRBenchmarkAttribution - Class in org.drip.sample.treasurypnl
DBRBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the DBR Benchmark Bond Series.
DBRBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.DBRBenchmarkAttribution
 
DBRReconstitutor - Class in org.drip.sample.treasuryfeed
DBRReconstitutor demonstrates the Cleansing and Re-constitution of the DBR Yield Marks obtained from Historical Yield Curve Prints.
DBRReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.DBRReconstitutor
 
dc() - Method in class org.drip.service.api.DateDiscountCurvePair
Retrieve the Discount Curve
DC1_1 - Class in org.drip.analytics.daycount
This class implements the 1/1 day count convention.
DC1_1() - Constructor for class org.drip.analytics.daycount.DC1_1
Empty DC1_1 constructor
DC28_360 - Class in org.drip.analytics.daycount
This class implements the 28/360 day count convention.
DC28_360() - Constructor for class org.drip.analytics.daycount.DC28_360
Empty DC28_360 constructor
DC30_360 - Class in org.drip.analytics.daycount
This class implements the 30/360 day count convention.
DC30_360() - Constructor for class org.drip.analytics.daycount.DC30_360
Empty DC30_360 constructor
DC30_365 - Class in org.drip.analytics.daycount
This Class Implements the 30/365 Day Count Convention.
DC30_365() - Constructor for class org.drip.analytics.daycount.DC30_365
Empty DC30_365 constructor
DC30_Act - Class in org.drip.analytics.daycount
This class implements the 30/Act day count convention.
DC30_Act() - Constructor for class org.drip.analytics.daycount.DC30_Act
Empty DC30_Act constructor
DC30E_360 - Class in org.drip.analytics.daycount
This class implements the 30E/360 day count convention.
DC30E_360() - Constructor for class org.drip.analytics.daycount.DC30E_360
Empty DC30E_360 constructor
DC30E_360_ISDA - Class in org.drip.analytics.daycount
This class implements the 30E/360 ISDA day count convention.
DC30E_360_ISDA() - Constructor for class org.drip.analytics.daycount.DC30E_360_ISDA
Empty DC30E_360_ISDA constructor
DC30EPLUS_360_ISDA - Class in org.drip.analytics.daycount
This class implements the 30E+/360 ISDA day count convention.
DC30EPLUS_360_ISDA() - Constructor for class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
Empty DC30EPLUS_360_ISDA constructor
DC_BASE - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
Base Discount Curve
DC_FLAT_DN - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
Discount Curve Parallel Bump Down
DC_FLAT_UP - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
Discount Curve Parallel Bump Up
DC_TENOR_DN - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
Discount Curve Tenor Bump Down
DC_TENOR_UP - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
Discount Curve Tenor Bump Up
DCAct_360 - Class in org.drip.analytics.daycount
This class implements the Act/360 day count convention.
DCAct_360() - Constructor for class org.drip.analytics.daycount.DCAct_360
Empty DCAct_360 constructor
DCAct_364 - Class in org.drip.analytics.daycount
This class implements the Act/364 day count convention.
DCAct_364() - Constructor for class org.drip.analytics.daycount.DCAct_364
Empty DCAct_364 constructor
DCAct_365 - Class in org.drip.analytics.daycount
This class implements the Act/365 day count convention.
DCAct_365() - Constructor for class org.drip.analytics.daycount.DCAct_365
Empty DCAct_365 constructor
DCAct_365L - Class in org.drip.analytics.daycount
This class implements the Act/365L day count convention.
DCAct_365L() - Constructor for class org.drip.analytics.daycount.DCAct_365L
Empty DCAct_365L constructor
DCAct_Act - Class in org.drip.analytics.daycount
This class implements the Act/Act day count convention.
DCAct_Act() - Constructor for class org.drip.analytics.daycount.DCAct_Act
Empty DCAct_Act constructor
DCAct_Act_ISDA - Class in org.drip.analytics.daycount
This class implements the ISDA Act/Act day count convention.
DCAct_Act_ISDA() - Constructor for class org.drip.analytics.daycount.DCAct_Act_ISDA
Empty DCAct_Act_ISDA constructor
DCAct_Act_UST - Class in org.drip.analytics.daycount
This class implements the US Treasury Bond Act/Act Day Count Convention.
DCAct_Act_UST() - Constructor for class org.drip.analytics.daycount.DCAct_Act_UST
Empty DCAct_Act_UST constructor
dcf() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Retrieve the Reference Period Day Count Fraction
dcf() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Composite DCF
dcf() - Method in class org.drip.analytics.output.UnitPeriodMetrics
Retrieve the Day Count Fraction
DCFCalculator - Interface in org.drip.analytics.daycount
This interface is the stub for all the day count convention functionality.
DCNL_360 - Class in org.drip.analytics.daycount
This class implements the NL/360 day count convention.
DCNL_360() - Constructor for class org.drip.analytics.daycount.DCNL_360
Empty DCNL_360 constructor
DCNL_365 - Class in org.drip.analytics.daycount
This class implements the NL/365 day count convention.
DCNL_365() - Constructor for class org.drip.analytics.daycount.DCNL_365
Empty DCNL_365 constructor
DCNL_Act - Class in org.drip.analytics.daycount
This class implements the NL/Act day count convention.
DCNL_Act() - Constructor for class org.drip.analytics.daycount.DCNL_Act
Empty DCNL_Act constructor
dContinuousForwardDXInitial() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Initial D {Continuously Compounded Forward Rate} / DX
dContinuousForwardDXTerminal() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Terminal D {Continuously Compounded Forward Rate} / DX
DDMMMYYYY(int) - Static method in class org.drip.analytics.date.DateUtil
Create an DD/MMM/YYYY String from the Input Julian Integer
deactivate() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
Turn OFF the Objective Term Unit
dealer() - Method in class org.drip.exposure.mpor.TradePayment
Retrieve the Dealer Trade Payment
dealer() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized Dealer Senior Market Vertex
dealer() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
Retrieve the Dealer Close Out
dealerAccumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
Retrieve the Incremental Amount added to the Cash Account coming from Dealer Borrowing/Funding
dealerCollateralThreshold() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Dealer Collateral Threshold
dealerDefault(double, double) - Method in class org.drip.xva.definition.CloseOut
Retrieve the Close-out from the Exposure on Dealer Default
dealerDefault(double) - Method in class org.drip.xva.definition.CloseOut
Retrieve the Close-out from the Exposure on Dealer Default
dealerDefault(double, double) - Method in class org.drip.xva.definition.CloseOutBilateral
 
dealerDefaultCloseOut() - Method in class org.drip.xva.vertex.BurgardKjaer
Retrieve the Close Out on Dealer Default
dealerDefaultWindow() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Dealer Default Window
dealerHazardLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Dealer Hazard Label
dealerHazardLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
Retrieve the Dealer Hazard Label
dealerHazardLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Dealer Hazard Label
dealerHazardLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Dealer Hazard Label Map
dealerHazardLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Dealer Hazard Labels
dealerHazardLabelMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Dealer Hazard Label Map
dealerHazardRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Dealer Hazard Rate Evolver
dealerMarginDate() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Dealer Margin Date
DealerPortfolioBuilder(JulianDate, CollateralGroupVertexExposure, MarketEdge, CollateralGroupVertexCloseOut, BurgardKjaerExposure) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
Construct a Path-wise Dynamic Dealer Portfolio
dealerPostDefaultPositionValue(MarketVertex) - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Compute the Market Value of the Dealer Position Post-Default
dealerPostingRequirement(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Calculate the Margin Amount Required to be Posted by the Dealer
dealerPostingRequirement() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Dealer Posting Requirement
dealerPreDefaultPositionValue(MarketVertex) - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Compute the Market Value of the Dealer Position Pre-Default
dealerReplicationPortfolio() - Method in class org.drip.xva.vertex.BurgardKjaer
Retrieve the Dealer Replication Potrfolio Instance
dealerSeniorFunding() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
Retrieve the Dealer Senior Funding Primary Security
dealerSeniorFundingLabel() - Method in class org.drip.xva.proto.FundingGroupSpecification
Retrieve the Dealer Senior Funding Label
dealerSeniorFundingLabel() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Dealer Senior Funding Label
dealerSeniorFundingLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Dealer Senior Funding Label Map
dealerSeniorFundingLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Dealer Senior Funding Labels
dealerSeniorFundingRecovery() - Method in class org.drip.xva.definition.CloseOutBilateral
Retrieve the Dealer Senior Funding Recovery Rate
dealerSeniorNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Retrieve the Number of Dealer Senior Numeraire Holdings
dealerSeniorRecoveryLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Dealer Senior Recovery Label
dealerSeniorRecoveryLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
Retrieve the Dealer Senior Recovery Label
dealerSeniorRecoveryLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Dealer Senior Recovery Label
dealerSeniorRecoveryLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Dealer Senior Recovery Label Map
dealerSeniorRecoveryLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Dealer Senior Recovery Labels
dealerSeniorRecoveryLabelMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Dealer Senior Recovery Label Map
dealerSeniorRecoveryRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Dealer Senior Recovery Rate Evolver
dealerSubordinateFunding() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
Retrieve the Dealer Subordinate Funding Primary Security
dealerSubordinateFundingLabel() - Method in class org.drip.xva.proto.FundingGroupSpecification
Retrieve the Dealer Subordinate Funding Label
dealerSubordinateFundingLabel() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Dealer Subordinate Funding Label
dealerSubordinateFundingLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Dealer Subordinate Funding Label Map
dealerSubordinateFundingLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Dealer Subordinate Funding Labels
dealerSubordinateNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Retrieve the Number of Dealer Subordinate Numeraire Holdings
dealerSubordinateRecoveryLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Dealer Subordinate Recovery Label
dealerSubordinateRecoveryLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
Retrieve the Dealer Subordinate Recovery Label
dealerSubordinateRecoveryLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Dealer Subordinate Recovery Label
dealerSubordinateRecoveryLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Dealer Subordinate Recovery Label Map
dealerSubordinateRecoveryLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Dealer Subordinate Recovery Labels
dealerSubordinateRecoveryLabelMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Dealer Subordinate Recovery Label Map
dealerSubordinateRecoveryRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
Retrieve the Dealer Subordinate Recovery Rate Evolver
dealerThreshold(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Calculate the Dealer Margin Threshold
dealerThresholdFunction() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Collateral Group Dealer Threshold R^1 - R^1 Function
dealerTradePayment() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Last Dealer Trade Payment (Settlement) Date
dealerTradePaymentDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Retrieve the Dealer Trade Payment Delay
dealerVariationMarginPosting() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Last Dealer Variation Margin Posting (Observation) Date
dealerVariationMarginPostingDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
Retrieve the Dealer Variation Margin Posting Delay
dealerWindowMarginValue(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Calculate the Margin Value at the Dealer Default Window
dealerWindowMarginValue() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Margin Value at the Dealer Default Window
debias() - Method in class org.drip.measure.discrete.QuadraticResampler
Indicate if the Sampling Bias needs to be Removed
debt() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
Retrieve the Debt Exposure of the Collateral Group
debt() - Method in class org.drip.xva.vertex.AlbaneseAndersen
 
debt() - Method in class org.drip.xva.vertex.BurgardKjaer
 
debt() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
 
debtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
debtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
debtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Debt Adjustment
debtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Debt Adjustment
debtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
 
DEBUG - Static variable in class org.drip.analytics.support.Logger
Logger level DEBUG
decayVelocity() - Method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
Retrieve the Decay Velocity
DECEMBER - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - December
DecisionFunctionOperatorBounds - Class in org.drip.learning.svm
DecisionFunctionOperatorBounds implements the Dot Product Entropy Number Upper Bounds for the Product of Kernel Feature Map Function and the Scaling Diagonal Operator.
DecisionFunctionOperatorBounds(DiagonalScalingOperator, double, double, int) - Constructor for class org.drip.learning.svm.DecisionFunctionOperatorBounds
DecisionFunctionOperatorBounds Constructor
defaulted() - Method in class org.drip.product.credit.BondComponent
 
defaulted() - Method in class org.drip.product.definition.Bond
Indicate if the bond has defaulted
defaulted() - Method in class org.drip.product.params.TerminationSetting
Indicate if the contract has defaulted
defaultExposure() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve Default Exposure - Same as PV on instantaneous default
defaultExposureNoRec() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Default Exposure without recovery - Same as PV on instantaneous default without recovery
defaultSegmentBuilderControl() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
Retrieve the Default Segment Builder Parameters
Dehradun - Class in org.drip.sample.bondsink
Dehradun generates the Full Suite of Replication Metrics for the Sinker Bond Dehradun.
Dehradun() - Constructor for class org.drip.sample.bondsink.Dehradun
 
DelayedCollateralTransferInitiation(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Delayed Collateral Transfer Initiation CSA Event Date
Delhi - Class in org.drip.sample.bondmetrics
Delhi generates the Full Suite of Replication Metrics for a Sample Bond.
Delhi() - Constructor for class org.drip.sample.bondmetrics.Delhi
 
DelinquentAccountsLast2Years - Class in org.drip.assetbacked.borrower
DelinquentAccountsLast2Years contains the Total Number of Borrower Delinquent Accounts over the Last Two Years
DelinquentAccountsLast2Years(int) - Constructor for class org.drip.assetbacked.borrower.DelinquentAccountsLast2Years
DelinquentAccountsLast2Years Constructor
DeliverableSwapFutures - Class in org.drip.market.exchange
DeliverableSwapFutures contains the details of the exchange-traded Deliverable Swap Futures Contracts.
DeliverableSwapFutures(String, String, double, double, LastTradingDateSetting) - Constructor for class org.drip.market.exchange.DeliverableSwapFutures
DeliverableSwapFutures constructor
DeliverableSwapFuturesContainer - Class in org.drip.market.exchange
DeliverableSwapFuturesContainer holds the Deliverable Swap Futures Contracts.
DeliverableSwapFuturesContainer() - Constructor for class org.drip.market.exchange.DeliverableSwapFuturesContainer
 
deliveryMonths() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Delivery Months
deliveryMonths() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Array of Delivery Months
deliveryNotice() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
Retrieve the Delivery Notice Date
delocalize(double) - Method in class org.drip.spline.segment.LatentStateInelastic
Transform the Local Predictor Ordinate to the Segment Ordinate
delta() - Method in class org.drip.pricer.option.Greeks
The Option Delta
delta() - Method in class org.drip.simm.common.DeltaVegaThreshold
Retrieve the Delta Concentration Threshold
delta() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Delta Risk Measure Sensitivity Settings
delta() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
Retrieve the Credit Risk Class Delta Sensitivity Settings
delta() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
Retrieve the IR Risk Class Delta Sensitivity Settings
delta() - Method in class org.drip.simm.product.RiskClassSensitivity
Retrieve the Delta Risk Measure Sensitivity
delta() - Method in class org.drip.simm.product.RiskClassSensitivityCR
Retrieve the CR Delta Risk Measure Sensitivity
delta() - Method in class org.drip.simm.product.RiskClassSensitivityIR
Retrieve the IR Delta Tenor Sensitivity
DELTA_RISK_WEIGHT - Static variable in class org.drip.simm.fx.FXSystemics20
FX Risk Class Delta Risk Weight
DELTA_RISK_WEIGHT - Static variable in class org.drip.simm.fx.FXSystemics21
FX Risk Class Delta Risk Weight
deltaMargin() - Method in class org.drip.simm.margin.RiskClassAggregate
Retrieve the Delta Margin
deltaMargin() - Method in class org.drip.simm.margin.RiskClassAggregateCR
Retrieve the CR Delta SBA Margin
deltaMargin() - Method in class org.drip.simm.margin.RiskClassAggregateIR
Retrieve the Delta Margin
deltaRiskWeight() - Method in class org.drip.simm.commodity.CTBucket
Retrieve the SIMM Delta Risk Weight
deltaRiskWeight() - Method in class org.drip.simm.equity.EQBucket
Retrieve the Bucket Delta Risk Weight
deltaVega() - Method in class org.drip.simm.rates.IRThreshold
Retrieve the Delta Vega Concentration Threshold
DeltaVegaThreshold - Class in org.drip.simm.common
DeltaVegaThreshold holds the ISDA SIMM Delta/Vega Limits defined for the Concentration Thresholds.
DeltaVegaThreshold(double, double) - Constructor for class org.drip.simm.common.DeltaVegaThreshold
DeltaVegaThreshold Constructor
DeltaVegaThresholdMap() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
Retrieve the Delta Vega Threshold Map
DeltaVegaThresholdMap() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
Retrieve the Delta Vega Threshold Map
DeltaVegaThresholdMap() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
Retrieve the Delta Vega Threshold Map
DeltaVegaThresholdMap() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
Retrieve the Delta Vega Threshold Map
deltaX(int, int, double, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
Compute the X Increment
deltaY(int, int, double, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
Compute the Y Increment
DEMHoliday - Class in org.drip.analytics.holset
 
DEMHoliday() - Constructor for class org.drip.analytics.holset.DEMHoliday
 
Dengzhou - Class in org.drip.sample.bondeos
Dengzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dengzhou.
Dengzhou() - Constructor for class org.drip.sample.bondeos.Dengzhou
 
denomCcy() - Method in class org.drip.product.params.CurrencyPair
Get the denominator currency
denomination() - Method in class org.drip.portfolioconstruction.optimizer.Unit
Retrieve the Denomination of the Unit
denominationCurrency() - Method in class org.drip.product.params.NotionalSetting
Currency in which the Notional is specified
denormalizeImpact(double) - Method in class org.drip.execution.parameters.AssetFlowSettings
De-normalize the Specified Temporary/Permanent Impact
DENSE(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term, and uses 3M dense re-construction for the Swap Set.
denseExposure(double[]) - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
Generate the Dense (Complete) Segment Exposures
denseExposure(Map<Integer, Double>) - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
Generate the Dense (Complete) Segment Exposures
denseExposureTrajectoryUpdate(double[], double[]) - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
Generate the Dense (Complete) Segment Exposures
denseExposureTrajectoryUpdate(Map<Integer, Double>, Map<Integer, Double>) - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
Generate the Dense (Complete) Segment Exposures
denseTradePayment(int, int) - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
Retrieve the Dense Trade Payment Array across the Exposure Date Range
denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.FixedStreamMPoR
 
denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.FixFloatMPoR
 
denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.FloatStreamMPoR
 
denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.NumeraireMPoR
 
denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.PortfolioMPoR
 
denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.holdings.PositionGroupEstimator
 
denseTradePaymentArray(int, int, MarketPath) - Method in interface org.drip.exposure.mpor.VariationMarginTradePaymentVertex
Estimate the Dense Exposure Vertex Date Trade Payment on all Dates from the specified Start to End
denseTradePaymentArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
Retrieve the Dense Trade Payment Array
denseTradePaymentArray() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimate
Retrieve the Path-wise Dense Trade Payment Array
denseTradePaymentArray() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
Retrieve the Path-wise Dense Trade Payment Array
denseTrajectory(LocalVolatilityGenerationControl, double[][]) - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Generate the Dense Variation Margin Trajectory
denseVariationMargin(LocalVolatilityGenerationControl, double[][]) - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Generate the Path-wise Dense Variation Margin Array
density(double) - Method in class org.drip.measure.continuous.R1
Compute the Density under the Distribution at the given Variate
density(double[]) - Method in class org.drip.measure.continuous.R1Multivariate
Compute the Density under the Distribution at the given Multivariate
density(double, double) - Method in class org.drip.measure.continuous.R1R1
Compute the Density under the Distribution at the given Variate Pair
density(double[]) - Method in class org.drip.measure.continuous.Rd
Compute the Density under the Distribution at the given Variate Array
density(double[], double) - Method in class org.drip.measure.continuous.RdR1
Compute the Density under the Distribution at the given Variate Array/Variate
density(double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
 
density(double) - Method in class org.drip.measure.discrete.PoissonDistribution
 
Density(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
Retrieve the Density at the specified Point using Zero Mean and Unit Variance
density(double[]) - Method in class org.drip.measure.gaussian.R1MultivariateNormal
 
density(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
 
density(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
 
density(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
 
density(double) - Method in class org.drip.measure.lebesgue.R1Uniform
 
density(double[]) - Method in class org.drip.measure.lebesgue.RdUniform
 
densityDisplacement() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
Retrieve the Density Displacement
densityEvaluator() - Method in class org.drip.measure.dynamics.SingleJumpEvaluator
Retrieve the Jump Density Evaluator
densityRdToR1() - Method in class org.drip.measure.continuous.R1Multivariate
Convert the Multivariate Density into an RdToR1 Functions Instance
densityRescale(double) - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
Compute the No CSA/CSA Density Re-scaling using the Antonov and Arneguy (2009) Linear Proxy Approach
Deposit(JulianDate, JulianDate, ForwardLabel) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Create a Deposit Product from the Effective and the Maturity Dates, and the Forward Label
DepositClient - Class in org.drip.sample.service
DepositClient demonstrates the Invocation and Examination of the JSON-based Deposit Valuation Service Client.
DepositClient() - Constructor for class org.drip.sample.service.DepositClient
 
DepositComponentQuoteSet - Class in org.drip.product.calib
DepositComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Deposit Component.
DepositComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.DepositComponentQuoteSet
DepositComponentQuoteSet Constructor
DepositPeriods - Class in org.drip.sample.cashflow
DepositPeriods demonstrates the Cash Flow Period Details for a Deposit.
DepositPeriods() - Constructor for class org.drip.sample.cashflow.DepositPeriods
 
DepositProcessor - Class in org.drip.service.json
DepositProcessor Sets Up and Executes a JSON Based In/Out Deposit Valuation Processor.
DepositProcessor() - Constructor for class org.drip.service.json.DepositProcessor
 
depositQuote() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Deposit Instrument Quotes
depositTenor() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Deposit Instrument Maturity Tenors
DerivArrayFromSlope(int, double) - Static method in class org.drip.quant.common.CollectionUtil
Populate an array of derivatives using the input slope (and setting the other to zero)
derivative(double, int) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
 
derivative(double, int) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
 
derivative(double, int) - Method in class org.drip.execution.athl.TemporaryImpact
 
derivative(double, int) - Method in class org.drip.execution.impact.ParticipationRateLinear
 
derivative(double, int) - Method in class org.drip.execution.impact.ParticipationRatePower
 
derivative(double, int) - Method in class org.drip.function.definition.R1ToR1
Calculate the derivative as a double
derivative(double, int) - Method in class org.drip.function.definition.R1ToRd
Calculate the Derivative Array as a double
derivative(double[], int, int) - Method in class org.drip.function.definition.RdToR1
Calculate the derivative as a double
derivative(double[], int, int) - Method in class org.drip.function.definition.RdToRd
Calculate the Derivative Array as a double
derivative(double, int) - Method in class org.drip.function.r1tor1.ExponentialDecay
 
derivative(double, int) - Method in class org.drip.function.r1tor1.ExponentialTension
 
derivative(double, int) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
 
derivative(double, int) - Method in class org.drip.function.r1tor1.HyperbolicTension
 
derivative(double, int) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
 
derivative(double, int) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
 
derivative(double, int) - Method in class org.drip.function.r1tor1.OffsetIdempotent
 
derivative(double, int) - Method in class org.drip.function.r1tor1.Polynomial
 
derivative(double, int) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
 
derivative(double, int) - Method in class org.drip.function.r1tor1.UnivariateConvolution
 
derivative(double, int) - Method in class org.drip.function.r1tor1.UnivariateReflection
 
derivative(double[], int, int) - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
 
derivative(double, int) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
 
derivative(double, int) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
 
derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
 
derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
 
derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
 
derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
 
derivative(double, int) - Method in class org.drip.spline.bspline.LeftHatShapeControl
 
derivative(double, int) - Method in class org.drip.spline.bspline.RightHatShapeControl
 
derivative(double, int) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
 
derivative(double, int) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
 
derivative(double, int) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
 
derivative(double, int) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
 
DerivativeControl - Class in org.drip.quant.calculus
DerivativeControl provides bumps needed for numerically approximating derivatives.
DerivativeControl() - Constructor for class org.drip.quant.calculus.DerivativeControl
Empty DerivativeControl constructor
DerivativeControl(double) - Constructor for class org.drip.quant.calculus.DerivativeControl
DerivativeControl constructor
derivativeExpectation(double, int) - Method in interface org.drip.measure.stochastic.R1R1ToR1
Evaluate the Derivative Expectation at the given variate
derivativeFairValue() - Method in class org.drip.xva.derivative.PositionGreekVertex
Retrieve the Derivative De-XVA "Fair" Value
derivativeInfusion(double) - Method in class org.drip.xva.definition.SimpleBalanceSheet
Generate the Updated Balance Sheet resulting from a Derivative Value Infusion
derivativeOrder() - Method in class org.drip.spline.params.SegmentFlexurePenaltyControl
Retrieve the Derivative Order
derivativeRealization(double, int) - Method in interface org.drip.measure.stochastic.R1R1ToR1
Evaluate the Derivative for a Single Realization for the given variate
derivativeXVA() - Method in class org.drip.xva.derivative.PositionGreekVertex
Retrieve the Derivative XVA Adjustment
derivativeXVAClientDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
Retrieve the Client Default Component of the Derivative XVA Value Growth
derivativeXVAClientDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
Retrieve the Client Default Component of the Derivative XVA Value Growth
derivativeXVACollateralGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Retrieve the Collateral Component of the Derivative XVA Value Growth
derivativeXVADealerDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
Retrieve the Dealer Default Component of the Derivative XVA Value Growth
derivativeXVADealerDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
Retrieve the Dealer Default Component of the Derivative XVA Value Growth
derivativeXVAEarlyTerminationGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
Retrieve the Early Termination Component of the Derivative XVA Value Growth
derivativeXVAFundingGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
Retrieve the Funding Component of the Derivative XVA Value Growth
derivativeXVAFundingGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
Retrieve the Funding Component of the Derivative XVA Value Growth
derivativeXVAHedgeErrorGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
Retrieve the Hedge Error Component of the Derivative XVA Value Growth
derivativeXVAStochasticGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Retrieve the Stochastic Component of the Derivative XVA Value Growth
derivativeXVAStochasticGrowthDown() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Retrieve the Stochastic Down Component of the Derivative XVA Value
derivativeXVAStochasticGrowthUp() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Retrieve the Stochastic Up Component of the Derivative XVA Value
derivativeXVAValue() - Method in class org.drip.xva.derivative.PositionGreekVertex
Retrieve the Derivative XVA Value
derivativeXVAValueDelta() - Method in class org.drip.xva.derivative.PositionGreekVertex
Retrieve the Derivative XVA Value Delta
derivativeXVAValueEdge() - Method in class org.drip.xva.derivative.CashAccountRebalancer
Retrieve the Derivative XVA Value Increment
derivativeXVAValueGamma() - Method in class org.drip.xva.derivative.PositionGreekVertex
Retrieve the Derivative XVA Value Gamma
derived() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
Retrieve the Derived R^1 Ornstein-Uhlenbeck Evaluator
derivedComponent() - Method in class org.drip.product.fx.ComponentPair
Retrieve the Derived Component
derivedCompoundedToReference() - Method in class org.drip.market.otc.FloatFloatSwapConvention
Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference Period
derivedConvention() - Method in class org.drip.market.otc.CrossFloatSwapConvention
Retrieve the Derived Convention
derivedForwardSpec(ValuationParams, CurveSurfaceQuoteContainer, double, boolean, boolean) - Method in class org.drip.product.fx.ComponentPair
Generate the Derived Forward Latent State Segment Specification
DerivedForwardState - Class in org.drip.template.state
DerivedForwardState sets up the Calibration of the Derived Forward Latent State and examine the Emitted Metrics.
DerivedForwardState() - Constructor for class org.drip.template.state.DerivedForwardState
 
DerivedForwardStateShifted - Class in org.drip.template.statebump
DerivedForwardStateShifted demonstrates the Generation of Tenor-bumped Derived Forward State.
DerivedForwardStateShifted() - Constructor for class org.drip.template.statebump.DerivedForwardStateShifted
 
derivedFundingForwardSpec(ValuationParams, CurveSurfaceQuoteContainer, double, boolean, double) - Method in class org.drip.product.fx.ComponentPair
Generate the Derived Funding/Forward Merged Latent State Segment Specification
derivedIndex() - Method in class org.drip.state.basis.BasisCurve
 
derivedIndex() - Method in interface org.drip.state.basis.BasisEstimator
Retrieve the Derived Index
derivedParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
Retrieve the Derived Par Basis Spread
derivedParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
Retrieve the Derived Par Basis Spread
derivedStream() - Method in class org.drip.product.rates.DualStreamComponent
Retrieve the Derived Stream
derivedStream() - Method in class org.drip.product.rates.FixFloatComponent
 
derivedStream() - Method in class org.drip.product.rates.FloatFloatComponent
 
DerivedZeroRate - Class in org.drip.state.curve
DerivedZeroRate implements the delegated ZeroCurve functionality.
descendingNodeArray(double[], int) - Method in class org.drip.spaces.big.BinaryTree
Build a Consolidated Descending Array of all the Constituent Nodes
descendingNodeList(List<Double>) - Method in class org.drip.spaces.big.BinaryTree
Build a Consolidated Descending List of all the Constituent Nodes
descendingNodeList() - Method in class org.drip.spaces.big.BinaryTree
Build a Consolidated Descending List of all the Constituent Nodes
description() - Method in class org.drip.analytics.eventday.Base
Return the description
description() - Method in class org.drip.optimization.necessary.ConditionQualifier
Retrieve the Condition Qualifier Description
description() - Method in class org.drip.optimization.regularity.ConstraintQualifier
Retrieve the Constraint Qualifier Description
description() - Method in class org.drip.portfolioconstruction.core.Block
Retrieve the Description
description() - Method in class org.drip.simm.fx.FXRiskGroup
Retrieve the FX Risk Group Description
description() - Method in class org.drip.xva.basel.ValueCategory
Retrieve the Category Description
designControl() - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Segment Inelastic Design Control
destination() - Method in class org.drip.spaces.graph.Edge
Retrieve the Destination Vertex
deterministic() - Method in class org.drip.execution.evolution.MarketImpactComposite
Retrieve the Deterministic Impact Component Instance
deterministic() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Deterministic Component
DeterministicCollateralChoiceDiscountCurve - Class in org.drip.state.curve
DeterministicCollateralChoiceDiscountCurve implements the Dynamically Switchable Collateral Choice Discount Curve among the choice of provided "deterministic" collateral curves.
DeterministicCollateralChoiceDiscountCurve(MergedDiscountForwardCurve, ForeignCollateralizedDiscountCurve[], int) - Constructor for class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
DeterministicCollateralChoiceDiscountCurve constructor
DeterministicCollateralChoiceZeroCoupon - Class in org.drip.sample.piterbarg2012
DeterministicCollateralChoiceZeroCoupon contains an analysis of the impact on the single cash flow discount factor of a Zero Coupon collateralized using a deterministic choice of collateral.
DeterministicCollateralChoiceZeroCoupon() - Constructor for class org.drip.sample.piterbarg2012.DeterministicCollateralChoiceZeroCoupon
 
DeterministicCoordinatedVariation(double, CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
Construct a Arithmetic Price Evolution Parameters from a Deterministic Coordinated Variation Instance
DeterministicVolBlackScholes - Class in org.drip.sample.option
DeterministicVolBlackScholes contains an illustration of the Black Scholes based European Call and Put Options Pricer that uses deterministic Volatility Function.
DeterministicVolBlackScholes() - Constructor for class org.drip.sample.option.DeterministicVolBlackScholes
 
DeterministicVolTermStructure - Class in org.drip.sample.option
DeterministicVolatilityTermStructure contains an illustration of the Calibration and Extraction of the Implied and the Deterministic Volatility Term Structures.
DeterministicVolTermStructure() - Constructor for class org.drip.sample.option.DeterministicVolTermStructure
 
DEVELOPED_COUNTRIES - Static variable in class org.drip.simm.equity.RegionSystemics
Array of Developed Countries
DEVELOPED_MARKETS - Static variable in class org.drip.simm.equity.RegionSystemics
The "Developed Markets" Region
deviationProbabilityUpperBound(int, double) - Method in class org.drip.learning.bound.CoveringNumberLossBound
Compute the Upper Bound of the Probability of the Absolute Deviation between the Empirical and the Population Means
Dewas - Class in org.drip.sample.bondmetrics
Dewas demonstrates the Analytics Calculation/Reconciliation for the Floater Dewas.
Dewas() - Constructor for class org.drip.sample.bondmetrics.Dewas
 
Dezhou - Class in org.drip.sample.bondeos
Dezhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dezhou.
Dezhou() - Constructor for class org.drip.sample.bondeos.Dezhou
 
df(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Coupon Period Discount Factor
df() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal DF
df() - Method in class org.drip.pricer.option.Greeks
The Option Terminal Discount Factor
df(int) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
df(JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
df(String) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
df(int) - Method in class org.drip.state.curve.DerivedZeroRate
 
df(String) - Method in class org.drip.state.curve.DerivedZeroRate
 
df(JulianDate) - Method in class org.drip.state.curve.DerivedZeroRate
 
df(int) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
df(int) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
df(int) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
df(int) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
df(int) - Method in interface org.drip.state.discount.DiscountFactorEstimator
Calculate the Discount Factor to the given Date
df(JulianDate) - Method in interface org.drip.state.discount.DiscountFactorEstimator
Calculate the discount factor to the given date
df(String) - Method in interface org.drip.state.discount.DiscountFactorEstimator
Calculate the Discount Factor to the given Tenor
df(JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
df(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
df(int) - Method in class org.drip.state.govvie.GovvieCurve
 
df(JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
 
df(String) - Method in class org.drip.state.govvie.GovvieCurve
 
df(int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
DF2Yield(int, double, double) - Static method in class org.drip.analytics.support.Helper
Calculate the yield from the specified discount factor to the given time.
DFRateShapePreserver(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], double, boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
DGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
DGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the DGB Benchmark Bond Series.
DGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.DGBBenchmarkAttribution
 
DGBReconstitutor - Class in org.drip.sample.treasuryfeed
DGBReconstitutor demonstrates the Cleansing and Re-constitution of the DGB Yield Marks obtained from Historical Yield Curve Prints.
DGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.DGBReconstitutor
 
Dhanbad - Class in org.drip.sample.bondeos
Dhanbad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dhanbad.
Dhanbad() - Constructor for class org.drip.sample.bondeos.Dhanbad
 
Dhule - Class in org.drip.sample.securitysuite
Dhule generates the Full Suite of Replication Metrics for Bond Dhule.
Dhule() - Constructor for class org.drip.sample.securitysuite.Dhule
 
DiagonalizeRow(int, double[][], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Diagonalize the specified row in the source matrix, and apply comparable operations to the target
diagonallyScaledFeatureSpace(DiagonalScalingOperator) - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
Generate the Diagonally Scaled Normed Vector Space of the RKHS Feature Space Bounds that results on applying the Diagonal Scaling Operator
DiagonalOperatorCoveringBound - Class in org.drip.learning.bound
DiagonalOperatorCoveringBound implements the Behavior of the Bound on the Covering Number of the Diagonal Scaling Operator.
DiagonalOperatorCoveringBound(int, double) - Constructor for class org.drip.learning.bound.DiagonalOperatorCoveringBound
DiagonalOperatorCoveringBound Constructor
DiagonalScalingOperator - Class in org.drip.learning.kernel
DiagonalScalingOperator implements the Scaling Operator that is used to determine the Bounds of the R^x L2 To R^x L2 Kernel Linear Integral Operator defined by: T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]} The References are: 1) Ash, R.
DiagonalScalingOperator(double[]) - Constructor for class org.drip.learning.kernel.DiagonalScalingOperator
DiagonalScalingOperator Constructor
differenceMetric() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Map of Difference Metrics
DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Regular Bucket
DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Regular Bucket
DIFFERENT_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Residual Bucket
DIFFERENT_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Residual Bucket
differential(double, double, int) - Method in class org.drip.function.definition.R1ToR1
Calculate the Differential
differential(double, int) - Method in class org.drip.function.definition.R1ToR1
Calculate the Differential
differential(double, int) - Method in class org.drip.function.definition.R1ToRd
Calculate the Array of Differentials
differential(double[], int, int) - Method in class org.drip.function.definition.RdToR1
Calculate the Differential
differential(double[], int, int) - Method in class org.drip.function.definition.RdToRd
Calculate the Array of Differentials
differential(double, double, int) - Method in class org.drip.function.r1tor1.FlatUnivariate
 
Differential - Class in org.drip.quant.calculus
Differential holds the incremental differentials for the variate and the objective function.
Differential(double, double) - Constructor for class org.drip.quant.calculus.Differential
Differential constructor
Diffusion(double[], double[]) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Generate an Array of R^1 Diffusion Realizations
diffusion() - Method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Retrieve the Diffusion Unit Random Variable
DiffusionEvaluator - Class in org.drip.measure.dynamics
DiffusionEvaluator implements the Drift/Volatility Evaluators for R^1 Random Diffusion Process.
DiffusionEvaluator(LocalEvaluator, LocalEvaluator) - Constructor for class org.drip.measure.dynamics.DiffusionEvaluator
DiffusionEvaluator Constructor
DiffusionEvaluatorLinear - Class in org.drip.measure.dynamics
DiffusionEvaluatorLinear implements the Linear Drift and Volatility Evaluators for R^1 Random Diffusion Process.
DiffusionEvaluatorLogarithmic - Class in org.drip.measure.dynamics
DiffusionEvaluatorLogarithmic evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R^1 Logarithmic Process.
DiffusionEvaluatorMeanReversion - Class in org.drip.measure.dynamics
DiffusionEvaluatorMeanReversion evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R^1 Mean Reversion Process.
DiffusionEvaluatorOrnsteinUhlenbeck - Class in org.drip.measure.dynamics
DiffusionEvaluatorOrnsteinUhlenbeck evaluates the Drift/Volatility of the Diffusion Random Variable Evolution according to R^1 Ornstein Uhlenbeck Process.
DiffusionEvolver - Class in org.drip.measure.process
DiffusionEvolver implements the Functionality that guides the Single Factor R^1 Diffusion Random Process Variable Evolution.
DiffusionEvolver(DiffusionEvaluator) - Constructor for class org.drip.measure.process.DiffusionEvolver
DiffusionEvolver Constructor
diffusionEvolver() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Retrieve the Diffusion Evolver
diffusionStochastic() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Diffusion Stochastic Component
diffusionWander() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Diffusion Wander Realization
DIFutures - Class in org.drip.sample.forwardratefutures
DIFutures contains the demonstration of the construction and the Valuation of the DI Futures Contract.
DIFutures() - Constructor for class org.drip.sample.forwardratefutures.DIFutures
 
digest() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Generate the "Digest" containing the "Thin" Path Statistics
Dijkstra - Class in org.drip.sample.graph
Dijkstra illustrates the Execution of the Dijkstra Algorithm.
Dijkstra() - Constructor for class org.drip.sample.graph.Dijkstra
 
Dijkstra(Topography, String) - Static method in class org.drip.spaces.graph.ShortestPathFirstWengert
Generate a ShortestPathFirstWengert from the Topography and the Source using the Dijkstra Scheme
DijkstraScheme - Class in org.drip.spaces.graph
DijkstraScheme implements the Dijkstra Algorithm for finding the Shortest Path between a Pair of Vertexes in a Graph.
DijkstraScheme(Topography) - Constructor for class org.drip.spaces.graph.DijkstraScheme
DijkstraScheme Constructor
dimension() - Method in class org.drip.function.definition.RdToR1
Retrieve the Dimension of the Input Variate
dimension() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
dimension() - Method in class org.drip.function.rdtor1.AffineMultivariate
 
dimension() - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
Retrieve the Input Variate Dimension
dimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
 
dimension() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
Retrieve the Input Variate Dimension
dimension() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
Retrieve the Constraint Dimension
dimension() - Method in class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
Retrieve the Dimension
dimension() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
 
dimension() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
 
dimension() - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
 
dimension() - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
 
dimension() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
 
dimension() - Method in class org.drip.sequence.custom.LongestCommonSubsequence
 
dimension() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
 
dimension() - Method in class org.drip.sequence.functional.FlatMultivariateRandom
 
dimension() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
Retrieve the Dimension
dimension() - Method in class org.drip.spaces.tensor.RdAggregate
 
dimension() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
Retrieve the Dimension of the Space
dimension() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Calibration Instrument Dimension
dimension() - Method in class org.drip.state.sequence.PathRd
Retrieve the R^d Dimension
dimension() - Method in class org.drip.state.sequence.PathVertexRd
Retrieve the Latent State Dimension
DIMENSION_NOT_FIXED - Static variable in class org.drip.function.definition.RdToR1
 
dimExpiry() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Date In Month Expiry Settings
Dingzhou - Class in org.drip.sample.bondeos
Dingzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dingzhou.
Dingzhou() - Constructor for class org.drip.sample.bondeos.Dingzhou
 
direction() - Method in class org.drip.function.definition.SizedVector
Retrieve the Unit Direction Vector
directionalIncrement(double[], double) - Method in class org.drip.function.definition.UnitVector
Compute the Directional Increment along the Vector
dirty1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Dirty PnL
dirty1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Dirty PnL With Fixing
Discount(MergedDiscountForwardCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
Create a Market Parameters instance with the Funding Curve alone
DISCOUNT_QM_COMPOUNDED_SHORT_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Discount Latent State Quantification Metric - Compounded Short Rate
DISCOUNT_QM_DISCOUNT_FACTOR - Static variable in class org.drip.analytics.definition.LatentStateStatic
Discount Latent State Quantification Metric - Discount Factor
DISCOUNT_QM_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Discount Latent State Quantification Metric - Forward Rate
DISCOUNT_QM_ZERO_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Discount Latent State Quantification Metric - Zero Rate
discountCurve() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the Discount Factor Curve
discountCurve() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Discount Curve Instance
DiscountCurve - Class in org.drip.state.discount
DiscountCurve Interface combines the Interfaces of Latent State Curve Representation and Discount Factor Estimator.
DiscountCurve() - Constructor for class org.drip.state.discount.DiscountCurve
 
DiscountCurve(ValuationParams, Component[], double[], String[], double, boolean, ExplicitBootDiscountCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
Boot-strap a Discount Curve from the set of calibration components
discountCurveBasis(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent
Calculate the basis to either the numerator or the denominator discount curve
DiscountCurveFromRatesInstruments() - Static method in class org.drip.sample.funding.NonlinearCurveMeasures
 
discountCurveIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the Discount Factor Discount Curve Increment
DiscountCurveInputInstrument - Class in org.drip.service.api
DiscountCuveInputInstrument contains the input instruments and their quotes.
DiscountCurveInputInstrument(JulianDate, List<String>, List<Double>, List<String>, List<Double>, List<String>, List<Double>) - Constructor for class org.drip.service.api.DiscountCurveInputInstrument
DiscountCurveInputInstrument constructor
DiscountCurveJacobianRegressorSet - Class in org.drip.regression.curvejacobian
DiscountCurveJacobianRegressorSet implements the regression analysis for the full discount curve (built from cash/future/swap) Sensitivity Jacobians.
DiscountCurveJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet
 
DiscountCurveNode(ValuationParams, Component, double, String, boolean, int, ExplicitBootDiscountCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
Calibrate a Single Discount Curve Segment from the corresponding Component
DiscountCurveRegressor - Class in org.drip.regression.curve
DiscountCurveRegressor implements the regression set analysis for the Discount Curve.
DiscountCurveRegressor() - Constructor for class org.drip.regression.curve.DiscountCurveRegressor
Do Nothing DiscountCurveRegressor constructor
DiscountCurveScenario - Class in org.drip.state.boot
DiscountCurveScenario uses the interest rate calibration instruments along with the component calibrator to produce scenario interest rate curves.
DiscountCurveScenario() - Constructor for class org.drip.state.boot.DiscountCurveScenario
 
DiscountCurveScenarioContainer - Class in org.drip.param.market
DiscountCurveScenarioContainer implements the RatesScenarioCurve abstract class that exposes the interface the constructs scenario discount curves.
DiscountCurveScenarioContainer(CalibratableComponent[]) - Constructor for class org.drip.param.market.DiscountCurveScenarioContainer
Constructs an DiscountCurveScenarioContainer instance from the corresponding DiscountCurveScenarioGenerator
discountFactor() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Discount Factor
discountFactor() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Discount Factor
discountFactor() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Discount Factor
DiscountFactorDiscountCurve - Class in org.drip.state.curve
DiscountFactorDiscountCurve manages the Discounting Latent State, using the Discount Factor as the State Response Representation.
DiscountFactorDiscountCurve(String, Span) - Constructor for class org.drip.state.curve.DiscountFactorDiscountCurve
DiscountFactorDiscountCurve constructor
DiscountFactorEstimator - Interface in org.drip.state.discount
DiscountFactorEstimator is the interface that exposes the calculation of the Discount Factor for a specific Sovereign/Jurisdiction Span.
discountFactorFundingLoading(FundingLabel) - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State
discountFactorIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Discount Factor Increment
discountFactorIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Discount Factor Increment
discountFactorIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Discount Factor Increment
discountFactorIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor Discount Factor Increments
discountFactors() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor Discount Factors
DiscountForward(MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
Create a Market Parameters instance with the Funding Curve and the forward Curve
discountFunctionValue(int, boolean) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
Retrieve a Realized/Expected Value of the Discount to the Target Date
discountMargin() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Discount Margin
discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from ASW to Work-out
discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from ASW to Maturity
discountMarginFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from ASW to Optimal Exercise
discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Bond Basis to Work-out
discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Bond Basis to Maturity
discountMarginFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Bond Basis to Optimal Exercise
discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Credit Basis to Work-out
discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Credit Basis to Maturity
discountMarginFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Credit Basis to Optimal Exercise
discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from E Spread to Work-out
discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from E Spread to Maturity
discountMarginFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from E Spread to Optimal Exercise
discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from G Spread to Work-out
discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from G Spread to Maturity
discountMarginFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from G Spread to Optimal Exercise
discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from I Spread to Work-out
discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from I Spread to Maturity
discountMarginFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from I Spread to Optimal Exercise
discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from J Spread to Work-out
discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from J Spread to Maturity
discountMarginFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from J Spread to Optimal Exercise
discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from N Spread to Work-out
discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from N Spread to Maturity
discountMarginFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from N Spread to Optimal Exercise
discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from OAS to Work-out
discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from OAS to Maturity
discountMarginFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from OAS to Optimal Exercise
discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from PECS to Work-out
discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from PECS to Maturity
discountMarginFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from PECS to Optimal Exercise
discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Price to Work-out
discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Price to Maturity
discountMarginFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Price to Optimal Exercise
discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from TSY Spread to Work-out
discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from TSY Spread to Maturity
discountMarginFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from TSY Spread to Optimal Exercise
discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Yield to Work-out
discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Yield to Maturity
discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Yield Spread to Work-out
discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Yield Spread to Maturity
discountMarginFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Yield Spread to Optimal Exercise
discountMarginFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Yield to Optimal Exercise
discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Z Spread to Work-out
discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Z Spread to Maturity
discountMarginFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
discountMarginFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Discount Margin from Z Spread to Optimal Exercise
DiscountRate - Class in org.drip.portfolioconstruction.alm
DiscountRate holds the Cash Flow Discount Rate Parameters for each Type, i.e., Discount Rates for Working Age Income, Pension Benefits, and Basic Consumption.
DiscountRate(double, double, double, double) - Constructor for class org.drip.portfolioconstruction.alm.DiscountRate
DiscountRate Constructor
DiscreteAlmgrenChriss - Class in org.drip.execution.nonadaptive
DiscreteAlmgrenChriss generates the Trade/Holdings List of Optimal Execution Schedule for the Equally Spaced Trading Intervals based on the No-Drift Linear Impact Evolution Walk Parameters specified.
DiscreteAlmgrenChrissDrift - Class in org.drip.execution.nonadaptive
DiscreteAlmgrenChrissDrift generates the Trade/Holdings List of Optimal Execution Schedule for the Equally Spaced Trading Intervals based on the Linear Impact Evolution Walk Parameters with Drift specified.
discreteCompounding() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
Retrieve the Discrete Compounding Flag
DiscreteLinearTradingEnhanced - Class in org.drip.execution.nonadaptive
DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003) Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility.
DiscretelyCompoundedFlatRate(JulianDate, String, double, String, int) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create a Discount Curve from the Discretely Compounded Flat Rate
DiscreteTradingTrajectory - Class in org.drip.execution.strategy
DiscreteTradingTrajectory holds the Trajectory of a Trading Block that is to be executed over a Discrete Time Set.
DiscreteTradingTrajectory(double[], double[], double[]) - Constructor for class org.drip.execution.strategy.DiscreteTradingTrajectory
DiscreteTradingTrajectory Constructor
DiscreteTradingTrajectoryControl - Class in org.drip.execution.strategy
DiscreteTradingTrajectoryControl holds the Time Trajectory Control Settings of a Trading Block that is to be executed over a Discrete Time Sequence.
DiscreteTradingTrajectoryControl(double, double[]) - Constructor for class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
DiscreteTradingTrajectoryControl Constructor
discretizationScheme() - Method in class org.drip.param.pricer.CreditPricerParams
Retrieve the Discretization Scheme
display() - Method in class org.drip.optimization.necessary.ConditionQualifier
Convert the Condition Qualifier into a Display String
display() - Method in class org.drip.optimization.regularity.ConstraintQualifier
Convert the Constraint Qualifier into a Display String
display() - Method in class org.drip.quant.fourier.ComplexNumber
Display the Real/Imaginary Contents
display() - Method in class org.drip.service.api.CDXCOB
Display the CDXCOB Content
display() - Method in class org.drip.service.scenario.BondReplicationRun
Display the Measures
display(String) - Method in class org.drip.spline.params.SegmentResponseValueConstraint
 
displayString() - Method in class org.drip.function.r1tor1solver.BracketingOutput
 
displayString() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Return a string form of the Initializer output
displayString() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Return a string form of the root finder output
displayString() - Method in class org.drip.quant.calculus.WengertJacobian
Stringifies the contents of WengertJacobian
displayString(boolean) - Method in class org.drip.regression.core.RegressionRunOutput
Print the contents of the regression output
displayString(String) - Method in class org.drip.regression.core.UnitRegressionStat
Return the string version of the statistics
displayString() - Method in class org.drip.spline.grid.AggregatedSpan
 
displayString() - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
displayString() - Method in interface org.drip.spline.grid.Span
Display the Span Edge Coordinates
displayString() - Method in class org.drip.spline.segment.LatentStateResponseModel
Display the string representation for diagnostic purposes
displayString() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
displayString() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Display the Segments
displayString(String) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Display the Constraints and the corresponding Weights
displayString(String) - Method in class org.drip.state.representation.LatentStateSpecification
Display the Latent State Details
distribution() - Method in class org.drip.measure.bayesian.ProjectionDistributionLoading
Retrieve the Projection Distribution
DIStylePriceFromRate(double, int, int, String) - Static method in class org.drip.analytics.support.Helper
Compute the DI-Style Price given the Rate
DIStyleRateFromPrice(double, int, int, String) - Static method in class org.drip.analytics.support.Helper
Compute the DI-Style Rate given the Price
Divide(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Divide the Numerator Complex Number by the Denominator
dividendRate() - Method in class org.drip.exposure.evolver.Equity
Retrieve the Equity Dividend Rate
DKK - Class in org.drip.template.irs
DKK contains a Templated Pricing of the OTC Fix-Float DKK IRS Instrument.
DKK() - Constructor for class org.drip.template.irs.DKK
 
DKK3M6MUSD3M6M - Class in org.drip.sample.dual
DKK3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from DKK3M6MUSD3M6M CCBS, DKK 3M, DKK 6M, and USD 6M Quotes.
DKK3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.DKK3M6MUSD3M6M
 
DKKHoliday - Class in org.drip.analytics.holset
 
DKKHoliday() - Constructor for class org.drip.analytics.holset.DKKHoliday
 
DKKIRSAttribution - Class in org.drip.sample.fixfloatpnl
DKKIRSAttribution generates the Historical PnL Attribution for DKK IRS.
DKKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.DKKIRSAttribution
 
DKKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
DKKShapePreserving1YStart Generates the Historical DKK Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
DKKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.DKKShapePreserving1YStart
 
DKKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
DKKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the DKK Input Marks.
DKKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.DKKShapePreservingReconstitutor
 
DomesticCollateralForeignForex - Class in org.drip.sample.piterbarg2012
DomesticCollateralForeignForex demonstrates the construction and the usage of Domestic Currency Collateralized Foreign Pay-out FX forward product, and the generation of its measures.
DomesticCollateralForeignForex() - Constructor for class org.drip.sample.piterbarg2012.DomesticCollateralForeignForex
 
DomesticCollateralForeignForexAnalysis - Class in org.drip.sample.piterbarg2012
DomesticCollateralForeignForexAnalysis contains an analysis of the correlation and volatility impact on the price of a Domestic Collateralized ForeignPay-out Forex Contract.
DomesticCollateralForeignForexAnalysis() - Constructor for class org.drip.sample.piterbarg2012.DomesticCollateralForeignForexAnalysis
 
DomesticCollateralizedForeignForward - Class in org.drip.product.fx
DomesticCollateralizedForeignForward contains the Domestic Currency Collateralized Foreign Payout FX forward product contract details.
DomesticCollateralizedForeignForward(CurrencyPair, double, JulianDate) - Constructor for class org.drip.product.fx.DomesticCollateralizedForeignForward
Create an DomesticCollateralizedForeignForward from the currency pair, the strike, and the maturity dates
done(double, double, double, double, double) - Method in class org.drip.function.r1tor1solver.BracketingOutput
Set the brackets in the output object
done(double) - Method in class org.drip.function.r1tor1solver.ConvergenceOutput
Indicate that the initialization is completed
done() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
 
Dongguan - Class in org.drip.sample.bondeos
Dongguan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dongguan.
Dongguan() - Constructor for class org.drip.sample.bondeos.Dongguan
 
Dongying - Class in org.drip.sample.bondeos
Dongying demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Dongying.
Dongying() - Constructor for class org.drip.sample.bondeos.Dongying
 
DOPHoliday - Class in org.drip.analytics.holset
 
DOPHoliday() - Constructor for class org.drip.analytics.holset.DOPHoliday
 
DotProduct(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Dot Product of Vectors A and E
doubleArrayAtColumn(int, double) - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Array of Double Values corresponding to the specified Column Index
doubleArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Array of Double Values corresponding to the specified Column Index
DoubleArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a Double Array
DoubleEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a Double
doubleMap(double) - Method in class org.drip.feed.loader.CSVGrid
Construct a Historical Map of Scaled/Keyed Double
downNodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the "Down" Node Metrics
drift() - Method in class org.drip.execution.athl.TransactionSignal
Retrieve the Drift of the Transaction Signal
drift() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
Retrieve the Asset Annual Logarithmic Drift
drift() - Method in class org.drip.measure.dynamics.DiffusionEvaluator
Retrieve the Drift Evaluator
driftExpectationEstimate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Drift Expectation Estimate
driftGainUpperBound() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
Retrieve the Gain Upper Bound induced by the Drift
driftLDEV() - Method in class org.drip.measure.joint.Evolver
Retrieve the Array of the LDEV Drift Functions of the Individual Marginal Processes
driftValue() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorLinear
Retrieve the Linear Drift Value
driftValue() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic
Retrieve the Logarithmic Drift Value
driftVolatilityEstimate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Drift Volatility Estimate
DRIP_COMPUTE_ENGINE_PORT - Static variable in class org.drip.service.engine.ComputeServer
The DRIP compute Service Engine Port
dripVersion() - Method in class org.drip.service.env.BuildRecord
Retrieve the DRIP Build Version
DTFHoliday - Class in org.drip.analytics.holset
 
DTFHoliday() - Constructor for class org.drip.analytics.holset.DTFHoliday
 
DTIExMortgage - Class in org.drip.assetbacked.borrower
DTIExMortgage contains the Borrower's current ex-of-mortgage Debt-to-Income Ratio.
DTIExMortgage(double) - Constructor for class org.drip.assetbacked.borrower.DTIExMortgage
DTIExMortgage Constructor
DU1 - Class in org.drip.sample.treasuryfuturesapi
DU1 demonstrates the Invocation and Examination of the DU1 2Y SCHATZ DBR Treasury Futures.
DU1() - Constructor for class org.drip.sample.treasuryfuturesapi.DU1
 
DU1Attribution - Class in org.drip.sample.treasuryfuturespnl
DU1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the DU1 Series.
DU1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.DU1Attribution
 
DU1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
DU1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated DU1 Closes Feed.
DU1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.DU1ClosesReconstitutor
 
DU1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
DU1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the DU1 Treasury Futures.
DU1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.DU1KeyRateDuration
 
DualConstrainedEllipsoidVariance - Class in org.drip.sample.semidefinite
DualConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing the Variance Across The Specified Ellipsoid under both Normalization and first Moment Constraints.
DualConstrainedEllipsoidVariance() - Constructor for class org.drip.sample.semidefinite.DualConstrainedEllipsoidVariance
 
DualConstrainedVariateConvergence - Class in org.drip.sample.assetallocation
DualConstrainedVariateConvergence demonstrates the Sequential Convergence of the Constrained Optimal R^d Space.
DualConstrainedVariateConvergence() - Constructor for class org.drip.sample.assetallocation.DualConstrainedVariateConvergence
 
DUALDENSE(String, ValuationParams, CalibratableComponent[], double[], String, String[], CalibratableComponent[], double[], String, String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short term, and another configurable re-construction for the Swap Set.
DualDoubleArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a Dual Double Array
dualFeasibility() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Dual Feasibility Necessary Condition
dualFeasibilityCheck() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
Indicate of the Multipliers constitute Valid Dual Feasibility
DualRandomSequenceBound - Class in org.drip.sample.sequence
DualRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Joint Realizations of a Sample Random Sequence.
DualRandomSequenceBound() - Constructor for class org.drip.sample.sequence.DualRandomSequenceBound
 
DualSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
DualSequenceAgnosticMetrics contains the Joint Distribution Metrics and Agnostic Bounds related to the specified Sequence Pair.
DualSequenceAgnosticMetrics(SingleSequenceAgnosticMetrics, SingleSequenceAgnosticMetrics) - Constructor for class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
DualSequenceAgnosticMetrics Constructor
DualStreamComponent - Class in org.drip.product.rates
DualStreamComponent is the abstract class that extends the CalibratableFixedIncomeComponent on top of which all the dual stream rates components (fix-float, float-float, IRS etc.) are implemented.
DualStreamComponent() - Constructor for class org.drip.product.rates.DualStreamComponent
 
DualStreamComponentBuilder - Class in org.drip.product.creator
DualStreamComponentBuilder contains the suite of helper functions for creating the Stream-based Dual Streams from different kinds of inputs.
DualStreamComponentBuilder() - Constructor for class org.drip.product.creator.DualStreamComponentBuilder
 
DualStreamForwardArray(DualStreamComponent) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
Decompose the Dual Stream Component into an Array of Single Forward Period Dual Streams
Dumdum - Class in org.drip.sample.bondmetrics
Dumdum generates the Full Suite of Replication Metrics for a Sample Bond.
Dumdum() - Constructor for class org.drip.sample.bondmetrics.Dumdum
 
DumpIndexArray(String, int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
Display the Contents of the Index Array
durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from ASW to Work-out
durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from ASW to Maturity
durationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from ASW to Optimal Exercise
durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Bond Basis to Work-out
durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Bond Basis to Maturity
durationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Bond Basis to Optimal Exercise
durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Credit Basis to Work-out
durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Credit Basis to Maturity
durationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Credit Basis to Optimal Exercise
durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Discount Margin to Work-out
durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Discount Margin to Maturity
durationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Discount Margin to Optimal Exercise
durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from E Spread to Work-out
durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from E Spread to Maturity
durationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from E Spread to Optimal Exercise
durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from G Spread to Work-out
durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from G Spread to Maturity
durationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from G Spread to Optimal Exercise
durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from I Spread to Work-out
durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from I Spread to Maturity
durationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from I Spread to Optimal Exercise
durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from J Spread to Work-out
durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from J Spread to Maturity
durationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from J Spread to Optimal Exercise
durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from N Spread to Work-out
durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from N Spread to Maturity
durationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from N Spread to Optimal Exercise
durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from OAS to Work-out
durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from OAS to Maturity
durationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from OAS to Optimal Exercise
durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from PECS to Work-out
durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from PECS to Maturity
durationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from PECS to Optimal Exercise
durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Price to Work-out
durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Price to Maturity
durationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Price to Optimal Exercise
durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from TSY Spread to Work-out
durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from TSY Spread to Maturity
durationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from TSY Spread to Optimal Exercise
durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Yield to Work-out
durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Yield to Maturity
durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Yield Spread to Work-out
durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Yield Spread to Maturity
durationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Yield Spread to Optimal Exercise
durationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Yield to Optimal Exercise
durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Z Spread to Work-out
durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Z Spread to Maturity
durationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
durationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Duration from Z Spread to Optimal Exercise
Durgapur - Class in org.drip.sample.bondmetrics
Durgapur demonstrates the Analytics Calculation/Reconciliation for the Bond Durgapur.
Durgapur() - Constructor for class org.drip.sample.bondmetrics.Durgapur
 
dv01() - Method in class org.drip.analytics.output.BondCouponMeasures
Retrieve the DV01
DV01() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the DV01
DV01WithFixing() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the DV01 With Fixing
DVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the DVA Value Adjustment Instance
dva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected DVA
dva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for DVA
DVA2(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the DVA2 Value Adjustment Instance
dva2() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected DVA2
dva2() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for DVA2
DyadicEntropyNumber(double) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
Compute the Dyadic Entropy Number from the nth Entropy Number
dyadicEntropyUpperBound(int) - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Compute the Upper Bound for the Dyadic Entropy Number
DynamicsContainer - Class in org.drip.exposure.evolver
DynamicsContainer holds the Dynamics of the Economy with the following Traded Assets - the Numeraire Evolver Dynamics, the Terminal Latent State Evolver Dynamics, and the Primary Security Evolver Dynamics.
DynamicsContainer() - Constructor for class org.drip.exposure.evolver.DynamicsContainer
Empty DynamicsContainer Constructor
DynamicsParameters - Class in org.drip.execution.athl
DynamicsParameters generates the Variants of the Market Dynamics Parameters constructed using the Methodologies presented in Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
DynamicsParameters(AssetFlowSettings) - Constructor for class org.drip.execution.athl.DynamicsParameters
DynamicsParameters Constructor

E

eadMultiplier() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
Retrieve the EAD Multiplier
EarlyTerminationDate(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Early Termination Date (ETD) CSA Event Date
ECSHoliday - Class in org.drip.analytics.holset
 
ECSHoliday() - Constructor for class org.drip.analytics.holset.ECSHoliday
 
ED(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Event of Default CSA Event Date
ed() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the ED Event Date
ED1Attribution - Class in org.drip.sample.forwardratefuturespnl
ED1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the ED1 Series.
ED1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ED1Attribution
 
ED1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
ED1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ED1 Closes Feed.
ED1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ED1ClosesReconstitutor
 
ED_COMMUNICATION_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
ED Communication Delay - Aggressive
ED_COMMUNICATION_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
ED Communication Delay - Conservative
EDCommunication(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the ED Communication CSA Event Date
edCommunication() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the ED Communication Event Date
EDFJacobianRegressorSet - Class in org.drip.regression.curvejacobian
EDFJacobianRegressorSet implements the regression analysis set for the EDF product related Sensitivity Jacobians.
EDFJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.EDFJacobianRegressorSet
 
Edge - Class in org.drip.measure.joint
Edge implements the Deterministic and the Stochastic Components of a Joint R^1 Random Increment.
Edge(JumpDiffusionEdge[]) - Constructor for class org.drip.measure.joint.Edge
Edge Constructor
Edge - Class in org.drip.spaces.graph
Edge represents the Connection between a Pair of Vertexes.
Edge(String, String, double) - Constructor for class org.drip.spaces.graph.Edge
Edge Constructor
edge(String, String) - Method in class org.drip.spaces.graph.TopographyEdgeMap
Retrieve the Edge connecting the Source and the Destination
EDGE_DATE_SEQUENCE_FORWARD - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Edge Date Generation Sequence - Forward
EDGE_DATE_SEQUENCE_OVERNIGHT - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Edge Date Generation Sequence - Overnight
EDGE_DATE_SEQUENCE_REGULAR - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Edge Date Generation Sequence - Regular
EDGE_DATE_SEQUENCE_REVERSE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Edge Date Generation Sequence - Reverse
EDGE_DATE_SEQUENCE_SINGLE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Edge Date Generation Sequence - Single Edge Date Pair Between Dates
edgeDateSequenceScheme() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
Retrieve the Edge Date Generation Scheme
edgeList(String) - Method in class org.drip.spaces.graph.TopographyEdgeMap
Retrieve all the Edges corresponding to the Source Vertex
edgeMap() - Method in class org.drip.spaces.graph.TopographyEdgeMap
Retrieve the Edge Map
EdgePair(JulianDate, JulianDate) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a single Spanning Edge Pair between the specified dates, using the specified Calendar
edgeRun(MarketEdge, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.BurgardKjaerOperator
Generate the Derivative Value Time Increment using the Burgard Kjaer Scheme
edgeRunAttribution(MarketEdge, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.BurgardKjaerOperator
Generate the Time Increment Run Attribution using the Burgard Kjaer Scheme
edgeWeightVariance() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
Retrieve the Edge Width Variance
EEKHoliday - Class in org.drip.analytics.holset
 
EEKHoliday() - Constructor for class org.drip.analytics.holset.EEKHoliday
 
EF1Attribution - Class in org.drip.sample.forwardratefuturespnl
EF1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the EF1 Series.
EF1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.EF1Attribution
 
EF1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
EF1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted EF1 Closes Feed.
EF1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.EF1ClosesReconstitutor
 
effective() - Method in class org.drip.product.definition.BasketProduct
Returns the effective date of the basket product
effective() - Method in class org.drip.product.rates.Stream
Retrieve the Effective Date
effectiveDate() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Effective Date
effectiveDate() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Effective Date
effectiveDate() - Method in class org.drip.product.credit.BondComponent
 
effectiveDate() - Method in class org.drip.product.credit.CDSComponent
 
effectiveDate() - Method in class org.drip.product.definition.Component
Get the Effective Date
effectiveDate() - Method in class org.drip.product.fx.FXForwardComponent
 
effectiveDate() - Method in class org.drip.product.govvie.TreasuryFutures
 
effectiveDate() - Method in class org.drip.product.option.OptionComponent
 
effectiveDate() - Method in class org.drip.product.rates.FixFloatComponent
 
effectiveDate() - Method in class org.drip.product.rates.FloatFloatComponent
 
effectiveDate() - Method in class org.drip.product.rates.RatesBasket
 
effectiveDate() - Method in class org.drip.product.rates.SingleStreamComponent
 
effectiveDF() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Get the Period Effective Discount Factor
effectiveDF(int, int) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
effectiveDF(String, String) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
effectiveDF(int, int) - Method in class org.drip.state.curve.DerivedZeroRate
 
effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.curve.DerivedZeroRate
 
effectiveDF(String, String) - Method in class org.drip.state.curve.DerivedZeroRate
 
effectiveDF(int, int) - Method in interface org.drip.state.discount.DiscountFactorEstimator
Compute the time-weighted discount factor between 2 dates
effectiveDF(JulianDate, JulianDate) - Method in interface org.drip.state.discount.DiscountFactorEstimator
Compute the time-weighted discount factor between 2 dates
effectiveDF(String, String) - Method in interface org.drip.state.discount.DiscountFactorEstimator
Compute the time-weighted discount factor between 2 tenors
effectiveDF(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
effectiveDF(String, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
effectiveDF(int, int) - Method in class org.drip.state.govvie.GovvieCurve
 
effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
 
effectiveDF(String, String) - Method in class org.drip.state.govvie.GovvieCurve
 
effectiveExpectedExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
Retrieve the Effective Expected Exposure
effectiveExpectedPositiveExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
Retrieve the Effective Expected Positive Exposure
effectiveNotional() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Get the Period Effective Notional
effectiveRecovery() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Get the Period Effective Recovery
effectiveRecovery(int, int) - Method in class org.drip.state.credit.CreditCurve
Calculate the time-weighted recovery between a pair of dates
effectiveRecovery(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve
Calculate the time-weighted recovery between a pair of dates
effectiveRecovery(String, String) - Method in class org.drip.state.credit.CreditCurve
Calculate the time-weighted recovery between a pair of tenors
effectiveSurvival(int, int) - Method in class org.drip.state.credit.CreditCurve
Calculate the time-weighted survival between a pair of 2 dates
effectiveSurvival(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve
Calculate the time-weighted survival between a pair of 2 dates
effectiveSurvival(String, String) - Method in class org.drip.state.credit.CreditCurve
Calculate the time-weighted survival between a pair of 2 tenors
effectiveTreasuryBenchmarkYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
effectiveTreasuryBenchmarkYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Retrieve the effective treasury benchmark yield from the valuation, the component market parameters, and the market price
effectiveVolatility() - Method in class org.drip.pricer.option.Greeks
The "Effective" Volatility
efficientFrontier(PortfolioConstructionParameters, AssetUniverseStatisticalProperties, int) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
Generate the Efficient Frontier given the Portfolio Construction Parameters
EfficientFrontierNoDrift - Class in org.drip.sample.almgrenchriss
EfficientFrontierNoDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty without regard to the Drift.
EfficientFrontierNoDrift() - Constructor for class org.drip.sample.almgrenchriss.EfficientFrontierNoDrift
 
EfficientFrontierWithDrift - Class in org.drip.sample.almgrenchriss
EfficientFrontierWithDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty incorporating the Impact of Drift.
EfficientFrontierWithDrift() - Constructor for class org.drip.sample.almgrenchriss.EfficientFrontierWithDrift
 
EfficientTradingTrajectory - Interface in org.drip.execution.optimum
EfficientTradingTrajectory contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren and Chriss (2000) and Almgren (2003) Scheme for Discrete and Continuous Trading Approximation respectively.
EfficientTradingTrajectoryContinuous - Class in org.drip.execution.optimum
EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation.
EfficientTradingTrajectoryContinuous(double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
EfficientTradingTrajectoryContinuous Constructor
EfficientTradingTrajectoryDiscrete - Class in org.drip.execution.optimum
EfficientTradingTrajectoryDiscrete contains the Discrete Trading Trajectory generated by a given Optimal Trajectory Generation Scheme.
EfficientTradingTrajectoryDiscrete(double[], double[], double[], double, double, double) - Constructor for class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
EfficientTradingTrajectoryDiscrete Constructor
efficientTrajectory() - Method in class org.drip.execution.principal.GrossProfitEstimator
Retrieve the Optimal Efficient Trajectory
EfronSteinMetrics - Class in org.drip.sequence.functional
EfronSteinMetrics contains the Variance-based non-exponential Sample Distribution/Bounding Metrics and Agnostic Bounds related to the Functional Transformation of the specified Sequence.
EfronSteinMetrics(MultivariateRandom, SingleSequenceAgnosticMetrics[]) - Constructor for class org.drip.sequence.functional.EfronSteinMetrics
EfronSteinMetrics Constructor
efronSteinSteeleBound(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Efron-Stein-Steele Variance Upper Bound using the Ghost Variables
EGPHoliday - Class in org.drip.analytics.holset
 
EGPHoliday() - Constructor for class org.drip.analytics.holset.EGPHoliday
 
egressMap() - Method in class org.drip.spaces.graph.Vertex
Retrieve the Egress Map
EigenComponent - Class in org.drip.quant.eigen
EigenComponent holds the Component's Eigenvector and the corresponding Eigenvalue.
EigenComponent(double[], double) - Constructor for class org.drip.quant.eigen.EigenComponent
EigenComponent Constructor
eigenComponents() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
Retrieve the Array of the Integral Operator Eigen-Components
eigenComponentSuite() - Method in class org.drip.learning.kernel.MercerKernel
Retrieve the Suite of Eigen Components
eigenFunction() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
Retrieve the Eigen-Function
EigenFunctionRdToR1 - Class in org.drip.learning.kernel
EigenFunctionRdToR1 holds the Eigen-vector Function and its corresponding Space of the R^d To R^1 Kernel Linear Integral Operator defined by: T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]} The References are: 1) Ash, R.
EigenFunctionRdToR1(RdNormed, R1Normed, RdToR1, double) - Constructor for class org.drip.learning.kernel.EigenFunctionRdToR1
 
Eigenization - Class in org.drip.sample.matrix
Eigenization demonstrates how to generate the eigenvalue and eigenvector for the Input Matrix.
Eigenization() - Constructor for class org.drip.sample.matrix.Eigenization
 
eigenize() - Method in class org.drip.learning.kernel.IntegralOperator
Eigenize the Kernel Integral Operator
eigenize(double[][]) - Method in interface org.drip.quant.eigen.ComponentExtractor
Eigenize and Extract the Components of the Specified Matrix
eigenize(double[][]) - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
 
eigenize(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
 
EigenOutput - Class in org.drip.quant.eigen
EigenOutput holds the results of the Eigenization Operation - the Eigenvectors and the Eigenvalues.
EigenOutput(double[][], double[]) - Constructor for class org.drip.quant.eigen.EigenOutput
EigenOutput Constructor
eigenvalue() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
Retrieve the Eigenvalue
eigenvalue() - Method in class org.drip.quant.eigen.EigenComponent
Retrieve the Eigenvalue
eigenvalue() - Method in class org.drip.quant.eigen.EigenOutput
Retrieve the Array of Eigenvalues
eigenvector() - Method in class org.drip.quant.eigen.EigenComponent
Retrieve the Eigenvector
eigenvector() - Method in class org.drip.quant.eigen.EigenOutput
Retrieve the Array of Eigenvectors
elapsed(boolean) - Method in class org.drip.service.env.InvocationRecord
Retrieve the Elapsed Time
elementSpace() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
Retrieve the Full Candidate List of Elements
eligibility() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Eligibility Settings
EliminateSpuriousExtrema(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Eliminate the Spurious Extrema in the Input C1 Entry
eliminateSpuriousExtrema() - Method in class org.drip.state.estimator.LocalControlCurveParams
Retrieve the Eliminate Spurious Extrema Flag
elme() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Retrieve the Empirical Learning Metric Estimator Instance
EmbeddedOptionSchedule - Class in org.drip.product.params
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
EmbeddedOptionSchedule(int[], double[], boolean, int, boolean, double, String, double) - Constructor for class org.drip.product.params.EmbeddedOptionSchedule
Construct the EOS from the array of dates and factors
EmbeddedOptionSchedule(EmbeddedOptionSchedule) - Constructor for class org.drip.product.params.EmbeddedOptionSchedule
Construct a Deep Copy EOS from another EOS
EMERGING_MARKETS - Static variable in class org.drip.simm.equity.RegionSystemics
The "Emerging Markets" Region
emitSignal(double, double) - Method in class org.drip.execution.athl.TransactionRealization
Emit the IJK Signal
empiricalAnchorMoment(int, double, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Compute the Specified Anchor Moment of the Sample Sequence
empiricalCentralMoment(int, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Compute the Specified Central Moment of the Sample Sequence
empiricalExpectation() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Sample Expectation
EmpiricalLearnerLoss - Class in org.drip.learning.bound
EmpiricalLearnerLoss Function computes the Empirical Loss of a Learning Operation resulting from the Use of a Learning Function in Conjunction with the corresponding Empirical Realization.
EmpiricalLearnerLoss(R1ToR1, double) - Constructor for class org.drip.learning.bound.EmpiricalLearnerLoss
EmpiricalLearnerLoss Constructor
EmpiricalLearningMetricEstimator - Interface in org.drip.learning.rxtor1
EmpiricalLearningMetricEstimator is the Estimator of the Empirical Loss and Risk, as well as the corresponding Covering Numbers.
empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Empirical Sample Loss
empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Empirical Sample Loss
empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
 
empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
 
empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
 
empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
 
empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
 
empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
 
empiricalOutcomes() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Retrieve the Validated Outcome Instance
EmpiricalPenaltySupremum - Class in org.drip.learning.rxtor1
EmpiricalPenaltySupremum holds the Learning Function that corresponds to the Empirical Supremum, as well as the corresponding Supremum Value.
EmpiricalPenaltySupremum(int, double) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremum
 
EmpiricalPenaltySupremumEstimator - Class in org.drip.learning.rxtor1
EmpiricalPenaltySupremumEstimator contains the Implementation of the Empirical Penalty Supremum Estimator dependent on Multivariate Random Variables where the Multivariate Function is a Linear Combination of Bounded Univariate Functions acting on each Random Variate.
EmpiricalPenaltySupremumEstimator(int, EmpiricalLearningMetricEstimator, GeneralizedValidatedVector, R1R1, RdR1) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
EmpiricalPenaltySupremumEstimator Constructor
empiricalPenaltySupremumEstimator() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
Retrieve the Empirical Penalty Supremum Function
EmpiricalPenaltySupremumMetrics - Class in org.drip.learning.rxtor1
EmpiricalPenaltySupremumMetrics computes Efron-Stein Metrics for the Penalty Supremum R^x To R^1 Functions.
EmpiricalPenaltySupremumMetrics(EmpiricalPenaltySupremumEstimator, SingleSequenceAgnosticMetrics[], MeasureConcentrationExpectationBound) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
EmpiricalPenaltySupremumMetrics Constructor
empiricalRawMoment(int, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Compute the Specified Raw Moment of the Sample Sequence
empiricalRealization() - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
Retrieve the Empirical Realization
empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Empirical Sample Risk
empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Empirical Sample Risk
empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
 
empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
 
empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
 
empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
 
empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
 
empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
 
empiricalVariance() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Sample Variance
enclosingCUP(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Unit Period to which the Date belongs
enclosingXIndex(double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
Enclosing X Index
enclosingYIndex(double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
Enclosing Y Index
end() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Retrieve the Merge Stretch End Date
endArray() - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the end of a JSON array.
endDate() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Accrual End Date
endDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Period End Date
endDate() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Period End Date
endDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Reference Period End Date
endDate() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
Retrieve the End Date
endJSON() - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the end of JSON processing.
endObject() - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the end of a JSON object.
endObjectEntry() - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the end of the value of previous object entry.
endSurvival() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Survival at the Period End
enforceable() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
Indicate if the Netting is Enforceable
enforcePositivity() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
Enforce the Positivity of the Inferred Response Values
EnhancedEulerScheme - Class in org.drip.sample.almgren2009
EnhancedEulerScheme demonstrates the Enhancement used by Almgren (2009, 2012) to deal with Time Evolution under Singular Initial Conditions.
EnhancedEulerScheme() - Constructor for class org.drip.sample.almgren2009.EnhancedEulerScheme
 
ensembleAdjustedVariationMarginDynamics() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Generate the Ensemble Adjusted Variation Margin Dynamics
ensemblePillarDynamics() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Generate the Ensemble Pillar Dynamics Array
EnsembleTradeFlowAdjustment - Class in org.drip.sample.andersen2017vm
EnsembleTradeFlowAdjustment generates the Trade Flow Adjusted Variation Margin from Sparse Nodes for a Fix-Float Swap across the Ensemble of Paths.
EnsembleTradeFlowAdjustment() - Constructor for class org.drip.sample.andersen2017vm.EnsembleTradeFlowAdjustment
 
EnsembleVariationMarginEstimate - Class in org.drip.sample.andersen2017vm
EnsembleVariationMarginEstimate generates the Ensemble of Dense Variation Margin Estimates from Sparse Nodes for a Fix-Float Swap across the Ensemble of Paths.
EnsembleVariationMarginEstimate() - Constructor for class org.drip.sample.andersen2017vm.EnsembleVariationMarginEstimate
 
entity() - Method in class org.drip.simm.commodity.CTBucket
Retrieve the SIMM Bucket Entity
EntityCDSLabel - Class in org.drip.state.identifier
EntityCDSLabel contains the Identifier Parameters referencing the Latent State of the named Entity CDS Curve.
EntityCDSLabel(String, String, String) - Constructor for class org.drip.state.identifier.EntityCDSLabel
EntityCDSLabel constructor
entityCredit(EntityCDSLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Credit Latent State
entityCredit() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Entity Credit Latent State Node Container
entityCredit(EntityCreditLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Entity Credit
entityCreditExists(EntityCDSLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Entity Credit Latent State Exists
EntityCreditLabel - Class in org.drip.state.identifier
EntityCreditLabel contains the Identifier Parameters referencing the Latent State of the named Entity Credit Curve.
EntityCreditLabel(String, String, String) - Constructor for class org.drip.state.identifier.EntityCreditLabel
 
entityCreditMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Credit Evolver Map
EntityDesignateLabel - Class in org.drip.state.identifier
EntityDesignateLabel contains the Identifier Parameters referencing the Latent State of an Entity Designate.
EntityDesignateLabel(String, String) - Constructor for class org.drip.state.identifier.EntityDesignateLabel
 
EntityDynamicsContainer - Class in org.drip.exposure.evolver
EntityDynamicsContainer contains the Dealer and the Client Hazard and Recovery Latent State Evolvers.
EntityDynamicsContainer(TerminalLatentState, TerminalLatentState, TerminalLatentState, TerminalLatentState, TerminalLatentState) - Constructor for class org.drip.exposure.evolver.EntityDynamicsContainer
EntityDynamicsContainer Constructor
entityDynamicsContainer() - Method in class org.drip.exposure.universe.MarketVertexGenerator
Retrieve the Entity Dynamics Container
entityEquity(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Equity Latent State
entityEquity() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Entity Equity Latent State Node Container
entityEquity(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Entity Equity
entityEquityExists(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Entity Equity Latent State Exists
EntityEquityLabel - Class in org.drip.state.identifier
EntityEquityLabel contains the Identifier Parameters referencing the Latent State of the Entity Equity Curve.
entityEquityMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Equity Evolver Map
entityFunding(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Funding Latent State
entityFunding() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Entity Funding Latent State Node Container
entityFunding(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Entity Funding
entityFundingExists(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Entity Funding Latent State Exists
EntityFundingLabel - Class in org.drip.state.identifier
EntityFundingLabel contains the Identifier Parameters referencing the Latent State of the Entity Funding Curve.
EntityFundingLabel(String, String, String) - Constructor for class org.drip.state.identifier.EntityFundingLabel
EntityFundingLabel constructor
entityFundingMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Funding Evolver Map
entityHazard(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Hazard Latent State
entityHazard() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Entity Hazard Latent State Node Container
entityHazard(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Entity Hazard
entityHazardExists(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Entity Hazard Latent State Exists
EntityHazardLabel - Class in org.drip.state.identifier
EntityHazardLabel contains the Identifier Parameters referencing the Latent State of the Entity Hazard Curve.
EntityHazardLabel(String, String) - Constructor for class org.drip.state.identifier.EntityHazardLabel
EntityHazardLabel constructor
entityHazardMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Hazard Evolver Map
entityRecovery(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Recovery Latent State
entityRecovery() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Entity Recovery Latent State Node Container
entityRecovery(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Entity Recovery
entityRecoveryExists(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Entity Recovery Latent State Exists
EntityRecoveryLabel - Class in org.drip.state.identifier
EntityRecoveryLabel contains the Identifier Parameters referencing the Latent State of the Entity Recovery Curve.
entityRecoveryMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Entity Recovery Evolver Map
entropyBoundNormA() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
Retrieve the Entropy Bound using the Function Class Norm A
entropyBoundNormB() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
Retrieve the Entropy Bound using the Function Class Norm B
entropyNumberAsymptote() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
Compute the Entropy Number Asymptotic Behavior
entropyNumberAsymptoteExponent() - Method in class org.drip.learning.bound.DiagonalOperatorCoveringBound
Retrieve the Entropy Number Asymptote Exponent
entropyNumberAsymptoteType() - Method in class org.drip.learning.bound.DiagonalOperatorCoveringBound
Retrieve the Entropy Number Asymptote Type
entropyNumberIndex() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
 
entropyNumberIndex() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
Compute the Entropy Number Index of the Operator
entropyNumberLowerBound() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
 
entropyNumberLowerBound() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
Lower Bound of the Operator Entropy Number
entropyNumberUpperBound() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
 
entropyNumberUpperBound(int) - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Compute the Upper Bound for the Entropy Number
entropyNumberUpperBound() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
Upper Bound of the Operator Entropy Number
entropyNumberUpperBounds(DiagonalScalingOperator, double) - Method in class org.drip.learning.svm.RdDecisionFunction
Compute the Entropy Number Upper Bounds Instance for the Specified Inputs
entry(LatentStateLabel, LatentStateLabel) - Method in class org.drip.exposure.universe.MarketCorrelation
Retrieve the Cross State Correlation
entry(String, String) - Method in class org.drip.measure.stochastic.LabelCorrelation
Retrieve the Correlation Entry for the Pair of Labels
EnvManager - Class in org.drip.service.env
EnvManager sets the environment/connection parameters, and populates the market parameters for the given EOD.
EnvManager() - Constructor for class org.drip.service.env.EnvManager
 
eomAdj() - Method in class org.drip.param.quoting.YieldInterpreter
Retrieve the EOM Adjustment
EONIAFutures - Class in org.drip.sample.forwardratefutures
EONIAFutures contains the demonstration of the construction and the Valuation of the EONIA Futures Contract.
EONIAFutures() - Constructor for class org.drip.sample.forwardratefutures.EONIAFutures
 
EOSBondPeriods - Class in org.drip.sample.cashflow
EOSBondPeriods demonstrates the Cash Flow Period Details for a Bond with Embedded Options.
EOSBondPeriods() - Constructor for class org.drip.sample.cashflow.EOSBondPeriods
 
eosMetricsReplicator() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the EOS Metrics Replicator
EOSMetricsReplicator - Class in org.drip.service.scenario
EOSMetricsReplicator generates the EOS Metrics for Bonds with Embedded Option Schedules.
EOSMetricsReplicator(BondComponent, ValuationParams, CurveSurfaceQuoteContainer, GovvieBuilderSettings, DiffusionEvolver, int, double) - Constructor for class org.drip.service.scenario.EOSMetricsReplicator
EOSMetricsReplicator Constructor
epoch() - Method in interface org.drip.analytics.definition.Curve
Get the Epoch Date
epoch() - Method in class org.drip.analytics.definition.MarketSurface
 
epoch() - Method in class org.drip.analytics.definition.NodeStructure
 
epoch() - Method in class org.drip.function.r1tor1.ExponentialDecay
Retrieve the Epoch
epoch() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
Return the Epoch
epoch() - Method in class org.drip.state.basis.BasisCurve
 
epoch() - Method in class org.drip.state.credit.CreditCurve
 
epoch() - Method in class org.drip.state.csa.MultilateralBasisCurve
 
epoch() - Method in interface org.drip.state.discount.DiscountFactorEstimator
Retrieve the Starting (Epoch) Date
epoch() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
epoch() - Method in class org.drip.state.discount.ZeroCurve
 
epoch() - Method in class org.drip.state.forward.ForwardCurve
 
epoch() - Method in class org.drip.state.fx.FXCurve
 
epoch() - Method in class org.drip.state.govvie.GovvieCurve
 
epoch() - Method in class org.drip.state.repo.RepoCurve
 
Epochal(JulianDate, double, double, double, double, double, double, double, double, LatentStateVertexContainer) - Static method in class org.drip.exposure.universe.MarketVertex
Generate an Initial Instance of MarketVertex
Epochal(JulianDate, double, double, double, double, double, double, double, double, double, double, LatentStateVertexContainer) - Static method in class org.drip.exposure.universe.MarketVertex
Generate an Initial Instance of MarketVertex
epochalMarketVertex() - Method in class org.drip.exposure.universe.MarketPath
Retrieve the Epochal Market Vertex
epochDate() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
Retrieve the Epoch Date
epochImpactFunction() - Method in interface org.drip.execution.profiletime.BackgroundParticipationRate
Compute the Epoch Market Impact Function
epochImpactFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRate
 
epochImpactFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
 
epochImpactFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
 
epochLiquidityFunction() - Method in interface org.drip.execution.profiletime.BackgroundParticipationRateLinear
Compute the Epoch Liquidity Market Impact Function
epochLiquidityFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
 
epochLiquidityFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
 
epochVolatility() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
Retrieve the Asset Annual Volatility
EPSILON_EXPONENT_AGNOSTIC_CONVEX_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
Epsilon Exponent for Agnostic Learning with Convex Functions
EPSILON_EXPONENT_AGNOSTIC_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
Epsilon Exponent for Agnostic Learning
EPSILON_EXPONENT_REGRESSION_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
Epsilon Exponent for Regression Learning
epsilonExponent() - Method in class org.drip.learning.bound.CoveringNumberLossBound
Retrieve the Exponential Epsilon Exponent
EQ - Static variable in class org.drip.simm.common.Chargram
The Equity Digram EQ
EQ_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
EQ_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
EQ_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
EQ_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
EQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Equity and Commodity Risk Classes
EQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Equity and Commodity Risk Classes
EQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Equity and Commodity Risk Classes
EQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Equity and Commodity Risk Classes
EQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Equity and FX Risk Classes
EQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Equity and FX Risk Classes
EQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Equity and FX Risk Classes
EQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Equity and FX Risk Classes
EQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Equity Risk Classes
EQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Equity Risk Classes
EQBucket - Class in org.drip.simm.equity
EQBucket holds the ISDA SIMM Region, Sector, Member Correlation, and Risk Weights for a given Equity Issuer Exposure Bucket.
EQBucket(int, String, String, String[], double, double, double) - Constructor for class org.drip.simm.equity.EQBucket
EQBucket Constructor
EQCrossBucketPrincipal - Class in org.drip.sample.simmvariance
EQCrossBucketPrincipal demonstrates the Computation of the Cross EQ Bucket Principal Component Co-variance using the EQ Bucket Principal Component.
EQCrossBucketPrincipal() - Constructor for class org.drip.sample.simmvariance.EQCrossBucketPrincipal
 
EQMarginComparison - Class in org.drip.sample.simmvariance
EQMarginComparison illustrates the Comparison of the Equity Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
EQMarginComparison() - Constructor for class org.drip.sample.simmvariance.EQMarginComparison
 
EQRiskThresholdContainer20 - Class in org.drip.simm.equity
EQRiskThresholdContainer20 holds the ISDA SIMM 2.0 Equity Risk Thresholds - the Equity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
EQRiskThresholdContainer20() - Constructor for class org.drip.simm.equity.EQRiskThresholdContainer20
 
EQRiskThresholdContainer21 - Class in org.drip.simm.equity
EQRiskThresholdContainer21 holds the ISDA SIMM 2.1 Equity Risk Thresholds - the Equity Buckets and the Delta/Vega Limits defined for the Concentration Thresholds.
EQRiskThresholdContainer21() - Constructor for class org.drip.simm.equity.EQRiskThresholdContainer21
 
EQSettingsContainer20 - Class in org.drip.simm.equity
EQSettingsContainer20 holds the ISDA SIMM 2.0 Equity Buckets and their Correlations.
EQSettingsContainer20() - Constructor for class org.drip.simm.equity.EQSettingsContainer20
 
EQSettingsContainer21 - Class in org.drip.simm.equity
EQSettingsContainer21 holds the ISDA SIMM 2.1 Equity Buckets and their Correlations.
EQSettingsContainer21() - Constructor for class org.drip.simm.equity.EQSettingsContainer21
 
EQSystemics20 - Class in org.drip.simm.equity
EQSystemics20 contains the SIMM 2.0 Systemic Settings common to all Equity Risk Factors.
EQSystemics20() - Constructor for class org.drip.simm.equity.EQSystemics20
 
EQSystemics21 - Class in org.drip.simm.equity
EQSystemics21 contains the SIMM 2.1 Systemic Settings common to all Equity Risk Factors.
EQSystemics21() - Constructor for class org.drip.simm.equity.EQSystemics21
 
equalityConstraint() - Method in class org.drip.optimization.constrained.OptimizationFramework
Retrieve the Array of R^d To R^1 Equality Constraint Functions
equalityConstraintCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
Retrieve the Array of the Equality Constraint Coefficients
equalityConstraintRdToR1(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
Retrieve the Equality Constraint R^d To R^1 Corresponding to the Specified Constraint Type
equalityConstraintValue(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
Retrieve the Equality Constraint Values Corresponding to the Specified Constraint Type
equals(Object) - Method in class org.drip.analytics.date.JulianDate
 
EqualWidth(int, int, int) - Static method in class org.drip.analytics.support.VertexDateBuilder
Generate Equal Width Vertex Dates from the specified Spot Date and the Terminal Date
EquilibriumRiskAversion(double, double, double) - Static method in class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance and the Risk Free Rate
EquilibriumRiskAversion(double, double) - Static method in class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance
Equity - Class in org.drip.exposure.evolver
Equity describes a Tradeable Equity.
Equity(String, LatentStateLabel, DiffusionEvolver, double, double) - Constructor for class org.drip.exposure.evolver.Equity
Equity Constructor
equity() - Method in class org.drip.xva.basel.BalanceSheetVertex
Estimate the Equity Account
Equity20 - Class in org.drip.sample.simmsettings
Equity20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Equity Bucket Risk Weights, Correlations, and Systemics.
Equity20() - Constructor for class org.drip.sample.simmsettings.Equity20
 
Equity21 - Class in org.drip.sample.simmsettings
Equity21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Equity Bucket Risk Weights, Correlations, and Systemics.
Equity21() - Constructor for class org.drip.sample.simmsettings.Equity21
 
EquityClassMargin20 - Class in org.drip.sample.simmeq
EquityClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of Equity Bucket Exposure Sensitivities.
EquityClassMargin20() - Constructor for class org.drip.sample.simmeq.EquityClassMargin20
 
EquityClassMargin21 - Class in org.drip.sample.simmeq
EquityClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of Equity Bucket Exposure Sensitivities.
EquityClassMargin21() - Constructor for class org.drip.sample.simmeq.EquityClassMargin21
 
EquityCurvatureMargin20 - Class in org.drip.sample.simmeq
EquityCurvatureMargin20 illustrates the Computation of the SIMM 2.0 Curvature Margin for a Group of Equity Bucket Exposure Sensitivities.
EquityCurvatureMargin20() - Constructor for class org.drip.sample.simmeq.EquityCurvatureMargin20
 
EquityCurvatureMargin21 - Class in org.drip.sample.simmeq
EquityCurvatureMargin21 illustrates the Computation of the SIMM 2.1 Curvature Margin for a Group of Equity Bucket Exposure Sensitivities.
EquityCurvatureMargin21() - Constructor for class org.drip.sample.simmeq.EquityCurvatureMargin21
 
EquityDeltaMargin20 - Class in org.drip.sample.simmeq
EquityDeltaMargin20 illustrates the Computation of the SIMM 2.0 Delta Margin across a Group of Equity Bucket Exposure Sensitivities.
EquityDeltaMargin20() - Constructor for class org.drip.sample.simmeq.EquityDeltaMargin20
 
EquityDeltaMargin21 - Class in org.drip.sample.simmeq
EquityDeltaMargin21 illustrates the Computation of the SIMM 2.1 Delta Margin across a Group of Equity Bucket Exposure Sensitivities.
EquityDeltaMargin21() - Constructor for class org.drip.sample.simmeq.EquityDeltaMargin21
 
equityEquityCorrelation(EntityEquityLabel, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Equity Latent States
equityForwardCorrelation(EntityEquityLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Equity and the Forward Latent States
equityFundingCorrelation(EntityEquityLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between Equity and the Funding Latent States
equityFXCorrelation(EntityEquityLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Equity and the FX Latent States
equityGovvieCorrelation(EntityEquityLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Equity and the Govvie Latent States
EquityMarketImpactDRI - Class in org.drip.sample.athl
EquityMarketImpactDRI demonstrates the Reconciliation of the Equity Market Impact with that determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for DRI.
EquityMarketImpactDRI() - Constructor for class org.drip.sample.athl.EquityMarketImpactDRI
 
EquityMarketImpactIBM - Class in org.drip.sample.athl
EquityMarketImpactIBM demonstrates the Reconciliation of the Equity Market Impact with that determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
EquityMarketImpactIBM() - Constructor for class org.drip.sample.athl.EquityMarketImpactIBM
 
equityMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Retrieve the Equity Multiplicative Scale
equityOvernightCorrelation(EntityEquityLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between Equity and the Overnight Latent States
equityPaydownCorrelation(EntityEquityLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Equity and the Pay-down Latent States
equityRatingCorrelation(EntityEquityLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Equity and the Rating Latent States
equityRecoveryCorrelation(EntityEquityLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Equity and the Recovery Latent States
equityRepoCorrelation(EntityEquityLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Equity and the Repo Latent States
equityRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
Retrieve the Equity Risk Class Aggregate
equityRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
Retrieve the Equity Risk Class Sensitivity
equityRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the Equity Risk Class Sensitivity Settings
EquityRiskConcentrationThreshold20 - Class in org.drip.sample.simmsettings
EquityRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Equity Risk Concentration Thresholds.
EquityRiskConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold20
 
EquityRiskConcentrationThreshold21 - Class in org.drip.sample.simmsettings
EquityRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Equity Risk Concentration Thresholds.
EquityRiskConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold21
 
equityState(EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Equity State for the specified Equity Latent State Label
EquityVegaMargin20 - Class in org.drip.sample.simmeq
EquityVegaMargin20 illustrates the Computation of the SIMM 2.0 Vega Margin across a Group of Equity Bucket Exposure Sensitivities.
EquityVegaMargin20() - Constructor for class org.drip.sample.simmeq.EquityVegaMargin20
 
EquityVegaMargin21 - Class in org.drip.sample.simmeq
EquityVegaMargin21 illustrates the Computation of the SIMM 2.1 Vega Margin across a Group of Equity Bucket Exposure Sensitivities.
EquityVegaMargin21() - Constructor for class org.drip.sample.simmeq.EquityVegaMargin21
 
equityVolatility(EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the Equity Latent State
ER1Attribution - Class in org.drip.sample.forwardratefuturespnl
ER1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the ER1 Series.
ER1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ER1Attribution
 
ER1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
ER1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ER1 Closes Feed.
ER1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ER1ClosesReconstitutor
 
Erode - Class in org.drip.sample.bondmetrics
Erode demonstrates the Analytics Calculation/Reconciliation for the Callable Bond Erode.
Erode() - Constructor for class org.drip.sample.bondmetrics.Erode
 
ERROR - Static variable in class org.drip.analytics.support.Logger
Logger level ERROR
error() - Method in class org.drip.measure.statistics.MultivariateDiscrete
Retrieve the Multivariate Sequence "Error"
error() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
Retrieve the Sequence Error
ERROR_UNEXPECTED_CHAR - Static variable in exception org.drip.json.parser.ParseException
 
ERROR_UNEXPECTED_EXCEPTION - Static variable in exception org.drip.json.parser.ParseException
 
ERROR_UNEXPECTED_TOKEN - Static variable in exception org.drip.json.parser.ParseException
 
errorFunction(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
Compute the Error Function Around an Absolute Width around the Mean
ES1Attribution - Class in org.drip.sample.forwardratefuturespnl
ES1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the ES1 Series.
ES1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ES1Attribution
 
ES1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
ES1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ES1 Closes Feed.
ES1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ES1ClosesReconstitutor
 
ESBHoliday - Class in org.drip.analytics.holset
 
ESBHoliday() - Constructor for class org.drip.analytics.holset.ESBHoliday
 
escape(String) - Static method in class org.drip.json.simple.JSONObject
Escape quotes, \, /, \r, \n, \b, \f, \t and other control characters (U+0000 through U+001F).
escape(String) - Static method in class org.drip.json.simple.JSONValue
Escape quotes, \, /, \r, \n, \b, \f, \t and other control characters (U+0000 through U+001F).
ESPHoliday - Class in org.drip.analytics.holset
 
ESPHoliday() - Constructor for class org.drip.analytics.holset.ESPHoliday
 
eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from ASW to Work-out
eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from ASW to Maturity
eSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from ASW to Optimal Exercise
eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Bond Basis to Work-out
eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Bond Basis to Maturity
eSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Bond Basis to Optimal Exercise
eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Credit Basis to Work-out
eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Credit Basis to Maturity
eSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Credit Basis to Optimal Exercise
eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Discount Margin to Work-out
eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Discount Margin to Maturity
eSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Discount Margin to Optimal Exercise
eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from G Spread to Work-out
eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from G Spread to Maturity
eSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from G Spread to Optimal Exercise
eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from I Spread to Work-out
eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from I Spread to Maturity
eSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from I Spread to Optimal Exercise
eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from J Spread to Work-out
eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from J Spread to Maturity
eSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from J Spread to Optimal Exercise
eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from N Spread to Work-out
eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from N Spread to Maturity
eSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from N Spread to Optimal Exercise
eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from OAS to Work-out
eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from OAS to Maturity
eSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from OAS to Optimal Exercise
eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from PECS to Work-out
eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from PECS to Maturity
eSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from PECS to Optimal Exercise
eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Price to Work-out
eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Price to Maturity
eSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Price to Optimal Exercise
eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from TSY Spread to Work-out
eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from TSY Spread to Maturity
eSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from TSY Spread to Optimal Exercise
eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Yield to Work-out
eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Yield to Maturity
eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Yield Spread to Work-out
eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Yield Spread to Maturity
eSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Yield Spread to Optimal Exercise
eSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
eSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate E Spread from Yield to Optimal Exercise
ESTHoliday - Class in org.drip.analytics.holset
 
ESTHoliday() - Constructor for class org.drip.analytics.holset.ESTHoliday
 
Estimate(JSONObject) - Static method in class org.drip.json.assetallocation.BlackLittermanProcessor
JSON Based in/out Bayesian Co-variance/Returns Estimation Thunker
estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionCharge
Estimate the Transaction Charge for a Single Holdings Change
estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionChargeFixed
 
estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionChargeLinear
 
estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
 
estimate(ProductClassSettings, MarginEstimationSettings) - Method in class org.drip.simm.estimator.ProductClassSensitivity
Generate the Margin for the Product Class
estimateManifestMeasure(String, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Estimate the manifest measure value for the given date
eta() - Method in class org.drip.dynamics.hjm.G2PlusPlus
Retrieve Eta
ETD(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Early Termination Date (ETD) CSA Event Date
etd() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the ETD Event Date
etd() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the ETD
ETD_CALL_OUT_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
ETD Call-out Delay - Aggressive
ETD_CALL_OUT_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
ETD Call-out Delay - Conservative
ETD_DESIGNATION_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
ETD Designation Delay - Aggressive
ETD_DESIGNATION_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
ETD Designation Delay - Conservative
ETDDesignation(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the ETD Designation CSA Event Date
etdDesignation() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the ETD Designation Event Date
EUBHoliday - Class in org.drip.analytics.holset
 
EUBHoliday() - Constructor for class org.drip.analytics.holset.EUBHoliday
 
EulerEnhancedLinearThreshold(double, double, double) - Static method in class org.drip.execution.hjb.NonDimensionalCostSystemic
Generate a Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance
EulerTrajectoryEvolutionScheme - Class in org.drip.sample.burgard2012
EulerTrajectoryEvolutionScheme computes the Sequence of XVA Paths arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
EulerTrajectoryEvolutionScheme() - Constructor for class org.drip.sample.burgard2012.EulerTrajectoryEvolutionScheme
 
eulerWalk(MarketEdge, BurgardKjaerOperator, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
Execute a Single Euler Time Step Walk
eulerWalk(MarketVertex[], BurgardKjaerOperator, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
Execute a Sequential Array of Euler Time Step Walks
EUR - Class in org.drip.template.irs
EUR contains a Templated Pricing of the OTC Fix-Float EUR IRS Instrument.
EUR() - Constructor for class org.drip.template.irs.EUR
 
EUR3M6MUSD3M6M - Class in org.drip.sample.dual
EUR3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from EUR3M6MUSD3M6M CCBS, EUR 3M, EUR 6M, and USD 6M Quotes.
EUR3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.EUR3M6MUSD3M6M
 
EURHoliday - Class in org.drip.analytics.holset
 
EURHoliday() - Constructor for class org.drip.analytics.holset.EURHoliday
 
EURIBOR3M - Class in org.drip.template.forwardratefutures
EURIBOR3M contains a Templated Pricing of the 3M EURIBOR EUR Instrument.
EURIBOR3M() - Constructor for class org.drip.template.forwardratefutures.EURIBOR3M
 
EURIRSAttribution - Class in org.drip.sample.fixfloatpnl
EURIRSAttribution generates the Historical PnL Attribution for EUR IRS.
EURIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.EURIRSAttribution
 
EuroDollar - Class in org.drip.template.forwardratefutures
EuroDollar contains a Templated Pricing of the EuroDollar (i.e, LIBOR 3M USD Futures) Instrument.
EuroDollar() - Constructor for class org.drip.template.forwardratefutures.EuroDollar
 
EUROISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
EUROISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the EUR Input OIS Marks.
EUROISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.EUROISSmoothReconstitutor
 
EuropeanCallPut - Class in org.drip.product.option
EuropeanCallPut implements a simple European Call/Put Option, and its Black Scholes Price.
EuropeanCallPut(JulianDate, double) - Constructor for class org.drip.product.option.EuropeanCallPut
EuropeanCallPut constructor
EURShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
EURShapePreserving1YForward Generates the Historical EUR Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
EURShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.EURShapePreserving1YForward
 
EURShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
EURShapePreserving1YStart Generates the Historical EUR Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
EURShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.EURShapePreserving1YStart
 
EURShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
EURShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the EUR Input Marks.
EURShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.EURShapePreservingReconstitutor
 
EURSmooth1MForward - Class in org.drip.sample.overnighthistorical
EURSmooth1MForward Generates the Historical EUR Smoothened Overnight Curve Native 1M Compounded Forward Rate.
EURSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.EURSmooth1MForward
 
EURSmooth1YForward - Class in org.drip.sample.fundinghistorical
EURSmooth1YForward Generates the Historical EUR Smoothened Funding Curve Native 1Y Compounded Forward Rate.
EURSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.EURSmooth1YForward
 
EURSmoothReconstitutor - Class in org.drip.sample.fundingfeed
EURSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the EUR Input Marks.
EURSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.EURSmoothReconstitutor
 
evaluate(double) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
 
evaluate(double) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
 
evaluate(double) - Method in class org.drip.execution.athl.TemporaryImpact
 
evaluate(double) - Method in class org.drip.execution.impact.ParticipationRateLinear
 
evaluate(double) - Method in class org.drip.execution.impact.ParticipationRatePower
 
evaluate(double, double) - Method in class org.drip.execution.impact.TransactionFunction
Evaluate the Impact Function at the specified Trade Parameters
evaluate(double) - Method in class org.drip.execution.principal.GrossProfitExpectation
 
evaluate(double) - Method in class org.drip.function.definition.R1ToR1
Evaluate for the given variate
evaluate(double) - Method in class org.drip.function.definition.R1ToRd
Evaluate for the given Input R^1 Variate
evaluate(double[]) - Method in class org.drip.function.definition.RdToR1
Evaluate for the given Input Variates
evaluate(double[]) - Method in class org.drip.function.definition.RdToRd
Evaluate for the given Input R^d Variates
evaluate(double) - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
 
evaluate(double) - Method in class org.drip.function.r1tor1.AndersenPiterbargMeanReverter
 
evaluate(double) - Method in class org.drip.function.r1tor1.Bennett
 
evaluate(double) - Method in class org.drip.function.r1tor1.ExponentialDecay
 
evaluate(double) - Method in class org.drip.function.r1tor1.ExponentialTension
 
evaluate(double) - Method in class org.drip.function.r1tor1.FlatUnivariate
 
evaluate(double) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
 
evaluate(double) - Method in class org.drip.function.r1tor1.HyperbolicTension
 
evaluate(double) - Method in class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
 
evaluate(double) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
 
evaluate(double) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
 
evaluate(double) - Method in class org.drip.function.r1tor1.OffsetIdempotent
 
evaluate(double) - Method in class org.drip.function.r1tor1.Polynomial
 
evaluate(double) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
 
evaluate(double) - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
 
evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateConvolution
 
evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateReciprocal
 
evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateReflection
 
evaluate(double[]) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
evaluate(double[]) - Method in class org.drip.function.rdtor1.AffineMultivariate
 
evaluate(double[]) - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
 
evaluate(double[]) - Method in class org.drip.function.rdtor1.LagrangianMultivariate
 
evaluate(double[]) - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
 
evaluate(double) - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
 
evaluate(double[], double[]) - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
Compute the Eigen-Component Contribution to the Kernel Value
evaluate(double[], double[]) - Method in class org.drip.learning.kernel.MercerKernel
 
evaluate(double[], double[]) - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
Compute the Kernel's R^d X R^d To R^1 Value
evaluate(double[], double[]) - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
Compute the Kernel's R^d X R^d To R^1 Dot-Product Value
evaluate(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
 
evaluate(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Retrieve the Worst-case Loss over the Multivariate Sequence
evaluate(double[]) - Method in class org.drip.learning.svm.KernelRdDecisionFunction
 
evaluate(double[]) - Method in class org.drip.learning.svm.LinearRdDecisionFunction
 
evaluate(double[]) - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
 
evaluate(double[]) - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
 
evaluate(double[]) - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
 
evaluate(double[]) - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
 
evaluate(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
 
evaluate(double[]) - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
 
evaluate(double[]) - Method in class org.drip.sequence.functional.FlatMultivariateRandom
 
evaluate(double) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
 
evaluate(double) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
 
evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
 
evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
 
evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
 
evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
 
evaluate(double) - Method in class org.drip.spline.bspline.LeftHatShapeControl
 
evaluate(double) - Method in class org.drip.spline.bspline.RightHatShapeControl
 
evaluate(double) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
 
evaluate(double) - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
 
evaluate(double) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
 
evaluate(double) - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
 
evaluate(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
evaluate(double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
 
evaluate(double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
 
evaluateExpectation(double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
Evaluate the Expectation for the given variate
evaluateRealization(double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
Evaluate a Single Realization for the given variate
evaluator() - Method in class org.drip.measure.process.DiffusionEvolver
Retrieve the Diffusion Evaluator
EventDate - Class in org.drip.exposure.csatimeline
EventDate holds a specific Date composing BCBS/IOSCO prescribed Events Time-line occurring Margin Period.
EventDate(JulianDate, String, String) - Constructor for class org.drip.exposure.csatimeline.EventDate
EventDate Constructor
EventDateBuilder - Class in org.drip.exposure.csatimeline
EventDateBuilder builds the CSA BCBS/IOSCO Dates prescribed Events Time-line occurring Margin Period.
EventDateBuilder() - Constructor for class org.drip.exposure.csatimeline.EventDateBuilder
 
eventDates(int, int) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month
eventIndicationEvaluator() - Method in class org.drip.measure.process.JumpDiffusionEvolver
Retrieve the Hazard Point Event Indicator Instance
EventOfDefault(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Event of Default CSA Event Date
EventOfDefault(EventDate, String, int) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Cure Period Adjusted ED
EventSequence - Class in org.drip.exposure.csatimeline
EventSequence holds the BCBS/IOSCO prescribed Events Time-line occurring Margin Period.
EventSequence(EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, int, int, String) - Constructor for class org.drip.exposure.csatimeline.EventSequence
 
evolutionFinishDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
Retrieve the Evolution Finish Date
EvolutionIncrement - Class in org.drip.execution.discrete
EvolutionIncrement contains the Realized Stochastic Evolution Increments of the Price/Short-fall exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
EvolutionIncrement(MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.discrete.EvolutionIncrement
EvolutionIncrement Constructor
EvolutionMetrics - Class in org.drip.sample.hullwhite
EvolutionMetrics demonstrates the Construction and Usage of the Hull-White Metrics Using Hull-White 1F Model Dynamics for the Evolution of the Short Rate.
EvolutionMetrics() - Constructor for class org.drip.sample.hullwhite.EvolutionMetrics
 
evolutionStartDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
Retrieve the Evolution Start Date
EvolutionTrajectoryEdge - Class in org.drip.xva.derivative
EvolutionTrajectoryEdge holds the Evolution Edges of the Trajectory, the Cash Account, and the Derivative Values evolved in a Dynamically Adaptive Manner, as laid out in Burgard and Kjaer (2014).
EvolutionTrajectoryEdge(EvolutionTrajectoryVertex, EvolutionTrajectoryVertex, CashAccountEdge) - Constructor for class org.drip.xva.derivative.EvolutionTrajectoryEdge
EvolutionTrajectoryEdge Constructor
EvolutionTrajectoryVertex - Class in org.drip.xva.derivative
EvolutionTrajectoryVertex holds the Evolution Snapshot of the Trade-able Prices, the Cash Account, the Replication Portfolio, and the corresponding Derivative Value, as laid out in Burgard and Kjaer (2014).
EvolutionTrajectoryVertex(double, ReplicationPortfolioVertex, PositionGreekVertex, double, double, double, double) - Constructor for class org.drip.xva.derivative.EvolutionTrajectoryVertex
EvolutionTrajectoryVertex Constructor
evolve(int, int, int, LSQMCurveUpdate) - Method in interface org.drip.dynamics.evolution.CurveStateEvolver
Evolve the Latent State and return the LSQM Curve Update
evolve(int, int, int, LSQMPointUpdate) - Method in interface org.drip.dynamics.evolution.PointStateEvolver
Evolve the Latent State and return the LSQM Point Update
evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
 
evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
 
evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
 
evolve(int, int, int, LSQMCurveUpdate) - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
 
evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
 
evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
 
evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
Evolve a Single Time Step of the Optimal Trajectory
evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverCorrelated
 
evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
 
evolver() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Retrieve the Non Dimensional Cost Evolver
evolver() - Method in class org.drip.exposure.evolver.ScalingNumeraire
Retrieve the Scaling Numeraire Evolver
Evolver - Class in org.drip.measure.joint
Evolver exposes the Functionality that guides the Multi-Factor Random Process Variable Evolution.
Evolver(LocalEvaluator[], LocalEvaluator[], double[][]) - Constructor for class org.drip.measure.joint.Evolver
 
evolver() - Method in class org.drip.state.sequence.PathVertexRd
Retrieve the Array of the Latent State Diffusion Evolvers
evolveTrinomialTree(int, int, int, TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Generate the Metrics associated with the Transition that results from using a Trinomial Tree Using the Starting Node Metrics
evolveTrinomialTreeSequence(int, int, int, int, TrinomialTreeNodeMetrics, TrinomialTreeSequenceMetrics) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Evolve the Trinomial Tree Sequence
evolveTrinomialTreeSequence(int, int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Evolve the Trinomial Tree Sequence
excessReturns(double) - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
Retrieve the Excess Returns over the Market for the Asset
excessReturnsDistribution() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
Retrieve the R^1 Projection Space Excess Returns Normal Distribution
excessReturnsMean() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
Retrieve the Portfolio Expected Excess Returns
excessReturnsStandardDeviation() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
Retrieve the Portfolio Excess Returns Standard Deviation
excessReturnsVariance() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
Retrieve the Portfolio Excess Returns Variance
ExchangeInfo(String, String) - Static method in class org.drip.market.exchange.FuturesOptionsContainer
Retrieve the FuturesOptions Exchange Info
ExchangeInfo(ForwardLabel) - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
Retrieve the Short Term Futures Exchange Info From the Corresponding Forward Label
ExchangeInfo(String) - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
Retrieve the Short Term Futures Exchange Info From the Corresponding Forward Label
ExchangeInstrumentBuilder - Class in org.drip.service.template
ExchangeInstrumentBuilder contains static Helper API to facilitate Construction of Exchange-traded Instruments.
ExchangeInstrumentBuilder() - Constructor for class org.drip.service.template.ExchangeInstrumentBuilder
 
exchanges() - Method in class org.drip.market.exchange.FuturesOptions
Retrieve the Set of Traded Exchanges
exchanges() - Method in class org.drip.market.exchange.ShortTermFutures
Retrieve the List of Exchanges
exchanges() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Bond Futures Exchanges Array
ExchangeTradedFuturesOption(JulianDate, ForwardLabel, double, String, boolean, String, String) - Static method in class org.drip.product.creator.SingleStreamOptionBuilder
Create an Exchange-traded Standard Futures Option
ExchangeTradedOptionDefinitions - Class in org.drip.sample.treasuryfutures
ExchangeTradedOptionDefinitions contains all the pre-fixed Definitions of Exchange-traded Options on Bond Futures Contracts.
ExchangeTradedOptionDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ExchangeTradedOptionDefinitions
 
execRegression() - Method in class org.drip.regression.core.UnitRegressionExecutor
Execute the regression call within this function
execRegression() - Method in class org.drip.regression.spline.BasisSplineRegressor
 
execRegression() - Method in class org.drip.regression.spline.HermiteBasisSplineRegressor
 
execRegression() - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
 
execRegression() - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
 
executedBlockSize() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
 
executedBlockSize() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
 
executedBlockSize() - Method in interface org.drip.execution.strategy.TradingTrajectory
Retrieve the Executed Block Size
ExecutionControl - Class in org.drip.function.r1tor1solver
ExecutionControl implements the core fixed point search execution control and customization functionality.
ExecutionControl(R1ToR1, ExecutionControlParams) - Constructor for class org.drip.function.r1tor1solver.ExecutionControl
ExecutionControl constructor
ExecutionControlParams - Class in org.drip.function.r1tor1solver
ExecutionControlParams holds the parameters needed for controlling the execution of the fixed point finder.
ExecutionControlParams() - Constructor for class org.drip.function.r1tor1solver.ExecutionControlParams
Default Execution Control Parameters constructor
ExecutionControlParams(int, boolean, double, double, double, double) - Constructor for class org.drip.function.r1tor1solver.ExecutionControlParams
Execution Control Parameters constructor
ExecutionInitializationOutput - Class in org.drip.function.r1tor1solver
ExecutionInitializationOutput holds the output of the root initializer calculation.
ExecutionInitializationOutput() - Constructor for class org.drip.function.r1tor1solver.ExecutionInitializationOutput
 
ExecutionInitializationOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.ExecutionInitializationOutput
 
ExecutionInitializer - Class in org.drip.function.r1tor1solver
ExecutionInitializer implements the initialization execution and customization functionality.
ExecutionInitializer(R1ToR1, ConvergenceControlParams, boolean) - Constructor for class org.drip.function.r1tor1solver.ExecutionInitializer
ExecutionInitializer constructor
executionTime() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
 
executionTime() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
 
executionTime() - Method in interface org.drip.execution.strategy.TradingTrajectory
Retrieve the Execution Time
executionTimeNode() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
Retrieve the Array containing the Execution Time Nodes Sequence
executionTimeNodes() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Retrieve the Array containing the Execution Time Nodes
executionTimeUpperBound() - Method in class org.drip.execution.optimum.PowerImpactContinuous
Retrieve the Optimal Trajectory Execution Time Upper Bound (if it exists)
exercised() - Method in class org.drip.product.credit.BondComponent
 
exercised() - Method in class org.drip.product.definition.Bond
Indicate if the bond has been exercised
exercised() - Method in class org.drip.product.params.TerminationSetting
Indicate if the contract has been exercised
exerciseDate() - Method in class org.drip.product.option.OptionComponent
Retrieve the Option Exercise Date
exerciseDates(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
Generate the Possible Exercise Dates from the Spot Date and the Notice Period
exerciseFactors(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
Generate the Possible Exercise Factors from the Spot Date and the Notice Period
exerciseIndicator() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Path/Vertex Exercise Indicator Double Array
ExerciseInfo - Class in org.drip.analytics.output
ExerciseInfo is a place-holder for the set of exercise information.
ExerciseInfo(int, double, int) - Constructor for class org.drip.analytics.output.ExerciseInfo
Constructs the ExerciseInfo from the work-out date, type, and the exercise factor
exerciseNoticePeriod() - Method in class org.drip.product.params.EmbeddedOptionSchedule
Retrieve the exercise notice period
exerciseYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
exerciseYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Retrieve the work-out information from price
ExhaustivePermutationScan(String, int) - Static method in class org.drip.spaces.big.SubStringSetExtractor
Locate the String Set of the Target Size using an Exhaustive Permutation Scan
exists(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled CSA
exists(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled FX
exists(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Repo
exists(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Custom
exists(GovvieLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Govvie
exists(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Rating
exists(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Forward
exists(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Funding
exists(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Pay Down
exists(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Overnight
exists(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Collateral
exists(VolatilityLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Volatility
exists(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled OTC Fix Float
exists(EntityCreditLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Entity Credit
exists(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Entity Equity
exists(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Entity Hazard
exists(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Entity Funding
exists(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Check Presence of Labeled Entity Recovery
expectation() - Method in class org.drip.execution.bayesian.PriorDriftDistribution
Retrieve the Expectation of the Prior Drift Distribution
expectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
Retrieve the Total Expectation
expectation(RdToR1) - Method in class org.drip.measure.continuous.R1Multivariate
Compute the Expectation of the Specified R^d To R^1 Function Instance
expectationConjecture(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
Conjecture of the Expected Value of the LCS Length
expectationConjectureLowerBound(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
Lower Bound of the Conjecture of the Expected Value of the LCS Length
expectationConjectureUpperBound(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
Upper Bound of the Conjecture of the Expected Value of the LCS Length
expectationContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
expectationContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
expectationContribution(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Total Expectation Contribution
expectedAssetExcessReturns() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
Retrieve the Array of Expected Excess Returns for each Asset
expectedATMPayoff() - Method in class org.drip.pricer.option.Greeks
The Expected ATM Payoff
ExpectedBasicConsumption - Class in org.drip.portfolioconstruction.alm
ExpectedBasicConsumption holds the Parameters required for estimating the Investor's Basic Consumption Profile.
ExpectedBasicConsumption(double, double) - Constructor for class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
ExpectedBasicConsumption Constructor
ExpectedExcessReturnsWeights - Class in org.drip.sample.idzorek
ExpectedExcessReturnsWeights reconciles the Expected Returns and the corresponding Weights for different Input Asset Distributions using the Black-Litterman Model Process.
ExpectedExcessReturnsWeights() - Constructor for class org.drip.sample.idzorek.ExpectedExcessReturnsWeights
 
expectedExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
Retrieve the Expected Exposure
expectedFinalShortRate() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Retrieve the Expected Final Short Rate
ExpectedNonFinancialIncome - Class in org.drip.portfolioconstruction.alm
ExpectedNonFinancialIncome holds the Parameters required for estimating the Investor's Non-Financial Income Profile.
ExpectedNonFinancialIncome(double) - Constructor for class org.drip.portfolioconstruction.alm.ExpectedNonFinancialIncome
ExpectedNonFinancialIncome Constructor
expectedPayoff() - Method in class org.drip.pricer.option.Greeks
The Expected Payoff
expectedPositiveExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
Retrieve the Expected Positive Exposure
expectedRecovery() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Expected Recovery
expectedReturn(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Expected Returns of the Portfolio
expectedReturn() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties
Retrieve the Expected Returns of the Asset
expectedReturns() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
Retrieve the Array of Expected Returns
expectedReturns(String[]) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Retrieve the Asset Expected Returns Array
ExpectedReturnsTerm - Class in org.drip.portfolioconstruction.objective
ExpectedReturnsTerm holds the Details of the Portfolio Expected Returns Based Objective Terms.
ExpectedReturnsTerm(String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.ExpectedReturnsTerm
ExpectedReturnsTerm Constructor
expectedTerminalX() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Expected Final/Terminal Value for X
expiry() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
Retrieve the Expiry Date
expiry() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Futures Expiration Date
expiryCleanPrice() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Retrieve the Clean Price at Expiry
expiryDate() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Retrieve the Expiry Date
expiryDeliveryNoticeLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Lag Between the Expiry and the Delivery Notice Dates
ExpiryDeliveryTradingDates - Class in org.drip.sample.treasuryfutures
ExpiryDeliveryTradingDates illustrates Generation of Event Dates from the Expiry Month/Year of the Bond Futures Contracts.
ExpiryDeliveryTradingDates() - Constructor for class org.drip.sample.treasuryfutures.ExpiryDeliveryTradingDates
 
expiryFinalDeliveryLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Lag Between the Expiry and the Final Delivery Dates
expiryFirstDeliveryLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Lag Between the Expiry and the First Delivery Dates
expiryLastTradingLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Lag Between the Expiry and the Last Trading Dates
explainedChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Explained Interval Change
ExplicitBootCreditCurve - Class in org.drip.state.credit
ExplicitBootCreditCurve exposes the functionality associated with the bootstrapped Credit Curve.
ExplicitBootCreditCurve(int, EntityCDSLabel, String) - Constructor for class org.drip.state.credit.ExplicitBootCreditCurve
 
ExplicitBootCurve - Interface in org.drip.analytics.definition
In ExplicitBootCurve, the segment boundaries explicitly line up with the instrument maturity boundaries.
ExplicitBootDiscountCurve - Class in org.drip.state.discount
ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve.
ExplicitBootDiscountCurve(int, String) - Constructor for class org.drip.state.discount.ExplicitBootDiscountCurve
 
ExplicitBootFXCurve - Class in org.drip.state.fx
ExplicitBootFXCurve exposes the functionality associated with the bootstrapped FX Curve.
ExplicitBootFXCurve(int, CurrencyPair) - Constructor for class org.drip.state.fx.ExplicitBootFXCurve
 
ExplicitBootGovvieCurve - Class in org.drip.state.govvie
ExplicitBootGovvieCurve exposes the Functionality associated with the bootstrapped Govvie Curve.
ExplicitBootGovvieCurve(int, String, String) - Constructor for class org.drip.state.govvie.ExplicitBootGovvieCurve
 
ExplicitBootRepoCurve - Class in org.drip.state.repo
ExplicitBootRepoCurve exposes the functionality associated with the bootstrapped Repo Curve.
ExplicitBootRepoCurve(int, Component) - Constructor for class org.drip.state.repo.ExplicitBootRepoCurve
 
ExplicitBootVolatilityCurve - Class in org.drip.state.volatility
ExplicitBootVolatilityCurve exposes the functionality associated with the bootstrapped Volatility Curve.
ExplicitBootVolatilityCurve(int, VolatilityLabel, String) - Constructor for class org.drip.state.volatility.ExplicitBootVolatilityCurve
 
exponent() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
 
exponent() - Method in class org.drip.execution.athl.TemporaryImpact
 
exponent() - Method in class org.drip.execution.impact.ParticipationRatePower
 
exponent() - Method in class org.drip.execution.impact.TransactionFunctionPower
Retrieve the Power Law Exponent Market Impact Parameter
exponent() - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
Retrieve the Asymptote Exponent
exponent() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
Retrieve the Transaction Charge Exponent
ExponentialDecay - Class in org.drip.function.r1tor1
ExponentialDecay implements the scaled exponential decay Univariate Function.
ExponentialDecay(double, double) - Constructor for class org.drip.function.r1tor1.ExponentialDecay
ExponentialDecay constructor
ExponentiallyCompoundedFlatRate(JulianDate, String, double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create a Discount Curve from the Exponentially Compounded Flat Rate
ExponentialMixtureBasisSet(ExponentialMixtureSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
Construct the Exponential Mixture Basis Set y = A + B * exp(-l_1 * x) + C * exp(-l_2 * x) + D * exp(-l_3 * x)
ExponentialMixtureSetParams - Class in org.drip.spline.basis
ExponentialMixtureSetParams implements per-segment parameters for the exponential mixture basis set - the array of the exponential tension parameters, one per each entity in the mixture.
ExponentialMixtureSetParams(double[]) - Constructor for class org.drip.spline.basis.ExponentialMixtureSetParams
ExponentialMixtureSetParams constructor
ExponentialRationalBasisSet(ExponentialRationalSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
Construct the Exponential Rational Basis Set y = A + B / (1+x) + C * exp(-x) + D * exp(-x) / (1+x)
ExponentialRationalSetParams - Class in org.drip.spline.basis
ExponentialRationalSetParams implements per-segment parameters for the exponential rational basis set - the exponential tension and the rational tension parameters.
ExponentialRationalSetParams(double, double) - Constructor for class org.drip.spline.basis.ExponentialRationalSetParams
ExponentialRationalSetParams constructor
ExponentialTension - Class in org.drip.function.r1tor1
ExponentialTension provides the evaluation of the Exponential Tension Function and its derivatives for a specified variate.
ExponentialTension(double, double) - Constructor for class org.drip.function.r1tor1.ExponentialTension
ExponentialTension constructor
exponentialTension() - Method in class org.drip.spline.basis.ExponentialRationalSetParams
Get the Exponential Tension
ExponentialTensionBasisSet(ExponentialTensionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
This function implements the elastic coefficients for the segment using tension exponential basis splines inside - [0,...,1) - Globally [x_0,...,x_1).
ExponentialTensionLeftHat - Class in org.drip.spline.bspline
ExponentialTensionLeftHat implements the TensionBasisHat interface in accordance with the left exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
ExponentialTensionLeftHat(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionLeftHat
ExponentialTensionLeftHat constructor
ExponentialTensionLeftRaw - Class in org.drip.spline.bspline
ExponentialTensionLeftRaw implements the TensionBasisHat interface in accordance with the raw left exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
ExponentialTensionLeftRaw(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionLeftRaw
ExponentialTensionLeftRaw constructor
ExponentialTensionRightHat - Class in org.drip.spline.bspline
ExponentialTensionRightHat implements the TensionBasisHat interface in accordance with the right exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
ExponentialTensionRightHat(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionRightHat
ExponentialTensionRightHat constructor
ExponentialTensionRightRaw - Class in org.drip.spline.bspline
ExponentialTensionRightRaw implements the TensionBasisHat interface in accordance with the raw right exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
ExponentialTensionRightRaw(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionRightRaw
ExponentialTensionRightRaw constructor
ExponentialTensionSegmentControlParams(double, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
 
ExponentialTensionSetParams - Class in org.drip.spline.basis
ExponentialTensionSetParams implements per-segment parameters for the exponential tension basis set - currently it only contains the tension parameter.
ExponentialTensionSetParams(double) - Constructor for class org.drip.spline.basis.ExponentialTensionSetParams
ExponentialTensionSetParams constructor
Exponentiate(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Exponentiate the Complex Number
exponentScaler() - Method in class org.drip.learning.bound.CoveringNumberLossBound
Retrieve the Exponent Scaler
exposure() - Method in class org.drip.exposure.regression.PillarVertex
Retrieve the Path Pillar Exposure
exposure() - Method in class org.drip.exposure.regression.PykhtinPillar
Retrieve the Point Exposure
ExposureAdjustmentAggregator - Class in org.drip.xva.gross
ExposureAdjustmentAggregator aggregates across Multiple Exposure/Adjustment Paths belonging to the Counter Party.
ExposureAdjustmentAggregator(PathExposureAdjustment[]) - Constructor for class org.drip.xva.gross.ExposureAdjustmentAggregator
ExposureAdjustmentAggregator Constructor
ExposureAdjustmentDigest - Class in org.drip.xva.gross
ExposureAdjustmentDigest holds the "thin" Statistics of the Aggregations across Multiple Path Projection Runs along the Granularity of a Counter Party Group (i.e., across multiple Funding and Credit/Debt Netting groups).
ExposureAdjustmentDigest(double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][]) - Constructor for class org.drip.xva.gross.ExposureAdjustmentDigest
ExposureAdjustmentDigest Constructor
exposureAtDefault() - Method in class org.drip.xva.gross.BaselExposureDigest
Retrieve the Exposure At Default
exposureDateArray() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Retrieve the Array of Exposure Dates
exposureList() - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
Retrieve the Exposure Set
ExposurePathBrownianBridge - Class in org.drip.sample.pykhtin2009
ExposurePathBrownianBridge sets up a Brownian Bridge Scheme base on the Pykhtin (2009) local Volatility Methodology to estimate Exposures at Secondary Nodes.
ExposurePathBrownianBridge() - Constructor for class org.drip.sample.pykhtin2009.ExposurePathBrownianBridge
 
ExposurePathFixFloat - Class in org.drip.sample.pykhtin2009
ExposurePathFixFloat sets up a Brownian Bridge Based Dense Exposure Generation from Sparse Nodes for a Fix-Float Swap.
ExposurePathFixFloat() - Constructor for class org.drip.sample.pykhtin2009.ExposurePathFixFloat
 
ExposurePathLocalVolatility - Class in org.drip.sample.pykhtin2009
ExposurePathLocalVolatility estimates the Path-wise Local Volatility Realizations using the Pykhtin (2009) Scheme.
ExposurePathLocalVolatility() - Constructor for class org.drip.sample.pykhtin2009.ExposurePathLocalVolatility
 
extraFamilyCrossTenorCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
Retrieve the Extra-Family Cross Tenor Correlation
extraGroupCorrelation() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
Retrieve the Cross Group Correlation
Ezhou - Class in org.drip.sample.bondeos
Ezhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Ezhou.
Ezhou() - Constructor for class org.drip.sample.bondeos.Ezhou
 

F

factor() - Method in class org.drip.analytics.output.ExerciseInfo
Retrieve the Exercise Factor
factor() - Method in class org.drip.param.valuation.WorkoutInfo
Retrieve the Work-out Factor
Factor - Class in org.drip.portfolioconstruction.core
Factor holds the Details of a specific Factor.
Factor(String, String, String) - Constructor for class org.drip.portfolioconstruction.core.Factor
Factor Constructor
factor(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
Get the specific indexed factor
factorAssetLoading() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Joint Factor-Asset Loading Map
factorAssetLoading(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Loadings for the specified Factor
Factorial(int) - Static method in class org.drip.quant.common.NumberUtil
This function implements Factorial N.
factorizingOperator() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Retrieve the Factorizing Diagonal Scaling Operator Instance
factorJointAttribute() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Factor-to-Factor Attribute Map
factorPointVolatility(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Factor Point Volatility
factorPointVolatility(int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Array of Factor Point Volatilities
factors() - Method in class org.drip.product.params.EmbeddedOptionSchedule
Get the array of factors
factors() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
Retrieve the Principal Component Factor Array
factorSchedule() - Method in class org.drip.product.params.CouponSetting
Retrieve the Factor Schedule
factorWeight() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
Retrieve the Array of Factor Weights
FALSE_POSITION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
False Position
FalsePosition(double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Iterate for the next variate using false position
family() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Index Family
family() - Method in class org.drip.simm.product.CreditEntity
Retrieve the Credit Entity Family
family() - Method in class org.drip.state.identifier.FloaterLabel
Retrieve the Family
family() - Method in class org.drip.state.identifier.OvernightLabel
Retrieve the Family
Faridabad - Class in org.drip.sample.bondeos
Faridabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Faridabad.
Faridabad() - Constructor for class org.drip.sample.bondeos.Faridabad
 
fatShatteringFunction() - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
Retrieve the Fat Shattering Coefficient Function
fba() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FBA
fba() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FBA
FBB1 - Class in org.drip.sample.treasuryfuturesapi
FBB1 demonstrates the Invocation and Examination of the FBB1 10Y SPGB Treasury Futures.
FBB1() - Constructor for class org.drip.sample.treasuryfuturesapi.FBB1
 
FBB1Attribution - Class in org.drip.sample.treasuryfuturespnl
FBB1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the FBB1 Series.
FBB1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.FBB1Attribution
 
FBB1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
FBB1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated FBB1 Closes Feed.
FBB1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.FBB1ClosesReconstitutor
 
FBB1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
FBB1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the FBB1 Treasury Futures.
FBB1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.FBB1KeyRateDuration
 
fca() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FCA
fca() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FCA
FDA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the FDA Value Adjustment Instance
fda() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FDA
fda() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FDA
feasibleStart() - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
Retrieve an Array of Viable Starting Variates From Within the Feasible Region
feasibleStart() - Method in class org.drip.portfolioconstruction.asset.AssetBounds
Retrieve a Viable Feasible Starting Point
featureMaureyOperatorEntropy(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's Maurey Upper Bound for the Entropy for the specified Entropy Number and the Scaling Operator Entropy Number Upper Bound
featureMaureyOperatorNorm(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's Maurey Upper Bound for the Entropy for the specified Entropy Number and the Scaling Operator Norm
featureNormOperatorEntropy() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's Norm for the Upper Bound of the Entropy Number and the Scaling Operator Entropy Number Upper Bound
featureSpaceDimension() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
Compute the Feature Space Input Dimension
featureSpaceDimension() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
Compute the Feature Space Input Dimension
featureSpaceDimension() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Retrieve the Feature Space Dimension
featureSpaceMaureyBound(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Feature Space's Maurey Bound for the Entropy Number given the specified Entropy Number
featureSpaceMaureyConstant() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Retrieve the Feature Space Maurey Constant
FEBRUARY - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - February
FedFundFutures - Class in org.drip.sample.forwardratefutures
FedFundFutures contains the demonstration of the construction and the Valuation of the Fed Fund Futures Contract.
FedFundFutures() - Constructor for class org.drip.sample.forwardratefutures.FedFundFutures
 
FedFundOvernightCompounding - Class in org.drip.sample.fedfund
FedFundOvernightCompounding demonstrates in detail the methodology behind the overnight compounding used in the Overnight fund Floating Stream Accrual.
FedFundOvernightCompounding() - Constructor for class org.drip.sample.fedfund.FedFundOvernightCompounding
 
feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModus
Generate the Fee Policy Based on the Aggregation Incremental
feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModusFCAFBA
 
feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModusFVAFDA
 
Feicheng - Class in org.drip.sample.bondeos
Feicheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Feicheng.
Feicheng() - Constructor for class org.drip.sample.bondeos.Feicheng
 
fields() - Method in class org.drip.product.calib.ProductQuoteSet
Return the Set of Fields Available
FIFOListFromArray(double[]) - Static method in class org.drip.spaces.graph.SinglyLinkedNode
Generate a FIFO Linked List from the Value Array
FIMHoliday - Class in org.drip.analytics.holset
 
FIMHoliday() - Constructor for class org.drip.analytics.holset.FIMHoliday
 
finalDate() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
Retrieve the Final Date
finalDelivery() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
Retrieve the Final Delivery Date
finalHoldings() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
Retrieve the Final Holdings of the Optimizer Run
finalMaturity() - Method in class org.drip.product.credit.BondComponent
 
finalMaturity() - Method in class org.drip.product.definition.Bond
Return the bond's final maturity
finalMaturityDate() - Method in class org.drip.product.params.BondStream
Retrieve the Final Maturity Date
finalShortRateVariance() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Retrieve the Final Short Rate Variance
FINANCIALS - Static variable in class org.drip.simm.credit.SectorSystemics
The Financials Sector
FinancialStandard() - Static method in class org.drip.spline.stretch.BoundarySettings
Return the Instance of the Standard Financial Boundary Condition
find(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Find the Optimal Variate-Inequality Constraint Multiplier Tuple using the Iteration Parameters provided by the Convergence Control Instance
findRoot(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinder
Invoke the solution 1D root finding sequence
findRoot() - Method in class org.drip.function.r1tor1solver.FixedPointFinder
Invoke the solution 1D root finding sequence
finish() - Method in class org.drip.exposure.universe.MarketEdge
Retrieve the Market State Vertex Finish
finish() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
Retrieve the Finish
finish() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Finish Realization
finish() - Method in class org.drip.sequence.random.BoundedUniformInteger
Retrieve the Finish
finishDate() - Method in class org.drip.analytics.definition.Turn
Retrieve the Finish Date
finishSnap() - Method in class org.drip.service.env.InvocationRecord
Retrieve the Finish Snapshot
finishTime() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Finish Time
finishTime() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Retrieve the Finish Time of the Trading Trajectory
Firozabad - Class in org.drip.sample.bondsink
Firozabad generates the Full Suite of Replication Metrics for the Sinker Bond Firozabad.
Firozabad() - Constructor for class org.drip.sample.bondsink.Firozabad
 
first() - Method in class org.drip.spaces.iterator.SequenceIndexIterator
Retrieve the First Cursor
firstCouponDate() - Method in class org.drip.product.credit.BondComponent
 
firstCouponDate() - Method in class org.drip.product.credit.CDSComponent
 
firstCouponDate() - Method in class org.drip.product.definition.BasketProduct
Get the first coupon date
firstCouponDate() - Method in class org.drip.product.definition.Component
Get the First Coupon Date
firstCouponDate() - Method in class org.drip.product.fx.FXForwardComponent
 
firstCouponDate() - Method in class org.drip.product.govvie.TreasuryFutures
 
firstCouponDate() - Method in class org.drip.product.option.OptionComponent
 
firstCouponDate() - Method in class org.drip.product.rates.FixFloatComponent
 
firstCouponDate() - Method in class org.drip.product.rates.FloatFloatComponent
 
firstCouponDate() - Method in class org.drip.product.rates.RatesBasket
 
firstCouponDate() - Method in class org.drip.product.rates.SingleStreamComponent
 
firstCouponDate() - Method in class org.drip.product.rates.Stream
Retrieve the First Coupon Pay Date
firstCouponRate() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the First Coupon Rate
firstDate() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the First Date
firstDate() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the First Date of the Horizon Change
firstDelivery() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
Retrieve the First Delivery Date
firstDerivative(int, int) - Method in class org.drip.quant.calculus.WengertJacobian
Retrieve {D(Wengert)}/{D(Parameter)} for the Wengert and the parameter identified by their indices
firstIndexRate() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the First Index Rate
firstMarketParameters() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the First Date's Market Parameters
FirstPenultimateDateFixedFloat(int, int, int, int, int, double, String, String, int, int, int, int, double, DateAdjustParams, DateAdjustParams, DateAdjustParams, ForwardLabel, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
Generate Mixed Fixed-Float Stream off of the specified Parameters
FirstPenultimateDateFixedStream(int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
Generate the Fixed Stream Off of the specified Parameters
FirstPenultimateDateFloatStream(int, int, int, int, int, double, DateAdjustParams, DateAdjustParams, DateAdjustParams, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
Generate the Float Stream off of the specified Parameters
firstPeriod() - Method in class org.drip.product.params.BondStream
Return the first Coupon period
firstSettleDate() - Method in class org.drip.product.params.QuoteConvention
Retrieve the First Settle Date
Fixed - Class in org.drip.analytics.eventday
Fixed contains the fixed holiday’s date and month.
Fixed(int, int, Weekend, String) - Constructor for class org.drip.analytics.eventday.Fixed
Construct the object from the day, month, weekend, and description
fixed1DAccrualDays() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Fixed Accrual Period
fixed1DDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1D Fixed DCF
fixed1MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1M Fixed DCF
fixed3MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 3M Fixed DCF
FixedAssetBackedClient - Class in org.drip.sample.service
FixedAssetBackedClient demonstrates the Invocation and Examination of the JSON-based Fixed Payment Asset Backed Loan Service Client.
FixedAssetBackedClient() - Constructor for class org.drip.sample.service.FixedAssetBackedClient
 
FixedAssetBackedProcessor - Class in org.drip.service.json
FixedAssetBackedProcessor Sets Up and Executes a JSON Based In/Out Product Constant Payment Asset Backed Loan Processor.
FixedAssetBackedProcessor() - Constructor for class org.drip.service.json.FixedAssetBackedProcessor
 
FixedBondAPI - Class in org.drip.service.product
BondAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Generic Bond.
FixedBondAPI() - Constructor for class org.drip.service.product.FixedBondAPI
 
FixedBullet1 - Class in org.drip.sample.agency
FixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet1() - Constructor for class org.drip.sample.agency.FixedBullet1
 
FixedBullet1 - Class in org.drip.sample.corporate
FixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet1() - Constructor for class org.drip.sample.corporate.FixedBullet1
 
FixedBullet2 - Class in org.drip.sample.agency
FixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet2() - Constructor for class org.drip.sample.agency.FixedBullet2
 
FixedBullet2 - Class in org.drip.sample.corporate
FixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet2() - Constructor for class org.drip.sample.corporate.FixedBullet2
 
FixedBullet3 - Class in org.drip.sample.corporate
FixedBullet3 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet3() - Constructor for class org.drip.sample.corporate.FixedBullet3
 
FixedBullet4 - Class in org.drip.sample.corporate
FixedBullet4 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet4() - Constructor for class org.drip.sample.corporate.FixedBullet4
 
FixedBullet5 - Class in org.drip.sample.corporate
FixedBullet5 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet5() - Constructor for class org.drip.sample.corporate.FixedBullet5
 
FixedBullet6 - Class in org.drip.sample.corporate
FixedBullet6 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet6() - Constructor for class org.drip.sample.corporate.FixedBullet6
 
FixedBullet7 - Class in org.drip.sample.corporate
FixedBullet7 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet7() - Constructor for class org.drip.sample.corporate.FixedBullet7
 
FixedBullet8 - Class in org.drip.sample.corporate
FixedBullet8 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
FixedBullet8() - Constructor for class org.drip.sample.corporate.FixedBullet8
 
fixedCharge() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeFixed
Retrieve the Fixed Transaction Cost Charge
FixedChargeBuyTerm - Class in org.drip.portfolioconstruction.objective
FixedChargeBuyTerm implements the Objective Term that optimizes the Charges incurred by the Buy Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeBuyTerm(String, double[], TransactionChargeFixed[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeBuyTerm
FixedChargeBuyTerm Conastructor
FixedChargeSellTerm - Class in org.drip.portfolioconstruction.objective
FixedChargeSellTerm implements the Objective Term that optimizes the Charge incurred by the Sell Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeSellTerm(String, double[], TransactionChargeFixed[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeSellTerm
FixedChargeSellTerm Conastructor
FixedChargeTerm - Class in org.drip.portfolioconstruction.objective
FixedChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeTerm
FixedChargeTerm Constructor
FixedCompositeUnit(List<Integer>, CompositePeriodSetting, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composite Fixed Periods from the corresponding Composable Fixed Period Units
fixedCoupon() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Fixed Coupon
fixedCoupon() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Fixed Coupon
fixedCoupon() - Method in class org.drip.param.period.ComposableFixedUnitSetting
Retrieve the Fixed Coupon
FixedCoupon - Class in org.drip.sample.bondapi
FixedCoupon demonstrates the Invocation and Examination of the Metrics for the Fixed Coupon Bond.
FixedCoupon() - Constructor for class org.drip.sample.bondapi.FixedCoupon
 
FixedCouponBondPeriods - Class in org.drip.sample.cashflow
FixedCouponBondPeriods demonstrates the Cash Flow Period Details for a Fixed Coupon Bond.
FixedCouponBondPeriods() - Constructor for class org.drip.sample.cashflow.FixedCouponBondPeriods
 
FixedCouponKeyRateDuration - Class in org.drip.sample.bondapi
FixedCouponKeyRateDuration demonstrates the Invocation and Examination of the Key Rate Duration Computation for the Specified Treasury Futures.
FixedCouponKeyRateDuration() - Constructor for class org.drip.sample.bondapi.FixedCouponKeyRateDuration
 
FixedCouponRVMeasures - Class in org.drip.sample.bondapi
FixedCouponRVMeasures demonstrates the Invocation and Examination of the Relative Value Metrics for the Fixed Coupon Bond.
FixedCouponRVMeasures() - Constructor for class org.drip.sample.bondapi.FixedCouponRVMeasures
 
FixedDriftTrajectoryComparator - Class in org.drip.sample.trend
FixedDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayes' Drift, Arithmetic Volatility, and Linear Temporary Market Impact.
FixedDriftTrajectoryComparator() - Constructor for class org.drip.sample.trend.FixedDriftTrajectoryComparator
 
FixedFloatSwapConvention - Class in org.drip.market.otc
FixedFloatSwapConvention contains the Details of the Fixed-Float Swap Component of an OTC contact.
FixedFloatSwapConvention(FixedStreamConvention, FloatStreamConvention, int) - Constructor for class org.drip.market.otc.FixedFloatSwapConvention
FixedFloatSwapConvention Constructor
FixedFPToFloatFP(String, String, int, int, int, int, int, double, String, String, int, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedFToFloatF(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedFToFloatP(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedInterval(OrderSpecification, int) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Create a DiscreteTradingTrajectoryControl from Fixed Intervals
FixedPointFinder - Class in org.drip.function.r1tor1solver
FixedPointFinder is the base abstract class that is implemented by customized invocations, e.g., Newton's method, or any of the bracketing methodologies.
FixedPointFinder(double, R1ToR1, ExecutionControl, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinder
 
FixedPointFinderBracketing - Class in org.drip.function.r1tor1solver
FixedPointFinderBracketing customizes the FixedPointFinder for bracketing based fixed point finder functionality.
FixedPointFinderBracketing(double, R1ToR1, ExecutionControl, int, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderBracketing
FixedPointFinderBracketing constructor
FixedPointFinderBrent - Class in org.drip.function.r1tor1solver
FixedPointFinderBrent customizes FixedPointFinderBracketing by applying the Brent's scheme of compound variate selector.
FixedPointFinderBrent(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderBrent
FixedPointFinderBrent constructor
FixedPointFinderNewton - Class in org.drip.function.r1tor1solver
FixedPointFinderNewton customizes the FixedPointFinder for Open (Newton's) fixed point finder functionality.
FixedPointFinderNewton(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderNewton
FixedPointFinderNewton constructor
FixedPointFinderOutput - Class in org.drip.function.r1tor1solver
FixedPointFinderOutput holds the result of the fixed point search.
FixedPointFinderOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderOutput
FixedPointFinderOutput constructor
FixedPointFinderRegressionEngine - Class in org.drip.regression.fixedpointfinder
FixedPointFinderRegressionEngine implements the RegressionEngine for the Fixed Point Finder regression.
FixedPointFinderRegressionEngine(int, int) - Constructor for class org.drip.regression.fixedpointfinder.FixedPointFinderRegressionEngine
 
FixedPointFinderZheng - Class in org.drip.function.r1tor1solver
FixedPointFinderZheng implements the fixed point locator using Zheng's improvement to Brent's method.
FixedPointFinderZheng(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderZheng
FixedPointFinderZheng constructor
FixedPointSearch - Class in org.drip.sample.numerical
FixedPointSearch contains a sample illustration of usage of the Root Finder Library.
FixedPointSearch() - Constructor for class org.drip.sample.numerical.FixedPointSearch
 
FixedPToFloatF(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedPToFloatP(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
Construct a Fixed To Float Bond Component
FixedRdFinder - Class in org.drip.function.rdtor1solver
FixedRdFinder exports the Methods needed for the locating a Fixed R^d Point.
FixedRdFinder(RdToR1, LineStepEvolutionControl, ConvergenceControl) - Constructor for class org.drip.function.rdtor1solver.FixedRdFinder
 
fixedStreamConvention() - Method in class org.drip.market.otc.FixedFloatSwapConvention
Retrieve the Fixed Stream Convention
FixedStreamConvention - Class in org.drip.market.otc
FixedStreamConvention contains the details of the fixed stream of an OTC fixed-float IBOR/Overnight Swap Contact.
FixedStreamConvention(String, String, String, String, String, int) - Constructor for class org.drip.market.otc.FixedStreamConvention
FixedStreamConvention Constructor
FixedStreamMPoR - Class in org.drip.exposure.generator
FixedStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fixed Coupon Stream off of the Realized Market Path.
FixedStreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.FixedStreamMPoR
FixedStreamMPoR Constructor
fixedStreamMPoR() - Method in class org.drip.exposure.generator.FixFloatMPoR
Retrieve the Fixed Stream MPoR
FixedStreamQuoteSet - Class in org.drip.product.calib
FixedStreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Fixed Stream.
FixedStreamQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FixedStreamQuoteSet
FixedStreamQuoteSet Constructor
FixedThreshold(String, double, double, int, int, double, int) - Static method in class org.drip.xva.proto.PositionGroupSpecification
Generate a Fixed-Threshold Instance of the Named Position Group
FixedUnits(int, int, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composable Fixed Units from the inputs
FixFloatAggressiveLong - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
FixFloatAggressiveLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatAggressiveLong
 
FixFloatAggressiveShort - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
FixFloatAggressiveShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatAggressiveShort
 
FixFloatAPI - Class in org.drip.service.product
FixFloatAPI contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.
FixFloatAPI() - Constructor for class org.drip.service.product.FixFloatAPI
 
FixFloatBaselPositionEstimator - Class in org.drip.exposure.holdings
FixFloatBaselPositionEstimator evaluates the Value of a Fix Float Position Group given the Realized Market Path using the Basel Scheme.
FixFloatBaselPositionEstimator(int, OTCFixFloatLabel) - Constructor for class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
FixFloatBaselPositionEstimator Constructor
FixFloatClassicalMinusLong - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
FixFloatClassicalMinusLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalMinusLong
 
FixFloatClassicalMinusShort - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
FixFloatClassicalMinusShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalMinusShort
 
FixFloatClassicalPlusLong - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
FixFloatClassicalPlusLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalPlusLong
 
FixFloatClassicalPlusShort - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
FixFloatClassicalPlusShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalPlusShort
 
FixFloatClient - Class in org.drip.sample.service
FixFloatClient demonstrates the Invocation and Examination of the JSON-based Fix Float Valuation Service Client.
FixFloatClient() - Constructor for class org.drip.sample.service.FixFloatClient
 
FixFloatComponent - Class in org.drip.product.rates
FixFloatComponent contains the implementation of the Fix-Float Index Basis Swap product contract/valuation details.
FixFloatComponent(Stream, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.FixFloatComponent
Construct the FixFloatComponent from the Reference Fixed and the Derived Floating Streams.
FixFloatConservativeLong - Class in org.drip.sample.andersen2017vm
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
FixFloatConservativeLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatConservativeLong
 
FixFloatConservativeShort - Class in org.drip.sample.andersen2017vm
FixFloatConservativeShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
FixFloatConservativeShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatConservativeShort
 
FixFloatCustom(JulianDate, ForwardLabel, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct a Standard Fix Float Swap Instances
FixFloatCustom(JulianDate, ForwardLabel, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of Custom Fix Float Swap Instances
FixFloatEuropeanOption - Class in org.drip.product.option
FixFloatEuropeanOption implements the Payer/Receiver European Option on the Fix-Float Swap.
FixFloatEuropeanOption(String, FixFloatComponent, String, boolean, double, double, LastTradingDateSetting, CashSettleParams) - Constructor for class org.drip.product.option.FixFloatEuropeanOption
FixFloatEuropeanOption constructor
FixFloatExplainProcessor - Class in org.drip.historical.engine
FixFloatExplainProcessor contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.
FixFloatExplainProcessor(FixFloatComponent, int, String, double, JulianDate, JulianDate, CurveSurfaceQuoteContainer, CurveSurfaceQuoteContainer, CaseInsensitiveHashMap<CurveSurfaceQuoteContainer>) - Constructor for class org.drip.historical.engine.FixFloatExplainProcessor
FixFloatExplainProcessor Constructor
FixFloatFixFloat - Class in org.drip.sample.cross
FixFloatFixFloat demonstrates the construction, the usage, and the eventual valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.
FixFloatFixFloat() - Constructor for class org.drip.sample.cross.FixFloatFixFloat
 
FixFloatFixFloatAnalysis - Class in org.drip.sample.cross
FixFloatFixFloat demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation across the 2 currencies (USD and EUR) on the Valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.
FixFloatFixFloatAnalysis() - Constructor for class org.drip.sample.cross.FixFloatFixFloatAnalysis
 
FixFloatForwardCurve - Class in org.drip.sample.multicurve
FixFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves from fix-float swaps and the discount curves.
FixFloatForwardCurve() - Constructor for class org.drip.sample.multicurve.FixFloatForwardCurve
 
FixFloatFundingInstrument - Class in org.drip.service.api
FixFloatFundingInstrument contains the Fix Float Instrument Inputs for the Funding Curve Construction Purposes.
FixFloatFundingInstrument(JulianDate, String, String[], double[], int) - Constructor for class org.drip.service.api.FixFloatFundingInstrument
FixFloatFundingInstrument Constructor
FixFloatInAdvanceIMMPeriods - Class in org.drip.sample.cashflow
FixFloatInAdvanceIMMPeriods demonstrates the Cash Flow Period Details for an In-Advance Fix-Float IMM Swap.
FixFloatInAdvanceIMMPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInAdvanceIMMPeriods
 
FixFloatInAdvancePeriods - Class in org.drip.sample.cashflow
FixFloatInAdvancePeriods demonstrates the Cash Flow Period Details for an In-Advance Fix-Float Swap.
FixFloatInAdvancePeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInAdvancePeriods
 
FixFloatInArrearsIMMPeriods - Class in org.drip.sample.cashflow
FixFloatInArrearsIMMPeriods demonstrates the Cash Flow Period Details for an In-Arrears Fix-Float IMM Swap.
FixFloatInArrearsIMMPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInArrearsIMMPeriods
 
FixFloatInArrearsPeriods - Class in org.drip.sample.cashflow
FixFloatInArrearsPeriods demonstrates the Cash Flow Period Details for an In-Arrears Fix-Float Swap.
FixFloatInArrearsPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInArrearsPeriods
 
FixFloatMetricComparison - Class in org.drip.sample.cms
FixFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears Variants of the CMS Fix-Float Swap.
FixFloatMetricComparison() - Constructor for class org.drip.sample.cms.FixFloatMetricComparison
 
FixFloatMonteCarloEvolver - Class in org.drip.sample.lmm
FixFloatMonteCarloEvolver demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of a Standard Fix-Float Swap.
FixFloatMonteCarloEvolver() - Constructor for class org.drip.sample.lmm.FixFloatMonteCarloEvolver
 
FixFloatMPoR - Class in org.drip.exposure.generator
FixFloatMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fix Float Component off of the Realized Market Path.
FixFloatMPoR(FixFloatComponent, double) - Constructor for class org.drip.exposure.generator.FixFloatMPoR
FixFloatMPoR Constructor
FixFloatPnLAttributor - Class in org.drip.feed.metric
FixFloatPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the Standard OTC Fix Float Swap.
FixFloatPnLAttributor() - Constructor for class org.drip.feed.metric.FixFloatPnLAttributor
 
FixFloatProcessor - Class in org.drip.service.json
FixFloatProcessor Sets Up and Executes a JSON Based In/Out Fix Float Swap Valuation Processor.
FixFloatProcessor() - Constructor for class org.drip.service.json.FixFloatProcessor
 
fixFloatQuote() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Fix-Float IRS Instrument Quotes
FixFloatQuoteSet - Class in org.drip.product.calib
FixFloatQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Fix-Float Swap Component.
FixFloatQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FixFloatQuoteSet
FixFloatQuoteSet Constructor
FixFloatStandard(JulianDate, String, String, String, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Standard Fix Float Swap using the specified Input Parameters
FixFloatStandard(JulianDate, String, String, String[], String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
FixFloatSwap - Class in org.drip.sample.multicurve
FixFloatSwap contains a full valuation run on the Multi-Curve Fix-Float IRS Product.
FixFloatSwap() - Constructor for class org.drip.sample.multicurve.FixFloatSwap
 
FixFloatSwapAnalysis - Class in org.drip.sample.multicurve
FixFloatSwapAnalysis contains an analysis if the correlation and volatility impact on the fix-float Swap.
FixFloatSwapAnalysis() - Constructor for class org.drip.sample.multicurve.FixFloatSwapAnalysis
 
FixFloatSwapIMM - Class in org.drip.sample.multicurve
FixFloatSwapIMM contains a full valuation run on the IMM Fix-Float Swap Product.
FixFloatSwapIMM() - Constructor for class org.drip.sample.multicurve.FixFloatSwapIMM
 
fixFloatTenor() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Fix-Float IRS Instrument Maturity Tenors
fixFloatTenor() - Method in class org.drip.state.identifier.OTCFixFloatLabel
Retrieve the Fix Float Tenor
FixFloatVABank - Class in org.drip.sample.burgard2012
FixFloatVABank illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the Bank Spread using the Set of Netting Group Exposure Simulations.
FixFloatVABank() - Constructor for class org.drip.sample.burgard2012.FixFloatVABank
 
FixFloatVACounterParty - Class in org.drip.sample.burgard2012
FixFloatVACounterParty illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the Counter Party Spread using the Set of Netting Group Exposure Simulations.
FixFloatVACounterParty() - Constructor for class org.drip.sample.burgard2012.FixFloatVACounterParty
 
FixFloatVarianceAnalysis - Class in org.drip.sample.cms
FixFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and Correlation on the CMS Fix-Float Swap.
FixFloatVarianceAnalysis() - Constructor for class org.drip.sample.cms.FixFloatVarianceAnalysis
 
fixing() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
fixing() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Latent State Fixings Container
fixing() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
 
fixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Fixing for the Specified Date/LSL Combination
fixing(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Fixing for the Specified Date/LSL Combination
fixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Retrieve the Latent State Fixing for the Specified Date/LSL Combination
fixing(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Retrieve the Latent State Fixing for the Specified Date
FIXING_COMPOSITE_PERIOD_END - Static variable in class org.drip.param.period.FixingSetting
Fixing Based off of the End of the Composite Period
FIXING_COMPOSITE_PERIOD_START - Static variable in class org.drip.param.period.FixingSetting
Fixing Based off of the Start of the Composite Period
FIXING_PRESET_STATIC - Static variable in class org.drip.param.period.FixingSetting
Fixing Based off of the Start of a Pre-determined Static Date
fixingDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Reference Period Fixing Date
fixings() - Method in class org.drip.param.definition.ScenarioMarketParams
Retrieve the Latent State Fixings Container
fixings() - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Latent State Fixings
fixings() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
FixingSetting - Class in org.drip.param.period
FixingSetting implements the custom setting parameters for the Latent State Fixing Settings.
FixingSetting(int, DateAdjustParams, int) - Constructor for class org.drip.param.period.FixingSetting
FixingSetting Constructor
fixingType() - Method in class org.drip.market.otc.CrossFloatSwapConvention
Retrieve the Fixing Setting Type
fjm() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the Fritz John Mutipliers
FLAT - Static variable in class org.drip.param.definition.ManifestMeasureTweak
Flat Manifest Measure Tweak Mode
flatCreditDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat Credit Delta Measure Map
flatCreditGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat Credit Gamma Measure Map
flatCurve(double, boolean, double) - Method in class org.drip.state.credit.CreditCurve
Create a flat hazard curve from the inputs
flatCurve(double, boolean, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
flatform() - Method in class org.drip.measure.discrete.VertexRd
Flatten out into a 2D Array
FlatForward(int, VolatilityLabel, String, double) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Flat Constant Forward Volatility Forward Curve
flatForward(int[]) - Method in class org.drip.state.curve.BasisSplineGovvieYield
Construct a Flat Forward Instance of the Curve at the specified Date Nodes
flatForward(String[]) - Method in class org.drip.state.curve.BasisSplineGovvieYield
Construct a Flat Forward Instance of the Curve at the specified Date Node Tenors
flatForward(String, int, int[]) - Method in class org.drip.state.discount.DiscountCurve
Construct a Flat Forward Instance of the Curve at the specified Date Nodes
FlatForwardDiscountCurve - Class in org.drip.state.nonlinear
FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State Response Representation.
FlatForwardDiscountCurve(JulianDate, String, int[], double[], boolean, String, int) - Constructor for class org.drip.state.nonlinear.FlatForwardDiscountCurve
Boot-strap a constant forward discount curve from an array of dates and discount rates
FlatForwardDiscountCurve(FlatForwardDiscountCurve) - Constructor for class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
FlatForwardForwardCurve(JulianDate, ForwardLabel, double) - Static method in class org.drip.state.creator.ScenarioForwardCurveBuilder
Construct an Instance of the Flat Forward Rate Forward Curve
FlatForwardForwardCurve - Class in org.drip.state.nonlinear
FlatForwardForwardCurve contains an implementation of the flat forward rate forward curve.
FlatForwardForwardCurve(JulianDate, ForwardLabel, double) - Constructor for class org.drip.state.nonlinear.FlatForwardForwardCurve
FlatForwardForwardCurve constructor
FlatForwardFXCurve - Class in org.drip.state.nonlinear
FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.
FlatForwardFXCurve(int, CurrencyPair, double, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardFXCurve
FlatForwardVolatilityCurve Constructor
FlatForwardGovvieCurve - Class in org.drip.state.nonlinear
FlatForwardGovvieCurve manages the Govvie Latent State, using the Flat Forward Rate as the State Response Representation.
FlatForwardGovvieCurve(int, String, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardGovvieCurve
Construct a Govvie Curve from an Array of Dates and Flat Forward Yields
FlatForwardRepoCurve - Class in org.drip.state.nonlinear
FlatForwardRepoCurve manages the Repo Latent State, using the Forward Repo Rate as the State Response Representation.
FlatForwardRepoCurve(int, Component, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardRepoCurve
FlatForwardRepoCurve Constructor
FlatForwardVolatilityCurve - Class in org.drip.state.nonlinear
FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State Response Representation.
FlatForwardVolatilityCurve(int, VolatilityLabel, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardVolatilityCurve
FlatForwardVolatilityCurve Constructor
FlatHazard(int, String, String, double, double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create a CreditCurve instance from a single node hazard rate
flatIRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat IR Delta Measure Map
flatIRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat IR Gamma Measure Map
FlatMultivariateRandom - Class in org.drip.sequence.functional
FlatMultivariateRandom contains the Implementation of the Flat Objective Function dependent on Multivariate Random Variables.
FlatMultivariateRandom(double) - Constructor for class org.drip.sequence.functional.FlatMultivariateRandom
FlatMultivariateRandom Constructor
flatNativeForward(int[], double) - Method in class org.drip.state.discount.DiscountCurve
Construct Flat Native Forward Instance of the Curve at the specified Date Nodes
flatNativeForward(String[], double) - Method in class org.drip.state.discount.DiscountCurve
Construct Flat Native Forward Instance of the Curve at the specified Date Node Tenors
flatNativeForwardEI(int[], int, double) - Method in class org.drip.state.discount.DiscountCurve
Construct Flat Native Forward Instance of the Curve at the specified Date Nodes with (Exclusive/Inclusive) Bumps applied within the Tenors
FlatRateRepoCurve(JulianDate, Component, double) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Construct a Repo Curve using the Flat Repo Rate
flatRRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat RR Delta Measure Map
flatRRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Flat RR Gamma Measure Map
FlatStringTo2DSDMap(String, String, String, boolean, String) - Static method in class org.drip.quant.common.CollectionUtil
Turn a flattened 2D (string, double) string sequence into its corresponding map
FlatStringTo3DSDMap(String, String, String, String, boolean, String) - Static method in class org.drip.quant.common.CollectionUtil
Turn a flattened 3D (string, string, double) string sequence into its corresponding map
FlatStringTo4DSDMap(String, String, String, String, boolean, String) - Static method in class org.drip.quant.common.CollectionUtil
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
FlatUnivariate - Class in org.drip.function.r1tor1
FlatUnivariate implements the level constant Univariate Function.
FlatUnivariate(double) - Constructor for class org.drip.function.r1tor1.FlatUnivariate
FlatUnivariate constructor
flatValue() - Method in class org.drip.sequence.functional.FlatMultivariateRandom
Retrieve the Flat Value
flatVolatilityFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
Imply the Flat Cap/Floor Volatility from the Calibration Price
FlatYieldGovvieCurve - Class in org.drip.state.nonlinear
FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response Representation.
FlatYieldGovvieCurve(int, String, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatYieldGovvieCurve
Construct a Govvie curve from an array of dates and Yields
flexureConstraint() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
Retrieve the Array of Segment Basis Flexure Constraints
FliegelvanFlandernJulian - Class in org.drip.sample.date
Fliegel van Flandern demonstrates Gregorian To-From Julian Date Conversion Functionality.
FliegelvanFlandernJulian() - Constructor for class org.drip.sample.date.FliegelvanFlandernJulian
 
floatCouponConvention() - Method in class org.drip.product.credit.BondComponent
 
floatCouponConvention() - Method in class org.drip.product.definition.Bond
Return the bond's floating coupon convention
FloaterIndex - Class in org.drip.market.definition
FloaterIndex contains the definitions of the floating rate indexes of different jurisdictions.
FloaterIndex(String, String, String, String, String, int) - Constructor for class org.drip.market.definition.FloaterIndex
FloaterIndex Constructor
floaterIndex() - Method in class org.drip.market.otc.FloatStreamConvention
Retrieve the Forward Label
floaterIndex() - Method in class org.drip.state.identifier.FloaterLabel
Retrieve the Floater Index
floaterLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Floater Label
floaterLabel() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Retrieve the Floater Label
floaterLabel() - Method in class org.drip.param.period.ComposableFloatingUnitSetting
Retrieve the Floater Label
floaterLabel() - Method in class org.drip.product.rates.Stream
Retrieve the Floater Label
FloaterLabel - Class in org.drip.state.identifier
FloaterLabel is an Abstract Class that underpins the Latent State Labels that use a Single Floater Index.
FloaterLabel(FloaterIndex, String) - Constructor for class org.drip.state.identifier.FloaterLabel
 
floaterSetting() - Method in class org.drip.product.credit.BondComponent
 
floaterSetting() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond floater setting
FloaterSetting - Class in org.drip.product.params
FloaterSetting contains the component's floating rate parameters.
FloaterSetting(FloaterLabel, String, double, double) - Constructor for class org.drip.product.params.FloaterSetting
Construct the FloaterSetting from the Floater Label, the Day Count, the Spread, and the Current Full CSoupon
FloatFloat(JulianDate, String, String, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Float-Float Swap Instance
FloatFloat(JulianDate, String, String, String[], double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Float-Float Swap Instances
FloatFloatComponent - Class in org.drip.product.rates
FloatFloatComponent contains the implementation of the Float-Float Index Basis Swap product contract/valuation details.
FloatFloatComponent(Stream, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.FloatFloatComponent
Construct the FloatFloatComponent from the Reference and the Derived Floating Streams.
FloatFloatFloatFloat - Class in org.drip.sample.cross
FloatFloatFloatFloat demonstrates the construction, the usage, and the eventual valuation of the Cross Currency Basis Swap built out of a pair of float-float swaps.
FloatFloatFloatFloat() - Constructor for class org.drip.sample.cross.FloatFloatFloatFloat
 
FloatFloatFloatFloatAnalysis - Class in org.drip.sample.cross
FloatFloatFloatFloatAnalysis demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation of the Cross Currency Basis Swap built out of a pair of float-float swaps.
FloatFloatFloatFloatAnalysis() - Constructor for class org.drip.sample.cross.FloatFloatFloatFloatAnalysis
 
FloatFloatForwardCurve - Class in org.drip.sample.multicurve
FloatFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves.
FloatFloatForwardCurve() - Constructor for class org.drip.sample.multicurve.FloatFloatForwardCurve
 
FloatFloatMetricComparison - Class in org.drip.sample.cms
FloatFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears Variants of the CMS Float-Float Swap.
FloatFloatMetricComparison() - Constructor for class org.drip.sample.cms.FloatFloatMetricComparison
 
FloatFloatQuoteSet - Class in org.drip.product.calib
FloatFloatQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Float-Float Swap Component.
FloatFloatQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FloatFloatQuoteSet
FloatFloatQuoteSet Constructor
FloatFloatSwapConvention - Class in org.drip.market.otc
FloatFloatSwapConvention contains the Details of the IBOR Float-Float Component of an OTC contact.
FloatFloatSwapConvention(String, String, boolean, boolean, boolean, boolean, int) - Constructor for class org.drip.market.otc.FloatFloatSwapConvention
FloatFloatSwapConvention Constructor
FloatFloatVarianceAnalysis - Class in org.drip.sample.cms
FloatFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and Correlation on the CMS Float-Float Swap.
FloatFloatVarianceAnalysis() - Constructor for class org.drip.sample.cms.FloatFloatVarianceAnalysis
 
floating1DAccrualDays() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Floating Accrual Period
floating1DDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1D Floating DCF
floating1MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 1M Floating DCF
floating3MDCF() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period 3M Floating DCF
FloatingCompositeUnit(List<Integer>, CompositePeriodSetting, ComposableFloatingUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composite Floating Period from the corresponding Composable Floating Period Units
FloatingCouponBondPeriods - Class in org.drip.sample.cashflow
FloatingCouponBondPeriods demonstrates the Cash Flow Period Details for a Floating Coupon Bond.
FloatingCouponBondPeriods() - Constructor for class org.drip.sample.cashflow.FloatingCouponBondPeriods
 
FloatingStandard() - Static method in class org.drip.spline.stretch.BoundarySettings
Return the Instance of the Standard Floating Boundary Condition
FloatingStreamQuoteSet - Class in org.drip.product.calib
FloatingStreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Floating Stream.
FloatingStreamQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FloatingStreamQuoteSet
FloatingStreamQuoteSet Constructor
FloatingUnits(int, int, ComposableFloatingUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct the List of Composable Floating Units from the inputs
floatSpread() - Method in class org.drip.product.credit.BondComponent
 
floatSpread() - Method in class org.drip.product.definition.Bond
Return the floating spread of the bond
floatStreamConvention() - Method in class org.drip.market.otc.FixedFloatSwapConvention
Retrieve the Float Stream Convention
FloatStreamConvention - Class in org.drip.market.otc
FloatStreamConvention contains the details of the Floating Stream of an OTC IBOR/Overnight fix-float Swap Contract.
FloatStreamConvention(ForwardLabel, String) - Constructor for class org.drip.market.otc.FloatStreamConvention
FloatStreamConvention Constructor
floatStreamMPoR() - Method in class org.drip.exposure.generator.FixFloatMPoR
Retrieve the Float Stream MPoR
FloatStreamMPoR - Class in org.drip.exposure.generator
FloatStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Float Stream off of the Realized Market Path.
FloatStreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.FloatStreamMPoR
FloatStreamMPoR Constructor
FokkerPlanckGenerator - Class in org.drip.pricer.option
FokkerPlanckGenerator holds the base functionality that the performs the PDF evolution oriented Option Pricing.
FokkerPlanckGenerator() - Constructor for class org.drip.pricer.option.FokkerPlanckGenerator
 
following() - Method in class org.drip.spline.bspline.SegmentBasisFunction
Retrieve the Following Predictor Ordinate
fonc() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the First Order Necessary Condition
ForeignCollateralDomesticForex - Class in org.drip.sample.piterbarg2012
ForeignCollateralDomesticForex demonstrates the construction and the usage of Foreign Currency Collateralized Domestic Pay-out FX forward product, and generation of its measures.
ForeignCollateralDomesticForex() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForex
 
ForeignCollateralDomesticForexAnalysis - Class in org.drip.sample.piterbarg2012
ForeignCollateralDomesticForexAnalysis contains an analysis of the correlation and volatility impact on the price of a Foreign Collateralized Domestic Pay-out Forex Contract.
ForeignCollateralDomesticForexAnalysis() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForexAnalysis
 
ForeignCollateralizedDiscountCurve - Class in org.drip.state.curve
ForeignCollateralizedDiscountCurve computes the discount factor corresponding to one unit of domestic currency collateralized by a foreign collateral.
ForeignCollateralizedDiscountCurve(String, MergedDiscountForwardCurve, FXCurve, VolatilityCurve, VolatilityCurve, R1ToR1) - Constructor for class org.drip.state.curve.ForeignCollateralizedDiscountCurve
ForeignCollateralizedDiscountCurve constructor
ForeignCollateralizedDomesticForward - Class in org.drip.product.fx
ForeignCollateralizedDomesticForward contains the Foreign Currency Collateralized Domestic Payout FX forward product contract details.
ForeignCollateralizedDomesticForward(CurrencyPair, double, JulianDate) - Constructor for class org.drip.product.fx.ForeignCollateralizedDomesticForward
Create an ForeignCollateralizedDomesticForward from the currency pair, the strike, and the maturity dates
ForeignCollateralizedZeroCoupon - Class in org.drip.sample.piterbarg2012
ForeignCollateralizedZeroCoupon contains an analysis of the correlation and volatility impact on the single cash flow discount factor of a Foreign Collateralized Zero Coupon.
ForeignCollateralizedZeroCoupon() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralizedZeroCoupon
 
FormatDouble(double, int, int, double, boolean) - Static method in class org.drip.quant.common.FormatUtil
Format the double input by multiplying, and then adding left and right adjustments
FormatDouble(double, int, int, double) - Static method in class org.drip.quant.common.FormatUtil
Format the double input by multiplying, and then adding left and right adjustments
FormatUtil - Class in org.drip.quant.common
FormatUtil implements formatting utility functions.
FormatUtil() - Constructor for class org.drip.quant.common.FormatUtil
 
FormulationTerm - Class in org.drip.portfolioconstruction.optimizer
FormulationTerm holds the Core Objective/Constraint Formulation Terms.
FormulationTerm(String, String, String, String) - Constructor for class org.drip.portfolioconstruction.optimizer.FormulationTerm
 
forward(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Forward Latent State
forward() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Forward Latent State Node Container
forward(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Forward
Forward(String[], double[], double[][], double) - Static method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
Construct an Instance of ForwardReverseOptimizationOutput from a Standard Forward Optimize Operation
forward(int) - Method in class org.drip.state.curve.BasisSplineForwardRate
 
forward(int, int) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
forward(int, int) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
forward(int, int) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
forward(int, int) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
forward(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Compute the Forward Rate between two Dates
forward(String, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Compute the Forward Rate between two Tenors
forward(JulianDate) - Method in class org.drip.state.forward.ForwardCurve
 
forward(String) - Method in class org.drip.state.forward.ForwardCurve
 
forward(int) - Method in interface org.drip.state.forward.ForwardRateEstimator
Calculate the Forward Rate to the given Date
forward(JulianDate) - Method in interface org.drip.state.forward.ForwardRateEstimator
Calculate the Forward Rate to the given date
forward(String) - Method in interface org.drip.state.forward.ForwardRateEstimator
Calculate the Forward Rate to the tenor implied by the given date
forward(int, int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
forward(int) - Method in class org.drip.state.nonlinear.FlatForwardForwardCurve
 
FORWARD_PRICE_CREDIT_BASIS - Static variable in class org.drip.product.govvie.TreasuryFutures
 
FORWARD_PRICE_OAS - Static variable in class org.drip.product.govvie.TreasuryFutures
 
FORWARD_PRICE_YIELD - Static variable in class org.drip.product.govvie.TreasuryFutures
 
FORWARD_PRICE_ZSPREAD - Static variable in class org.drip.product.govvie.TreasuryFutures
 
FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Continuously Compounded Forward Rate
FORWARD_QM_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Forward Rate
FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Instantaneous Effective Annual Forward Rate
FORWARD_QM_INSTANTANEOUS_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Instantaneous Forward Rate
FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Instantaneous Nominal Annual Forward Rate
FORWARD_QM_LIBOR_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - LIBOR Rate
FORWARD_QM_SHIFTED_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State Quantification Metric - Shifted Forward Rate
ForwardBondCreditPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Credit Basis
ForwardBondCreditPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Credit Basis
ForwardBondOASPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond OAS
ForwardBondOASPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond OAS
ForwardBondYieldPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Yield
ForwardBondYieldPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Yield
ForwardBondZSpreadPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Z Spread
ForwardBondZSpreadPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
Compute the Forward Bond Price Using the Implied Bond Z Spread
ForwardContract - Class in org.drip.sample.piterbarg2010
ForwardContract examines the Valuation of Forward Contract under CSA and non-CSA Settle Agreements.
ForwardContract() - Constructor for class org.drip.sample.piterbarg2010.ForwardContract
 
forwardCurve() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the LIBOR Forward Curve
forwardCurve() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Forward Curve Instance
ForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
ForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
ForwardCurve - Class in org.drip.state.forward
ForwardCurve is the stub for the forward curve functionality.
ForwardCurve(int, ForwardLabel) - Constructor for class org.drip.state.forward.ForwardCurve
 
forwardCurveIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the LIBOR Forward Curve Increment Span
ForwardCurveReferenceComponentBasis(String, String, JulianDate, MergedDiscountForwardCurve, ForwardCurve, ForwardCurve, MergedDiscountForwardCurve, ForwardCurve, double, SegmentCustomBuilderControl, String[], double[], boolean) - Static method in class org.drip.sample.dual.CCBSForwardCurve
 
ForwardDecompositionUtil - Class in org.drip.analytics.support
ForwardDecompositionUtil contains the utility functions needed to carry out periodic decomposition at MTM sync points for the given stream.
ForwardDecompositionUtil() - Constructor for class org.drip.analytics.support.ForwardDecompositionUtil
 
ForwardDerivedBasisSensitivity - Class in org.drip.sample.sensitivity
ForwardDerivedBasisSensitivity contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves.
ForwardDerivedBasisSensitivity() - Constructor for class org.drip.sample.sensitivity.ForwardDerivedBasisSensitivity
 
ForwardEdgeDates(JulianDate, JulianDate, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of period edge dates forward from the start.
ForwardEdgeDates(int, int, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of period edge dates forward from the start.
forwardExists(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Forward Latent State Exists
forwardForwardCorrelation(ForwardLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Forward Latent States
forwardFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Forward/Funding Convexity Adjustment
forwardFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Forward/Funding Convexity Adjustment
forwardFundingCorrelation(ForwardLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Funding Latent States
forwardFundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the Merged Forward/Funding Predictor/Response Constraint
ForwardFundingStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Merged Forward-Funding Latent State Stretch Spec Instance
ForwardFundingStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Merged Forward-Funding Latent State Stretch Spec Instance
forwardFundingTenorCSQCDown() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Down Instances of the Forward Funding Curve CSQC
forwardFundingTenorCSQCUp() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Up Instances of the Forward Funding Curve CSQC
forwardFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Forward/FX Convexity Adjustment
forwardFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Forward/FX Convexity Adjustment
forwardFXCorrelation(ForwardLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the FX Latent State Labels
forwardGovvieCorrelation(ForwardLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Govvie Latent States
ForwardGovvieYield - Class in org.drip.sample.intexfeed
ForwardGovvieYield generates the Forward Govvie Yields over Monthly Increments with Maturity up to 60Y for different Govvie Tenors.
ForwardGovvieYield() - Constructor for class org.drip.sample.intexfeed.ForwardGovvieYield
 
ForwardHazardCreditCurve - Class in org.drip.state.nonlinear
ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response Representation.
ForwardHazardCreditCurve(int, EntityCDSLabel, String, double[], int[], double[], int[], int) - Constructor for class org.drip.state.nonlinear.ForwardHazardCreditCurve
Create a credit curve from hazard rate and recovery rate term structures
ForwardJack(JulianDate, String, ForwardCurve, String) - Static method in class org.drip.sample.forward.IBORCurve
 
forwardLabel() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Retrieve the Forward Label
forwardLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Forward Latent State Label, if it exists
forwardLabel() - Method in class org.drip.product.credit.BondComponent
 
forwardLabel() - Method in class org.drip.product.credit.CDSComponent
 
forwardLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Array of Forward Labels
forwardLabel() - Method in class org.drip.product.definition.BasketProduct
 
forwardLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Map of Forward Latent State Labels
forwardLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
forwardLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
forwardLabel() - Method in class org.drip.product.option.OptionComponent
 
forwardLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
forwardLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
forwardLabel() - Method in class org.drip.product.rates.RatesBasket
 
forwardLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
forwardLabel() - Method in class org.drip.product.rates.Stream
Retrieve the Forward Label, if Present
ForwardLabel - Class in org.drip.state.identifier
ForwardLabel contains the Index Parameters referencing a payment on a Forward Index.
ForwardLabel(FloaterIndex, String) - Constructor for class org.drip.state.identifier.ForwardLabel
 
forwardMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Forward Evolver Map
forwardOvernightCorrelation(ForwardLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Overnight Latent States
forwardPaydownCorrelation(ForwardLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Pay-down Latent States
forwardPrice() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Path/Vertex Forward Price Double Array
forwardPrice() - Method in class org.drip.product.params.CTDEntry
Retrieve the CTD Forward Price
forwardPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the Forward Predictor/Response Constraint
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward Factor Latent State from the Component's Cash Flows.
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the State Loading Constraints for the Forward Latent State
forwardRate() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate
forwardRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
Retrieve the Forward Rate
forwardRate() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Retrieve the Forward Rate
ForwardRateDeposit(JulianDate, String, ForwardLabel) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor
ForwardRateDeposit(JulianDate, String[], ForwardLabel) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance corresponding to the specified Floating Rate Index
ForwardRateEstimator - Interface in org.drip.state.forward
ForwardRateEstimator is the interface that exposes the calculation of the Forward Rate for a specific Index.
forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
ForwardRateEvolution - Class in org.drip.sample.sabr
ForwardRateEvolution demonstrates the Construction and Usage of the SABR Model Dynamics for the Evolution of Forward Rate.
ForwardRateEvolution() - Constructor for class org.drip.sample.sabr.ForwardRateEvolution
 
ForwardRateFuturePeriods - Class in org.drip.sample.cashflow
ForwardRateFuturePeriods demonstrates the Cash Flow Period Details for a Forward Rate Futures Instrument.
ForwardRateFuturePeriods() - Constructor for class org.drip.sample.cashflow.ForwardRateFuturePeriods
 
ForwardRateFutures(JulianDate, ForwardLabel) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Create a Forward Rate Futures Product Instance from the Spot Date and the Forward Label
ForwardRateFutures(JulianDate, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
Generate a Forward Rate Futures Contract corresponding to the Spot Date
ForwardRateFuturesClient - Class in org.drip.sample.service
ForwardRateFuturesClient demonstrates the Invocation and Examination of the JSON-based Forward Rate Futures Valuation Service Client.
ForwardRateFuturesClient() - Constructor for class org.drip.sample.service.ForwardRateFuturesClient
 
ForwardRateFuturesCode(String, int) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Construct the Forward Rate Futures Code given a Effective Date
ForwardRateFuturesPack(JulianDate, int, String) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Generate a Forward Rate Futures Pack corresponding to the Specified Number of Contracts
ForwardRateFuturesPack(JulianDate, int, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of Contracts
ForwardRateFuturesProcessor - Class in org.drip.service.json
ForwardRateFuturesProcessor Sets Up and Executes a JSON Based In/Out Forward Rate Futures Valuation Processor.
ForwardRateFuturesProcessor() - Constructor for class org.drip.service.json.ForwardRateFuturesProcessor
 
forwardRateIncrement() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate Increment
ForwardRates - Class in org.drip.service.api
ForwardRates contains the array of the forward rates.
ForwardRates() - Constructor for class org.drip.service.api.ForwardRates
Empty ForwardRates constructor
ForwardRateUpdate - Class in org.drip.dynamics.sabr
ForwardRateUpdate contains the Increment and Snapshot of the Forward Rate Latent State evolved through the SABR Dynamics.
forwardRateVolatility() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate Volatility
ForwardRateVolatilityCurve(JulianDate, ForwardLabel, boolean, String[], double[], double[], String, MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
forwardRateVolatilityIncrement() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
Retrieve the Forward Rate Volatility Increment
forwardRatingCorrelation(ForwardLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Rating Latent States
forwardRecoveryCorrelation(ForwardLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Recovery Latent States
ForwardReferenceBasisSensitivity - Class in org.drip.sample.sensitivity
ForwardReferenceBasisSensitivity contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves.
ForwardReferenceBasisSensitivity() - Constructor for class org.drip.sample.sensitivity.ForwardReferenceBasisSensitivity
 
forwardRepoCorrelation(ForwardLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Forward and the Repo Latent States
ForwardReverseOptimizationOutput - Class in org.drip.portfolioconstruction.allocator
ForwardReverseOptimizationOutput holds the Metrics that result from a Forward/Reverse Optimization Run.
ForwardReverseOptimizationOutput(Portfolio, PortfolioMetrics, double, double[][], double[]) - Constructor for class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
ForwardReverseOptimizationOutput Constructor
forwardState(ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Forward State corresponding to the Label
ForwardStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Forward Latent State Stretch Spec Instance
ForwardStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Forward Latent State Stretch Spec Instance
ForwardSwapRate - Class in org.drip.sample.intexfeed
ForwardSwapRate generates the Forward Swap Rates over Monthly Increments with Maturity up to 60 Years for different Swap Tenors.
ForwardSwapRate() - Constructor for class org.drip.sample.intexfeed.ForwardSwapRate
 
forwardVolatility(ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified Forward Latent State Label
ForwardVolatilityState - Class in org.drip.template.state
ForwardVolatilityState sets up the Calibration and the Construction of the Volatility Latent State for the Forward Latent State and examine the Emitted Metrics.
ForwardVolatilityState() - Constructor for class org.drip.template.state.ForwardVolatilityState
 
ForwardVolatilityStateShifted - Class in org.drip.template.statebump
ForwardVolatilityStateShifted demonstrates the Generation and the Usage of Tenor Bumped Forward Volatility Curves.
ForwardVolatilityStateShifted() - Constructor for class org.drip.template.statebump.ForwardVolatilityStateShifted
 
forwardYield(int, int) - Method in class org.drip.state.govvie.GovvieCurve
 
forwardYield(int, int) - Method in interface org.drip.state.govvie.YieldEstimator
Estimate the Forward Yield between the specified Dates
Foshan - Class in org.drip.sample.bondeos
Foshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Foshan.
Foshan() - Constructor for class org.drip.sample.bondeos.Foshan
 
FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>, String, String, String) - Static method in class org.drip.quant.common.CollectionUtil
Flatten a 4D SSSD map structure onto a string array
fra() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
Retrieve the Underlying FRA Instance
FRAComponentQuoteSet - Class in org.drip.product.calib
FRAComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FRA Component.
FRAComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FRAComponentQuoteSet
FRAComponentQuoteSet Constructor
FRAMarket(JulianDate, ForwardLabel, double) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Create a FRA Market Component Instance from the Spot Date, the Forward Label, and the Strike
FRAMarketComponent - Class in org.drip.product.fra
FRAMarketComponent contains the implementation of the Standard Multi-Curve FRA product whose payoff is dictated off of Market FRA Conventions.
FRAMarketComponent(String, Stream, double, CashSettleParams) - Constructor for class org.drip.product.fra.FRAMarketComponent
FRAMarketComponent constructor
FRAMarketPeriods - Class in org.drip.sample.cashflow
FRAMarketPeriods demonstrates the Cash Flow Period Details for a Market FRA.
FRAMarketPeriods() - Constructor for class org.drip.sample.cashflow.FRAMarketPeriods
 
FRAMktMetric(JulianDate, MergedDiscountForwardCurve, ForwardCurve, String, VolatilityCurve, VolatilityCurve, double) - Static method in class org.drip.sample.fra.MultiCurveFRAMarketAnalysis
 
fraRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
Retrieve the FRA Rate
FRAStandard(JulianDate, ForwardLabel, double) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
FRAStandard(JulianDate, ForwardLabel, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
FRAStandard(JulianDate, ForwardLabel, String[], double[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike
FRAStandardCapFloor - Class in org.drip.product.fra
FRAStandardCapFloor implements the Caps and Floors on the Standard FRA.
FRAStandardCapFloor(String, Stream, String, boolean, double, LastTradingDateSetting, CashSettleParams, FokkerPlanckGenerator) - Constructor for class org.drip.product.fra.FRAStandardCapFloor
FRAStandardCapFloor constructor
FRAStandardCapFloorlet - Class in org.drip.product.fra
FRAStandardCapFloorlet implements the Standard FRA Caplet and Floorlet.
FRAStandardCapFloorlet(String, FRAStandardComponent, String, boolean, double, double, LastTradingDateSetting, FokkerPlanckGenerator, CashSettleParams) - Constructor for class org.drip.product.fra.FRAStandardCapFloorlet
FRAStandardCapFloorlet constructor
FRAStandardComponent - Class in org.drip.product.fra
FRAStandardComponent contains the implementation of the Standard Multi-Curve FRA Component.
FRAStandardComponent(String, Stream, double, CashSettleParams) - Constructor for class org.drip.product.fra.FRAStandardComponent
FRAStandardComponent constructor
FRAStandardOption - Class in org.drip.sample.fra
FRAStandardOption contains the demonstration of the Valuation of an Option on a Multi-Curve FRA Standard.
FRAStandardOption() - Constructor for class org.drip.sample.fra.FRAStandardOption
 
FRAStandardOptionAnalysis - Class in org.drip.sample.fra
FRAStandardOptionAnalysis contains the demonstration of the custom volatility-correlation analysis of Option on a Standard Multi-Curve FRA.
FRAStandardOptionAnalysis() - Constructor for class org.drip.sample.fra.FRAStandardOptionAnalysis
 
FRAStandardPeriods - Class in org.drip.sample.cashflow
FRAStandardPeriods demonstrates the Cash Flow Period Details for a Standard FRA.
FRAStandardPeriods() - Constructor for class org.drip.sample.cashflow.FRAStandardPeriods
 
FRAStdCapFloor - Class in org.drip.sample.capfloor
FRAStdCapFloor demonstrates the creation, invocation, usage, and valuation of the FRA Cap/Floor.
FRAStdCapFloor() - Constructor for class org.drip.sample.capfloor.FRAStdCapFloor
 
FRAStdCapFloorAnalysis - Class in org.drip.sample.capfloor
FRAStdCapFloorAnalysis contains an analysis if the correlation and volatility impact on a Cap/Floor of the standard FRA.
FRAStdCapFloorAnalysis() - Constructor for class org.drip.sample.capfloor.FRAStdCapFloorAnalysis
 
FRAStdCapModels - Class in org.drip.sample.capfloor
FRAStdCapModels runs a side-by-side comparison of the FRA Cap sequence using different models.
FRAStdCapModels() - Constructor for class org.drip.sample.capfloor.FRAStdCapModels
 
FRAStdCapMonteCarlo - Class in org.drip.sample.capfloor
FRAStdCapMonteCarlo demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of a FRA Cap.
FRAStdCapMonteCarlo() - Constructor for class org.drip.sample.capfloor.FRAStdCapMonteCarlo
 
FRAStdCapSequence - Class in org.drip.sample.capfloor
FRAStdCapSequence demonstrates the Product Creation, Market Parameters Construction, and Valuation of a Sequence of Standard FRA Caps.
FRAStdCapSequence() - Constructor for class org.drip.sample.capfloor.FRAStdCapSequence
 
freq() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Coupon Frequency
freq() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Coupon Frequency
freq() - Method in class org.drip.analytics.daycount.ActActDCParams
Retrieve the Frequency
freq() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Frequency
freq() - Method in class org.drip.param.period.UnitCouponAccrualSetting
Retrieve the Coupon Frequency
freq() - Method in class org.drip.param.quoting.YieldInterpreter
Retrieve the Frequency
freq() - Method in class org.drip.product.credit.BondComponent
 
freq() - Method in class org.drip.product.credit.CDSComponent
 
freq() - Method in class org.drip.product.definition.Bond
Return the bond's coupon frequency
freq() - Method in class org.drip.product.definition.Component
Retrieve the Coupon Frequency
freq() - Method in class org.drip.product.fx.FXForwardComponent
 
freq() - Method in class org.drip.product.govvie.TreasuryFutures
 
freq() - Method in class org.drip.product.option.OptionComponent
 
freq() - Method in class org.drip.product.rates.FixFloatComponent
 
freq() - Method in class org.drip.product.rates.FloatFloatComponent
 
freq() - Method in class org.drip.product.rates.RatesBasket
 
freq() - Method in class org.drip.product.rates.SingleStreamComponent
 
freq() - Method in class org.drip.product.rates.Stream
Retrieve the Stream Frequency
freq() - Method in class org.drip.state.govvie.GovvieCurve
Retrieve the Yield Frequency
frequency() - Method in class org.drip.assetbacked.loan.Coupon
Retrieve the Loan Coupon Frequency
frequency() - Method in class org.drip.market.issue.TreasurySetting
Retrieve the Frequency
frequency() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Coupon Frequency
FRFHoliday - Class in org.drip.analytics.holset
 
FRFHoliday() - Constructor for class org.drip.analytics.holset.FRFHoliday
 
fri() - Method in class org.drip.product.params.FloaterSetting
Retrieve the Floater Label
FRIDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Friday
FritzJohnMultipliers - Class in org.drip.optimization.constrained
FritzJohnMultipliers holds the Array of the Fritz John/KKT Multipliers for the Array of the Equality and the Inequality Constraints, one per each Constraint.
FritzJohnMultipliers(double, double[], double[]) - Constructor for class org.drip.optimization.constrained.FritzJohnMultipliers
FritzJohnMultipliers Constructor
fritzJohnMultipliers() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Fritz John Mutipliers
FromAmerican(int, int[], double[], boolean, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
Create the discretized American EOS schedule from the array of dates and factors
FromAmerican(int, int[], double[], boolean, int, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
Create the discretized American EOS schedule from the array of dates and factors
FromAnnualReturnsSettings(double, double, double, double) - Static method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
Construct the Asset Dynamics Settings from the Annual Returns Parameters
FromArray(double[], double[]) - Static method in class org.drip.quant.common.Array2D
Create the Array2D Instance from a Matched Array of X and Y
FromArray(int[], double[]) - Static method in class org.drip.quant.common.Array2D
Create the Array2D Instance from a Matched Array of X and Y
fromBack() - Method in class org.drip.analytics.eventday.DateInMonth
Retrieve the Flag indicating whether the Lag is from the Front/Back
FromBaseCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, DiscountCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
Construct an Instance from the Input Curve and the related Parameters
FromBracketingCustomBCP(BracketingControlParams) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from Custom Bracketing Control Parameters
FromBracketingEdgeHints(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the bracketing edge soft hints
FromBracketingFloorCeiling(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the bracketing hard floor/ceiling
FromBracketingMidHint(double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the bracketing mid hint
FromCode(String) - Static method in class org.drip.product.params.CurrencyPair
Construct the Currency Pair from the Code
FromCode(String, JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Treasury Bond From the Code
FromCode(String, JulianDate[], JulianDate[], double[]) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Array of the Treasury Instances from the Code
FromConfidence(MultivariateMeta, double[], double[][], double[][], double) - Static method in class org.drip.measure.bayesian.ProjectionDistributionLoading
Generate the ProjectionDistributionLoading Instance from the Confidence Level
FromContract(String) - Static method in class org.drip.market.exchange.TreasuryFuturesOptionContainer
Retrieve the Treasury Futures Option Convention from the Contract Name
FromDateAmountVertex(String, int, double) - Static method in class org.drip.quant.common.Array2D
Generate the Array2D Schedule from the String Representation of the Vertex Dates and Edge Payments Combination.
FromDateFactorVertex(String, int, double) - Static method in class org.drip.quant.common.Array2D
Generate an Array2D Instance from the String Array containing semi-colon delimited Date/Factor Vertex Pair
FromDateFactorVertex(String, int) - Static method in class org.drip.quant.common.Array2D
Generate an Array2D Instance from the String Array containing semi-colon delimited Date/Factor Vertex Pair
FromDiscountCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, DiscountCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
Construct an Instance from the Discount Curve and the related Parameters
FromExponentialPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Cubic Polynomial Numerator and Exponential Denominator
FromFirstPenultimateCouponDate(int, int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, boolean, String, String, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.params.BondStream
Construct an Instance of BondStream from the First/Penultimate Dates using the specified Parameters
FromFlatForm(double[][]) - Static method in class org.drip.measure.discrete.VertexRd
Construct a VertexRd Instance from the R^d Sequence
FromFrequency(int) - Static method in class org.drip.analytics.daycount.ActActDCParams
Construct an ActActDCParams from the specified Frequency
FromGovvieCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, GovvieCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
Construct an Instance from the Govvie Curve and the related Parameters
FromHardSearchEdges(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the hard search edges
FromHyperbolicPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Hyperbolic Hat Primitive Set
FromIRCSG(String, CalibratableComponent[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an DiscountCurveScenarioContainer Instance from the currency and the array of the calibration instruments
FromJurisdictionTypeMaturity(String, String, String, String) - Static method in class org.drip.market.exchange.TreasuryFuturesConventionContainer
Retrieve the Treasury Futures Convention from the Currency, the Type, the Sub-type, and the Maturity Tenor
FromList(List<Double>) - Static method in class org.drip.measure.statistics.UnivariateDiscreteThin
Generate a UnivariateDiscreteThin Instance from the specified List of Double's
FromMarketVertexArray(MarketVertex[]) - Static method in class org.drip.exposure.universe.MarketPath
Generate the Market Path from Market Vertex Array
FromMDY(String, String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from the MDY
FromMultivariateMetrics(MultivariateMoments) - Static method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Construct an Instance of AUSP from the corresponding MultivariateMetrics Instance
FromPredictorResponsePair(double, double) - Static method in class org.drip.spline.params.SegmentResponseValueConstraint
Generate a SegmentResponseValueConstraint instance from the given predictor/response pair.
FromRationalLinearPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Cubic Polynomial Numerator and Linear Rational Denominator
FromRationalQuadraticPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
Implement the Basis Function Set from the Cubic Polynomial Numerator and Quadratic Rational Denominator
FromStringSet(String, String) - Static method in class org.drip.quant.common.Array2D
Create the Array2D Instance from a Matched String Array of X and Y
FromTenor(JulianDate, String[]) - Static method in class org.drip.analytics.support.Helper
Convert the Array of Tenors into Dates off of a Spot
FromUnitRandom(List<LatentStateLabel>, double[][]) - Static method in class org.drip.exposure.universe.LatentStateWeiner
Construct an Instance of LatentStateWeiner from the Arrays of Latent State and their Weiner Increments
FromXYDeltaArray(double[], double[], double) - Static method in class org.drip.quant.common.Array2D
Create the Array2D Instance from a Matched Array of X and Y Deltas
FRTR(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the French Treasury EUR FRTR Bond
ftdcolva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Bilateral Collateral VA
ftdcolva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for Bilateral Collateral VA
FTDCVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the FTDCVA Value Adjustment Instance
ftdcva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Bilateral/FTD CVA
ftdcva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FTD CVA
ftddva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Bilateral DVA
FULL_FRONT_PERIOD - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Period Set Generation Customization - Merge the front periods to produce a long front
fullConfidenceOutput() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Full Projection Confidence Black Litterman Run Output
fullConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator For 100% Confidence in the Projection
fullCouponDCF() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Period Full Coupon DCF
fullCouponRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Get the Period Full Coupon Rate
fullName() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Full Name of the Credit Index
fullProjectionConfidenceDeviation() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Full Projection Induced Equilibrium Asset Deviation Array
fullProjectionConfidenceWeight() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Full Projection Induced Equilibrium Asset Weight Array
FULLY_INVESTED_CONSTRAINT - Static variable in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
FULLY_INVESTED_CONSTRAINT - The Mandatory Completely Invested Constraint
FullyInvested() - Static method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
Construct a Fully Invested Instance of PortfolioEqualityConstraintSettings
fullyInvestedConstraint() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
Retrieve the Fully Invested Equality Constraint
fullyQualifiedName() - Method in class org.drip.market.exchange.FuturesOptions
Retrieve the Fully Qualified Name
fullyQualifiedName() - Method in class org.drip.state.identifier.CollateralLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.CSALabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.CustomLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.EntityCreditLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.EntityDesignateLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.FloaterLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.FundingLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.FXLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.GovvieLabel
 
fullyQualifiedName() - Method in interface org.drip.state.identifier.LatentStateLabel
Retrieve the Fully Qualified Name
fullyQualifiedName() - Method in class org.drip.state.identifier.OTCFixFloatLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.OvernightLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.PaydownLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.RatingLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.RepoLabel
 
fullyQualifiedName() - Method in class org.drip.state.identifier.VolatilityLabel
 
funcClassA() - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Retrieve the Function Class A
funcClassB() - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Retrieve the Function Class B
function() - Method in class org.drip.sequence.functional.EfronSteinMetrics
Retrieve the Multivariate Objective Function
function() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
Retrieve the Underlying R1ToR1 Function
function() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
Retrieve the Underlying RdToR1 Function
function() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
Retrieve the Underlying R1ToRd Function
function() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
Retrieve the Underlying RdToRd Function
function() - Method in class org.drip.xva.derivative.TerminalPayout
Retrieve the R^1 To R^1 Pay-out Function
functionClass() - Method in class org.drip.function.r1tor1.FunctionClassSupremum
Retrieve the Class of Functions
functionClass() - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Retrieve the Underlying Learner Function Class
functionClass() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
FunctionClassCoveringBounds - Interface in org.drip.spaces.cover
FunctionClassCoveringBounds implements the estimate Lower/Upper Bounds and/or Absolute Values of the Covering Number for the Function Class.
FunctionClassSupremum - Class in org.drip.function.r1tor1
FunctionClassSupremum implements the Univariate Function that corresponds to the Supremum among the specified Class of Functions.
FunctionClassSupremum(R1ToR1[]) - Constructor for class org.drip.function.r1tor1.FunctionClassSupremum
FunctionClassSupremum Cnstructor
functionR1ToR1Set() - Method in class org.drip.spaces.functionclass.NormedR1ToNormedR1Finite
Retrieve the Finite Class of R^1 To R^1 Functions
functionRdToR1Set() - Method in class org.drip.spaces.functionclass.NormedRdToNormedR1Finite
Retrieve the Finite Class of R^d To R^1 Functions
functionSequenceMetrics(R1ToR1) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Generate the Metrics for the Univariate Function Sequence
FunctionSet - Class in org.drip.spline.basis
This class implements the basis spline function set.
FunctionSet(R1ToR1[]) - Constructor for class org.drip.spline.basis.FunctionSet
 
FunctionSetBuilder - Class in org.drip.spline.basis
This class implements the basis set and spline builder for the following types of splines: - Exponential basis tension splines - Hyperbolic basis tension splines - Polynomial basis splines - Bernstein Polynomial basis splines - Kaklis Pandelis basis tension splines This elastic coefficients for the segment using Ck basis splines inside [0,...,1) - Globally [x_0,...,x_1) are extracted for: y = Estimator (Ck, x) * ShapeControl (x) where x is the normalized ordinate mapped as x becomes (x - x_i-1) / (x_i - x_i-1) The inverse quadratic/rational spline is a typical shape controller spline used.
FunctionSetBuilder() - Constructor for class org.drip.spline.basis.FunctionSetBuilder
 
FunctionSetBuilderParams - Interface in org.drip.spline.basis
FunctionSetBuilderParams is an empty stub class whose derived implementations hold the per-segment basis set parameters.
functionSpaces() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
Retrieve the Array of Function Spaces in the Class
functionSpaces() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Retrieve the Array of Function Spaces in the Class
FunctionSupremumUnivariateRandom - Class in org.drip.sequence.functional
FunctionSupremumUnivariateRandom contains the Implementation of the FunctionClassSupremum Objective Function dependent on Univariate Random Variable.
FunctionSupremumUnivariateRandom(R1ToR1[], R1) - Constructor for class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
FunctionSupremumUnivariateRandom Constructor
FundConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.OvernightFixedFloatContainer
Retrieve the Fix-Float Overnight Fund Convention for the specified Jurisdiction
funding(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Funding Latent State
funding() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Funding Latent State Node Container
funding(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Funding
funding() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
Retrieve the Funding Exposure of the Collateral Group
funding() - Method in class org.drip.xva.vertex.AlbaneseAndersen
 
funding() - Method in class org.drip.xva.vertex.BurgardKjaer
 
funding() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
 
funding01UpCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Funding Curve Flat Bumped 1 bp
fundingBaseCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Base Funding Curve
FundingBasisEvolver - Class in org.drip.exposure.csadynamics
FundingBasisEvolver implements a Two Factor Stochastic Funding Model Evolver with a Log Normal Forward Process and a Mean Reverting Diffusion Process for the Funding Spread.
FundingBasisEvolver(DiffusionEvaluatorLogarithmic, DiffusionEvaluatorMeanReversion, double) - Constructor for class org.drip.exposure.csadynamics.FundingBasisEvolver
FundingBasisEvolver Constructor
fundingBenefitAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingBenefitAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingBenefitAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Benefit Adjustment
fundingBenefitAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Benefit Adjustment
fundingBenefitAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
fundingCostAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingCostAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingCostAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Cost Adjustment
fundingCostAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Cost Adjustment
fundingCostAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
FundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
FundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
FundingCurveAPI - Class in org.drip.service.state
FundingCurveAPI computes the Metrics associated the Funding Curve State.
FundingCurveAPI() - Constructor for class org.drip.service.state.FundingCurveAPI
 
FundingCurveMetrics - Class in org.drip.historical.state
FundingCurveMetrics holds the computed Metrics associated the Funding Curve State.
FundingCurveMetrics(JulianDate) - Constructor for class org.drip.historical.state.FundingCurveMetrics
FundingCurveMetrics Constructor
FundingCurveQuoteSensitivity - Class in org.drip.sample.sensitivity
FundingCurveQuoteSensitivity demonstrates the calculation of the Funding curve sensitivity to the calibration instrument quotes.
FundingCurveQuoteSensitivity() - Constructor for class org.drip.sample.sensitivity.FundingCurveQuoteSensitivity
 
fundingDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Debt Adjustment
fundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Debt Adjustment
fundingDebtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
FundingDeposit(JulianDate, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor
FundingDeposit(JulianDate, String, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
FundingDepositFutures(JulianDate, String, String[], int) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Funding Deposit and Futures Instruments
fundingEuroDollarCSQC() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the CSQC built out of the Base Euro Dollar Curve
fundingExists(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Funding Latent State Exists
fundingExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Funding Exposures
fundingExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Funding Exposure
fundingExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Funding Exposure PV
fundingExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Funding Exposure PV
FundingFixFloatMarksReconstitutor - Class in org.drip.feed.transformer
FundingFixFloatMarksReconstitutor transforms the Funding Instrument Manifest Measures (e.g., Forward Rate for Deposits, Forward Rate for Futures, and Swap Rates for Fix/Float Swap) Feed Inputs into Formats appropriate for Funding Curve Construction and Measure Generation.
FundingFixFloatMarksReconstitutor() - Constructor for class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
 
fundingFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Map of Funding Parallel Bumped Curves for the given Basket Product
fundingFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and Forward Latent States from the Component's Cash Flows.
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the State Loading Constraints for the Merged Forward/Funding Latent State
fundingFundingCorrelation(FundingLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Funding Latent States
FundingFuturesAPI - Class in org.drip.service.product
FundingFuturesAPI contains the Functionality associated with the Horizon Analysis of the Funding Futures.
FundingFuturesAPI() - Constructor for class org.drip.service.product.FundingFuturesAPI
 
FundingFuturesClosesReconstitutor - Class in org.drip.feed.transformer
FundingFuturesClosesReconstitutor transforms the Funding Futures Closes- Feed Inputs into Formats suitable for Valuation Metrics and Sensitivities Generation.
FundingFuturesClosesReconstitutor() - Constructor for class org.drip.feed.transformer.FundingFuturesClosesReconstitutor
 
fundingFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Funding/FX Convexity Adjustment
fundingFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
Retrieve the Funding/FX Convexity Adjustment
fundingFXCorrelation(FundingLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the FX Latent States
fundingGovvieCorrelation(FundingLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Govvie Latent States
fundingGroup(String) - Method in class org.drip.xva.topology.Adiabat
Retrieve the Funding Group identified by the ID
FundingGroup - Class in org.drip.xva.topology
FundingGroup represents an Aggregation of Credit Debt Groups with a common Funding Group Specification.
FundingGroup(String, String, FundingGroupSpecification) - Constructor for class org.drip.xva.topology.FundingGroup
FundingGroup Constructor
FundingGroupBilateralCSA - Class in org.drip.sample.xvastrategy
FundingGroupBilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the "Bilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupBilateralCSA() - Constructor for class org.drip.sample.xvastrategy.FundingGroupBilateralCSA
 
FundingGroupHedgeError - Class in org.drip.sample.xvastrategy
FundingGroupHedgeError demonstrates the Simulation Run of the Funding Group Exposure using the "Hedge Error" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupHedgeError() - Constructor for class org.drip.sample.xvastrategy.FundingGroupHedgeError
 
fundingGroupMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Funding Group Map
FundingGroupPath - Class in org.drip.xva.netting
FundingGroupPath holds up the Strategy Abstract Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Groups onto a Single Funding Group - the Purpose being to calculate Funding Valuation Adjustments.
FundingGroupPath(CreditDebtGroupPath[], MarketPath) - Constructor for class org.drip.xva.netting.FundingGroupPath
 
FundingGroupPerfectReplication - Class in org.drip.sample.xvastrategy
FundingGroupPerfectReplication demonstrates the Simulation Run of the Funding Group Exposure using the "Perfect Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupPerfectReplication() - Constructor for class org.drip.sample.xvastrategy.FundingGroupPerfectReplication
 
FundingGroupSemiReplication - Class in org.drip.sample.xvastrategy
FundingGroupSemiReplication demonstrates the Simulation Run of the Funding Group Exposure using the "Semi Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupSemiReplication() - Constructor for class org.drip.sample.xvastrategy.FundingGroupSemiReplication
 
FundingGroupSetOff - Class in org.drip.sample.xvastrategy
FundingGroupSetOff demonstrates the Simulation Run of the Funding Group Exposure using the "Set Off" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupSetOff() - Constructor for class org.drip.sample.xvastrategy.FundingGroupSetOff
 
FundingGroupSpecification - Class in org.drip.xva.proto
GroupSpecification contains the Specification Base of a Named Group.
FundingGroupSpecification(String, String, EntityFundingLabel, EntityFundingLabel, EntityFundingLabel) - Constructor for class org.drip.xva.proto.FundingGroupSpecification
FundingGroupSpecification Constructor
fundingGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
Retrieve the Funding Group Specification
fundingGroupSpecification() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Funding Group Specification
fundingGroupTrajectoryPaths() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
Retrieve the Array of the Funding Group Trajectory Paths
FundingGroupUnilateralCSA - Class in org.drip.sample.xvastrategy
FundingGroupUnilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the "Unilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupUnilateralCSA() - Constructor for class org.drip.sample.xvastrategy.FundingGroupUnilateralCSA
 
fundingLabel() - Method in class org.drip.analytics.cashflow.Bullet
Return the Funding Label
fundingLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Funding Label
fundingLabel() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Funding Label
fundingLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Funding Latent State Label, if it exists
fundingLabel() - Method in class org.drip.product.credit.BondComponent
 
fundingLabel() - Method in class org.drip.product.credit.CDSComponent
 
fundingLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Array of Funding Curve Latent State Labels
fundingLabel() - Method in class org.drip.product.definition.BasketProduct
 
fundingLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Funding Curve Latent State Label
fundingLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
fundingLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
fundingLabel() - Method in class org.drip.product.option.OptionComponent
 
fundingLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
fundingLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
fundingLabel() - Method in class org.drip.product.rates.RatesBasket
 
fundingLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
fundingLabel() - Method in class org.drip.product.rates.Stream
Retrieve the Funding Label
FundingLabel - Class in org.drip.state.identifier
FundingLabel contains the Identifier Parameters referencing the Latent State of the named Funding Discount Curve.
fundingMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Funding Evolver Map
FundingNativeForwardReconciler - Class in org.drip.sample.multicurve
FundingNativeForwardReconciler demonstrates the Construction of the Forward Curve Native to the Discount Curve across different Tenors, and display their Reconciliation.
FundingNativeForwardReconciler() - Constructor for class org.drip.sample.multicurve.FundingNativeForwardReconciler
 
fundingNumeraireProcess(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Generate the Funding Numeraire Diffusion Process
fundingOvernightCorrelation(FundingLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Overnight Latent States
fundingPaydownCorrelation(FundingLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Pay-down Latent States
fundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.Bullet
Generate the Funding Predictor/Response Constraint
fundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the Funding Predictor/Response Constraint
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding Curve Discount Factor Latent State from the Component's Cash Flows.
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the State Loading Constraints for the Funding Latent State
fundingRatingCorrelation(FundingLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Rating Latent States
fundingRecoveryCorrelation(FundingLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Recovery Latent States
fundingRepoCorrelation(FundingLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Funding and the Repo Latent States
fundingSegmentPaths() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Array of Position Groups Collected into Funding Group Collateral Vertex Paths
fundingSegments() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Position Groups Sorted into Funding Group Segments
fundingSpreadEvolver() - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Retrieve the Funding Spread Diffusion Evolver
fundingSpreadNumeraireProcess(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Generate the Funding Spread Numeraire Diffusion Process
fundingState(FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Funding Latent State Corresponding to the Label
fundingState() - Method in class org.drip.service.api.FixFloatFundingInstrument
Retrieve the Funding State
FundingState - Class in org.drip.template.state
FundingState sets up the Calibration of the Funding Latent State and examine the Emitted Metrics.
FundingState() - Constructor for class org.drip.template.state.FundingState
 
FundingStateClient - Class in org.drip.sample.service
FundingStateClient demonstrates the Invocation and Examination of the JSON-based Funding Service Client.
FundingStateClient() - Constructor for class org.drip.sample.service.FundingStateClient
 
FundingStateShifted - Class in org.drip.template.statebump
FundingStateShifted generates a Sequence of Tenor Bumped Funding Curves.
FundingStateShifted() - Constructor for class org.drip.template.statebump.FundingStateShifted
 
FundingStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Funding Latent State Stretch Spec Instance
FundingStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a Funding Latent State Stretch Spec Instance
fundingTenorBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product
fundingTenorBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
fundingTenorCSQCDown() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Down Instances of the Funding Curve CSQC
fundingTenorCSQCUp() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Up Instances of the Funding Curve CSQC
fundingTenorMarketParams(Component, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component
fundingTenorMarketParams(Component, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
fundingTransferPricing() - Method in class org.drip.xva.basel.OTCAccountingPolicy
Retrieve the Funding Transfer Pricing
fundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
fundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
fundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Funding Value Adjustment
fundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Funding Value Adjustment
fundingValueAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
fundingVolatility(FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the Funding Latent State Label
Fuqing - Class in org.drip.sample.bondeos
Fuqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuqing.
Fuqing() - Constructor for class org.drip.sample.bondeos.Fuqing
 
Fushun - Class in org.drip.sample.bondeos
Fushun demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fushun.
Fushun() - Constructor for class org.drip.sample.bondeos.Fushun
 
futureQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Future Quotes
FuturesComponentQuoteSet - Class in org.drip.product.calib
FuturesComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Short-term Interest Rate Futures Component.
FuturesComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FuturesComponentQuoteSet
FuturesComponentQuoteSet Constructor
FuturesHelper - Class in org.drip.analytics.support
FuturesHelper contains the Collection of the Futures Valuation related Utility Functions.
FuturesHelper() - Constructor for class org.drip.analytics.support.FuturesHelper
 
FuturesIndex() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
Retrieve the Treasury Futures Index
FuturesOption(JulianDate, ForwardLabel, double, String, boolean, CashSettleParams) - Static method in class org.drip.product.creator.SingleStreamOptionBuilder
Create a Standard Futures Option
FuturesOptions - Class in org.drip.market.exchange
FuturesOptions contains the details of the exchange-traded Short-Term Futures Options Contracts.
FuturesOptions(String, String) - Constructor for class org.drip.market.exchange.FuturesOptions
FuturesOptions Constructor
FuturesOptionsContainer - Class in org.drip.market.exchange
FuturesOptionsContainer holds the short term futures options contracts.
FuturesOptionsContainer() - Constructor for class org.drip.market.exchange.FuturesOptionsContainer
 
futuresQuote() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Futures Instrument Quotes
futureTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Future Tenors
Fuxin - Class in org.drip.sample.bondeos
Fuxin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuxin.
Fuxin() - Constructor for class org.drip.sample.bondeos.Fuxin
 
Fuyang - Class in org.drip.sample.bondeos
Fuyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuyang.
Fuyang() - Constructor for class org.drip.sample.bondeos.Fuyang
 
Fuzhou - Class in org.drip.sample.bondeos
Fuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuzhou.
Fuzhou() - Constructor for class org.drip.sample.bondeos.Fuzhou
 
FV1 - Class in org.drip.sample.treasuryfuturesapi
FV1 demonstrates the Invocation and Examination of the FV1 5Y UST Treasury Futures.
FV1() - Constructor for class org.drip.sample.treasuryfuturesapi.FV1
 
FV1_05Y - Class in org.drip.template.ust
FV1_05Y demonstrates the Details behind the Implementation and the Pricing of the 5Y FV1 UST Futures Contract.
FV1_05Y() - Constructor for class org.drip.template.ust.FV1_05Y
 
FV1Attribution - Class in org.drip.sample.treasuryfuturespnl
FV1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the FV1 Series.
FV1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.FV1Attribution
 
FV1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
FV1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated FV1 Closes Feed.
FV1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.FV1ClosesReconstitutor
 
FV1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
FV1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the FV1 Treasury Futures.
FV1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.FV1KeyRateDuration
 
FVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the FVA Value Adjustment Instance
fva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected FVA
fva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for FVA
fwdMetric() - Method in class org.drip.service.api.InstrMetric
Retrieve the Forward Metric
fx(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.Bullet
Coupon Period FX
fx(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Coupon Period FX
fx() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal FX Rate
fx(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the FX Latent State
fx() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the FX Latent State Node Container
fx(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled FX
fx() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the FX Rate
FX - Static variable in class org.drip.simm.common.Chargram
The FX Digram FX
fx(int) - Method in class org.drip.state.curve.BasisSplineFXForward
 
fx(int) - Method in class org.drip.state.fx.FXCurve
Calculate the FX Forward to the given Date
fx(JulianDate) - Method in class org.drip.state.fx.FXCurve
Calculate the FX Forward to the given date
fx(String) - Method in class org.drip.state.fx.FXCurve
Calculate the FX Forward to the given date
fx(int) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
FX20 - Class in org.drip.sample.simmsettings
FX20 demonstrates the Extraction and Display of ISDA SIMM 2.0 FX Bucket Risk Weights, Correlations, and Systemics.
FX20() - Constructor for class org.drip.sample.simmsettings.FX20
 
FX21 - Class in org.drip.sample.simmsettings
FX20 demonstrates the Extraction and Display of ISDA SIMM 2.1 FX Bucket Risk Weights, Correlations, and Systemics.
FX21() - Constructor for class org.drip.sample.simmsettings.FX21
 
FX_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
FX_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
FX_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
FX_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
FX_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Commodity and FX Risk Classes
FX_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Commodity and FX Risk Classes
FX_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Equity and FX Risk Classes
FX_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Equity and FX Risk Classes
FX_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and FX Risk Classes
FX_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and FX Risk Classes
FX_QM_FORWARD_OUTRIGHT - Static variable in class org.drip.analytics.definition.LatentStateStatic
FX Latent State Quantification Metric - FX Forward Outright
FXBasisCalibrator(FXForwardComponent) - Constructor for class org.drip.product.fx.FXForwardComponent.FXBasisCalibrator
Constructor: Construct the basis calibrator from the FXForward parent
FXClassMargin20 - Class in org.drip.sample.simmfx
FXClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
FXClassMargin20() - Constructor for class org.drip.sample.simmfx.FXClassMargin20
 
FXClassMargin21 - Class in org.drip.sample.simmfx
FXClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of FX Bucket Exposure Sensitivities.
FXClassMargin21() - Constructor for class org.drip.sample.simmfx.FXClassMargin21
 
fxCode() - Method in class org.drip.product.fx.ComponentPair
Retrieve the FX Code
FXCrossGroupPrincipal - Class in org.drip.sample.simmvariance
FXCrossGroupPrincipal demonstrates the Computation of the Cross FX Bucket Principal Component Co-variance using the FX Risk Group Principal Component.
FXCrossGroupPrincipal() - Constructor for class org.drip.sample.simmvariance.FXCrossGroupPrincipal
 
FXCurrencyPairConventions - Class in org.drip.sample.fx
FXCurrencyPairConventions demonstrates the accessing of the Standard FX Currency Order and Currency Pair Conventions.
FXCurrencyPairConventions() - Constructor for class org.drip.sample.fx.FXCurrencyPairConventions
 
FXCurvatureMargin20 - Class in org.drip.sample.simmfx
FXCurvatureMargin20 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.0 Margin Computation.
FXCurvatureMargin20() - Constructor for class org.drip.sample.simmfx.FXCurvatureMargin20
 
FXCurvatureMargin21 - Class in org.drip.sample.simmfx
FXCurvatureMargin21 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their eventual SIMM 2.1 Margin Computation.
FXCurvatureMargin21() - Constructor for class org.drip.sample.simmfx.FXCurvatureMargin21
 
FXCurve(JulianDate, CurrencyPair, String[], double[], String, double, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct an FX Curve from the FX Forward Instruments
FXCurve(JulianDate, CurrencyPair, String[], double[], String, double, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct an FX Curve from the FX Forward Instruments
FXCurve - Class in org.drip.state.fx
FXCurve is the Stub for the FX Curve for the specified Currency Pair.
FXCurve(int, CurrencyPair) - Constructor for class org.drip.state.fx.FXCurve
 
FXDeltaMargin20 - Class in org.drip.sample.simmfx
FXDeltaMargin20 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.0 Margin Computation.
FXDeltaMargin20() - Constructor for class org.drip.sample.simmfx.FXDeltaMargin20
 
FXDeltaMargin21 - Class in org.drip.sample.simmfx
FXDeltaMargin21 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual SIMM 2.1 Margin Computation.
FXDeltaMargin21() - Constructor for class org.drip.sample.simmfx.FXDeltaMargin21
 
fxExists(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the FX Latent State Exists
fxFixingDate() - Method in class org.drip.analytics.cashflow.Bullet
Retrieve the Period FX Fixing Date
fxFixingDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Period FX Fixing Date
fxFixingSetting() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the FX Fixing Setting
fxFixingSetting() - Method in class org.drip.product.fx.ComponentPair
Retrieve the FX Fixing Setting
fxForward(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent
Imply the FX Forward
FXForward(JulianDate, CurrencyPair, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an OTC FX Forward Component
FXForward(JulianDate, CurrencyPair, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Create an Array of OTC FX Forward Components
FXForwardComponent - Class in org.drip.product.fx
FXForwardComponent contains the Standard FX forward Component contract details - the effective date, the maturity date, the currency pair and the product code.
FXForwardComponent(String, CurrencyPair, int, int, double, CashSettleParams) - Constructor for class org.drip.product.fx.FXForwardComponent
Create an FXForwardComponent from the currency pair, the effective and the maturity dates
FXForwardComponent.FXBasisCalibrator - Class in org.drip.product.fx
 
FXForwardQuoteSet - Class in org.drip.product.calib
FXForwardQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FX Forward Component.
FXForwardQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FXForwardQuoteSet
FXForwardQuoteSet Constructor
fxFXCorrelation(FXLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX Latent State Label Set
fxFXLoading(FXLabel) - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the FX Loading Coefficient for the specified FX Latent State
fxGovvieCorrelation(FXLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Govvie Latent States
fxLabel() - Method in class org.drip.analytics.cashflow.Bullet
Return the FX Label
fxLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the FX Label
fxLabel() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the FX Label
fxLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the FX Latent State Label, if it exists
fxLabel() - Method in class org.drip.product.credit.BondComponent
 
fxLabel() - Method in class org.drip.product.credit.CDSComponent
 
fxLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Array of the FX Latent State Identifier Labels
fxLabel() - Method in class org.drip.product.definition.BasketProduct
 
fxLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Map of FX Latent State Identifier Labels
fxLabel() - Method in class org.drip.product.fx.ComponentPair
 
fxLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
fxLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
fxLabel() - Method in class org.drip.product.option.OptionComponent
 
fxLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
fxLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
fxLabel() - Method in class org.drip.product.rates.RatesBasket
 
fxLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
fxLabel() - Method in class org.drip.product.rates.Stream
Retrieve the FX Label
FXLabel - Class in org.drip.state.identifier
FXLabel contains the Identifier Parameters referencing the Latent State of the named FX Curve.
fxMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the FX Evolver Map
FXMarginComparison - Class in org.drip.sample.simmvariance
FXMarginComparison illustrates the Comparison of the FX Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
FXMarginComparison() - Constructor for class org.drip.sample.simmvariance.FXMarginComparison
 
fxOvernightCorrelation(FXLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Overnight Latent States
fxPaydownCorrelation(FXLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Pay-down Latent States
fxPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the FX Predictor/Response Constraint
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve FX Forward Latent State from the Component's Cash Flows.
fxRatingCorrelation(FXLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Rating Latent States
fxRecoveryCorrelation(FXLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Recovery Latent States
fxRepoCorrelation(FXLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified FX and the Repo Latent States
fxRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
Retrieve the FX Risk Class Aggregate
fxRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
Retrieve the FX Risk Class Sensitivity
fxRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the FX Risk Class Sensitivity Settings
FXRiskGroup - Class in org.drip.simm.fx
FXRiskGroup holds the ISDA SIMM FX Risk Group Concentration Categories and their Delta Limits.
FXRiskGroup(int, String, String[]) - Constructor for class org.drip.simm.fx.FXRiskGroup
FXRiskGroup Constructor
FXRiskGroup(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the Risk Group identified by the Category Number
FXRiskGroup(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the Risk Group identified by the Category Number
FXRiskGroupMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Retrieve the FX Risk Group Map
FXRiskGroupMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Retrieve the FX Risk Group Map
FXRiskThresholdContainer20 - Class in org.drip.simm.fx
FXRiskThresholdContainer20 holds the ISDA SIMM 2.0 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
FXRiskThresholdContainer20() - Constructor for class org.drip.simm.fx.FXRiskThresholdContainer20
 
FXRiskThresholdContainer21 - Class in org.drip.simm.fx
FXRiskThresholdContainer21 holds the ISDA SIMM 2.1 FX Risk Thresholds - the FX Categories and the Delta/Vega Limits defined for the Concentration Thresholds.
FXRiskThresholdContainer21() - Constructor for class org.drip.simm.fx.FXRiskThresholdContainer21
 
FXSettingContainer - Class in org.drip.market.definition
FXSettingContainer contains the Parameters related to the FX Settings.
FXSettingContainer() - Constructor for class org.drip.market.definition.FXSettingContainer
 
fxSpot() - Method in class org.drip.state.curve.BasisSplineFXForward
Retrieve the FX Spot
fxSpot() - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
Retrieve the FX Spot
fxState(FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the FX State for the specified FX Latent State Label
FXState - Class in org.drip.template.state
FXState sets up the Calibration and the Construction of the FX Latent State and examine the Emitted Metrics.
FXState() - Constructor for class org.drip.template.state.FXState
 
FXStateShifted - Class in org.drip.template.statebump
FXStateShifted demonstrates the Generation and the Usage of Tenor Bumped FX Curves.
FXStateShifted() - Constructor for class org.drip.template.statebump.FXStateShifted
 
FXStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a FX Latent State Stretch Spec Instance
FXStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
Construct a FX Latent State Stretch Spec Instance
FXSwap - Class in org.drip.sample.securitysuite
FXSwap demonstrates the Analytics Calculation/Reconciliation for an FX Swap.
FXSwap() - Constructor for class org.drip.sample.securitysuite.FXSwap
 
FXSystemics20 - Class in org.drip.simm.fx
FXSystemics20 contains the SIMM 2.0 Systemic Settings Common to FX Risk Factors.
FXSystemics20() - Constructor for class org.drip.simm.fx.FXSystemics20
 
FXSystemics21 - Class in org.drip.simm.fx
FXSystemics21 contains the SIMM 2.1 Systemic Settings Common to FX Risk Factors.
FXSystemics21() - Constructor for class org.drip.simm.fx.FXSystemics21
 
FXVegaMargin20 - Class in org.drip.sample.simmfx
FXVegaMargin20 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.0 Margin Computation.
FXVegaMargin20() - Constructor for class org.drip.sample.simmfx.FXVegaMargin20
 
FXVegaMargin21 - Class in org.drip.sample.simmfx
FXVegaMargin21 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual SIMM 2.1 Margin Computation.
FXVegaMargin21() - Constructor for class org.drip.sample.simmfx.FXVegaMargin21
 
fxVolatility(FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified FX Latent State Label

G

G1 - Class in org.drip.sample.treasuryfuturesapi
G1 demonstrates the Invocation and Examination of the G1 10Y GILT Treasury Futures.
G1() - Constructor for class org.drip.sample.treasuryfuturesapi.G1
 
G2PlusPlus - Class in org.drip.dynamics.hjm
G2PlusPlus provides the Hull-White-type, but Two-Factor Gaussian HJM Short Rate Dynamics Implementation.
G2PlusPlus(double, double, double, double, UnivariateSequenceGenerator[], double, R1ToR1) - Constructor for class org.drip.dynamics.hjm.G2PlusPlus
G2PlusPlus Constructor
G2PlusPlusDynamics - Class in org.drip.sample.hjm
G2PlusPlusDynamics demonstrates the Construction and Usage of the G2++ 2-Factor HJM Model Dynamics for the Evolution of the Short Rate.
G2PlusPlusDynamics() - Constructor for class org.drip.sample.hjm.G2PlusPlusDynamics
 
gain() - Method in class org.drip.execution.discrete.OptimalSerialCorrelationAdjustment
Retrieve the Optimal Gain
gainOnClientDefault() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Retrieve the Dealer Gain On Individual Client Default
gainOnDealerDefault() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Retrieve the Client Gain On Dealer Default
gamma() - Method in class org.drip.pricer.option.Greeks
The Option Gamma
Ganzhou - Class in org.drip.sample.bondeos
Ganzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Ganzhou.
Ganzhou() - Constructor for class org.drip.sample.bondeos.Ganzhou
 
Gaussian(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Static method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Create a Gaussian SABR Instance
Gaussian(int) - Static method in class org.drip.measure.discrete.SequenceGenerator
Generate a Sequence of Gaussian Random Numbers
GaussianDiffusion(double) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Generate a R^1 Gaussian Diffusion Realization
GaussianJoint(int, double[][]) - Static method in class org.drip.measure.discrete.SequenceGenerator
Generate a Sequence of R^d Correlated Gaussian Random Numbers
GaussianJump(double) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Generate a R^1 Gaussian Jump Realization
GaussianSequence - Class in org.drip.sample.measure
GaussianSequence demonstrates the Generation of R^1 and Correlated/Uncorrelated R^d Gaussian Random Number Sequence.
GaussianSequence() - Constructor for class org.drip.sample.measure.GaussianSequence
 
Gaya - Class in org.drip.sample.bondmetrics
Gaya generates the Full Suite of Replication Metrics for Bond Gaya.
Gaya() - Constructor for class org.drip.sample.bondmetrics.Gaya
 
GBP - Class in org.drip.template.irs
GBP contains a Templated Pricing of the OTC Fix-Float GBP IRS Instrument.
GBP() - Constructor for class org.drip.template.irs.GBP
 
GBP3M6MUSD3M6M - Class in org.drip.sample.dual
GBP3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from GBP3M6MUSD3M6M CCBS, GBP 3M, GBP 6M, and USD 6M Quotes.
GBP3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.GBP3M6MUSD3M6M
 
GBPHoliday - Class in org.drip.analytics.holset
 
GBPHoliday() - Constructor for class org.drip.analytics.holset.GBPHoliday
 
GBPIRSAttribution - Class in org.drip.sample.fixfloatpnl
GBPIRSAttribution generates the Historical PnL Attribution for BPUD IRS.
GBPIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.GBPIRSAttribution
 
GBPLIBOR3M - Class in org.drip.template.forwardratefutures
GBPLIBOR3M contains a Templated Pricing of the 3M LIBOR GBP Instrument.
GBPLIBOR3M() - Constructor for class org.drip.template.forwardratefutures.GBPLIBOR3M
 
GBPOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
GBPOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the GBP Input OIS Marks.
GBPOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.GBPOISSmoothReconstitutor
 
GBPShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
GBPShapePreserving1YForward Generates the Historical GBP Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
GBPShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.GBPShapePreserving1YForward
 
GBPShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
GBPShapePreserving1YStart Generates the Historical GBP Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
GBPShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.GBPShapePreserving1YStart
 
GBPShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
GBPShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the GBP Input Marks.
GBPShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.GBPShapePreservingReconstitutor
 
GBPSmooth1MForward - Class in org.drip.sample.overnighthistorical
GBPSmooth1MForward Generates the Historical GBP Smoothened Overnight Curve Native 1M Compounded Forward Rate.
GBPSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.GBPSmooth1MForward
 
GBPSmooth1YForward - Class in org.drip.sample.fundinghistorical
GBPSmooth1YForward Generates the Historical GBP Smoothened Funding Curve Native 1Y Compounded Forward Rate.
GBPSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.GBPSmooth1YForward
 
GBPSmoothReconstitutor - Class in org.drip.sample.fundingfeed
GBPSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the GBP Input Marks.
GBPSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.GBPSmoothReconstitutor
 
GELHoliday - Class in org.drip.analytics.holset
 
GELHoliday() - Constructor for class org.drip.analytics.holset.GELHoliday
 
GeneralizedLearner - Class in org.drip.learning.rxtor1
GeneralizedLearner implements the Learner Class that holds the Space of Normed R^x To Normed R^1 Learning Functions along with their Custom Empirical Loss.
GeneralizedLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction) - Constructor for class org.drip.learning.rxtor1.GeneralizedLearner
GeneralizedLearner Constructor
GeneralizedMetricVectorSpace - Interface in org.drip.spaces.metric
GeneralizedMetricVectorSpace exposes the basic Properties of the General Normed Metric Vector Space.
GeneralizedValidatedVector - Interface in org.drip.spaces.instance
ValidatedVectorInstance holds the Validated Vector Variate Instance Sequence and the Corresponding Generalized Vector Space Type.
GeneralizedVector - Interface in org.drip.spaces.tensor
GeneralizedVector exposes the basic Properties of the General Vector Space.
generate() - Method in class org.drip.execution.nonadaptive.ContinuousAlmgrenChriss
 
generate() - Method in class org.drip.execution.nonadaptive.ContinuousConstantTradingEnhanced
 
generate() - Method in class org.drip.execution.nonadaptive.ContinuousCoordinatedVariationDeterministic
 
generate() - Method in class org.drip.execution.nonadaptive.ContinuousCoordinatedVariationStochastic
 
generate() - Method in class org.drip.execution.nonadaptive.ContinuousHighUrgencyAsymptote
 
generate() - Method in class org.drip.execution.nonadaptive.ContinuousLowUrgencyAsymptote
 
generate() - Method in class org.drip.execution.nonadaptive.ContinuousPowerImpact
 
generate() - Method in class org.drip.execution.nonadaptive.DiscreteAlmgrenChriss
 
generate() - Method in class org.drip.execution.nonadaptive.DiscreteAlmgrenChrissDrift
 
generate() - Method in class org.drip.execution.nonadaptive.DiscreteLinearTradingEnhanced
 
generate() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme
Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
generate() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete
 
generateAmelioratedInstance(double[], double[], double[], double[], boolean) - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
Create an Ameliorated Instance of the Current Instance
GenerateAttribution(HorizonChangeExplainProcessor) - Static method in class org.drip.historical.engine.HorizonChangeExplainExecutor
Generate the Attribution for the Component's Horizon Change Explain Processor
GenerateComposite(MultivariateMeta, ProjectionDistributionLoading, ProjectionDistributionLoading, R1MultivariateNormal) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Generate the Joint Mixed Estimation Model Joint/Posterior Metrics
GenerateComposite(ScopingProjectionVariateDistribution, String, String, R1MultivariateNormal) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Generate the Combined R^1 Multivariate Normal Distribution from the SPVD and the Named Projections
GenerateComposite(ScopingProjectionVariateDistribution, String, R1MultivariateNormal) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Generate the Combined R^1 Multivariate Normal Distribution from the SPVD, the NATIVE Projection, and the Named Projection
GenerateDayStepLossPeriods(CreditComponent, ValuationParams, CompositePeriod, int, int, CurveSurfaceQuoteContainer) - Static method in class org.drip.analytics.support.LossQuadratureGenerator
Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
GenerateHatPair(String, String, double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts
GenerateMonicBSplineSet(double) - Static method in class org.drip.spline.tension.KochLycheKvasovBasis
Generate the Monic BSpline Basis Function Set
GeneratePeriodUnitLossPeriods(CreditComponent, ValuationParams, CompositePeriod, int, int, CurveSurfaceQuoteContainer) - Static method in class org.drip.analytics.support.LossQuadratureGenerator
Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
GenerateQuadraticBSplineSet(double) - Static method in class org.drip.spline.tension.KochLycheKvasovBasis
Generate the Quadratic BSpline Basis Function Set
generateRun() - Method in class org.drip.service.scenario.BondReplicator
Generate an Instance of a Replication Run
generateRun() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Generate an Instance of a Replication Run
generateStat() - Method in class org.drip.regression.core.UnitRegressionStat
Generate the statistics across all the execution times generated
GenerateWholeLossPeriods(CreditComponent, ValuationParams, CompositePeriod, int, CurveSurfaceQuoteContainer) - Static method in class org.drip.analytics.support.LossQuadratureGenerator
Generate the Set of Loss Quadrature Metrics from the Day Step Loss Periods
generationInterval() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
Retrieve the Generation Interval
genericCoveringProbabilityBound(int, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Upper Bound of the Probability of the Absolute Deviation of the Empirical Mean from the Population Mean using the Function Class Supremum Covering Number for General-Purpose Learning
genericCoveringProbabilityBound(GeneralizedValidatedVector, int, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Sample/Data Dependent Upper Bound of the Probability of the Absolute Deviation between the Empirical and the Population Means using the Function Class Supremum Covering Number for General-Purpose Learning
genericCoveringSampleSize(double, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Minimum Possible Sample Size needed to generate the required Upper Probability Bound for the Specified Empirical Deviation using the Covering Number Convergence Bounds.
genericCoveringSampleSize(GeneralizedValidatedVector, double, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Minimum Possible Sample Size needed to generate the required Upper Probability Bound for the Specified Empirical Deviation using the Covering Number Convergence Bounds.
GenericPricer - Interface in org.drip.param.pricer
GenericPricer is the Base Stub on top which all the Custom Pricers are implemented.
get(Object) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
 
get(Object) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
 
get(int) - Method in class org.drip.json.simple.ItemList
 
get(String) - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
Retrieve the Asset's Transaction Charge
get(String) - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Quote corresponding to the Specified Manifest Measure
Get(String) - Static method in class org.drip.service.env.CacheManager
The Get Method retrieves the Value given the Key
getAbsoluteOFToleranceFallback() - Method in class org.drip.function.r1tor1solver.ExecutionControlParams
Return the Fall-back absolute tolerance for the OF
getAbsoluteVariateConvergenceFallback() - Method in class org.drip.function.r1tor1solver.ExecutionControlParams
Return the fall-back absolute variate convergence
getArray() - Method in class org.drip.json.simple.ItemList
 
getBase() - Method in class org.drip.function.r1tor1.ExponentialTension
Retrieve the Base
getBase() - Method in class org.drip.spline.params.SegmentResponseConstraintSet
Retrieve the Base Segment Response Value Constraint
getBracketCeiling() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Hard Bracket Ceiling
getBracketFloor() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Hard Bracket Floor
getBracketWidthExpansionFactor() - Method in class org.drip.function.r1tor1solver.BracketingControlParams
Return the bracket width expansion factor
getBumpFactor() - Method in class org.drip.quant.calculus.DerivativeControl
Retrieve the bump factor
getCalibrationBoundaryCondition() - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
 
getCalibrationBoundaryCondition() - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
Retrieve the Calibration Boundary Condition
getCalibrationBoundaryCondition() - Method in class org.drip.state.inference.LatentStateSequenceBuilder
 
getCcyPair() - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
 
getCcyPair() - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
 
GetCDXDescriptions() - Static method in class org.drip.service.env.StandardCDXManager
Retrieve the name/description map for all the CDS indices
GetCDXNames() - Static method in class org.drip.service.env.StandardCDXManager
Retrieve the comprehensive set of pre-set and pre-loaded CDX index names
GetCDXSeriesMap(String) - Static method in class org.drip.service.env.StandardCDXManager
Return the full set of CDX series/first coupon date pairs for the given CDX
getCFTEParams() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's CF termination event Parameters
getCode() - Method in class org.drip.product.params.CDXIdentifier
Return the CDX code string composed off of the index, tenor, series, and the version
getComplement() - Method in class org.drip.quant.linearalgebra.MatrixComplementTransform
Retrieve the Transformed Complement
getContainingStretch(double) - Method in class org.drip.spline.grid.AggregatedSpan
 
getContainingStretch(double) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
getContainingStretch(double) - Method in interface org.drip.spline.grid.Span
Retrieve the first Stretch that contains the Predictor Ordinate
getConvergenceZoneEdgeLimit() - Method in class org.drip.function.r1tor1solver.ConvergenceControlParams
Return the limit of the fixed point convergence zone edge
getConvergenceZoneVariateBegin() - Method in class org.drip.function.r1tor1solver.ConvergenceControlParams
Return the start of the fixed point convergence variate
getConvergenceZoneVariateBumpFactor() - Method in class org.drip.function.r1tor1solver.ConvergenceControlParams
Return the bump factor for the fixed point convergence variate iteration
getCouponParams() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's Coupon Parameters
getCRValuationParams() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's Credit Component Parameters
getCustomBCP() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Custom BCP
GetDayCountFromBBGCode(String) - Static method in class org.drip.analytics.support.Helper
Get the DRIP day count from the Bloomberg code
getDBasisCoeffDLocalManifest() - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
Get the Array containing the Sensitivities of the Basis Coefficients to the Local Manifest Measure
getDBasisCoeffDPreceedingManifest() - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
Get the Array containing the Sensitivities of the Basis Coefficients to the Preceeding Manifest Measure
getDegree() - Method in class org.drip.function.r1tor1.Polynomial
Retrieve the degree of the polynomial
getDeltaOF() - Method in class org.drip.quant.calculus.Differential
Retrieve the Delta for the OF
getDeltaVariate() - Method in class org.drip.quant.calculus.Differential
Retrieve the Delta for the variate
getDeterminant() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Determinant
getDirection() - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
Get the Direction on which the rotation count is to be applied
getDResponseDPreceedingManifest() - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
Get the Sensitivity of the Segment Response to the Preceeding Manifest Measure
getDResponseDPredictorOrdinate() - Method in class org.drip.spline.params.SegmentPredictorResponseDerivative
Retrieve the DResponseDPredictorOrdinate Array
getDResponseWeightDManifestMeasure(String) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Retrieve the Predictor To-From Response Weight Sensitivity Map
getDValueDManifestMeasure(String) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Retrieve the Constraint Value Sensitivity
getEIOP() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Retrieve the Execution Initialization Output
getErrorType() - Method in exception org.drip.json.parser.ParseException
 
getExponent() - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
Retrieve the exponent in the natural log series
getFastVariateIteratorPrimitive() - Method in class org.drip.function.r1tor1solver.VariateIterationSelectorParams
Retrieve the variate iterator primitive meant for speed
getFieldMap() - Method in class org.drip.regression.core.RegressionRunDetail
Retrieve the field map
getFixedPointConvergenceIterations() - Method in class org.drip.function.r1tor1solver.ConvergenceControlParams
Return the number of fixed point convergence iterations
getFixedStreamComponents() - Method in class org.drip.product.rates.RatesBasket
Retrieve the array of the fixed stream components
getFloaterParams() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's Floater Parameters
getFloatStreamComponents() - Method in class org.drip.product.rates.RatesBasket
Retrieve the array of the float stream components
getHolidayLoc() - Method in class org.drip.analytics.holset.AEDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ANGHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ARAHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ARFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ARNHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ARPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ARSHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ATSHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.AUDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.AZMHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BAKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BBDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BEFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BGLHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BHDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BMDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BRCHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BRLHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.BSDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CADHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CAEHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CERHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CFFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CHFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CLFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CLUHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CNYHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.COFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CONHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.COPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CRCHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CYPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.CZKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.DEMHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.DKKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.DOPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.DTFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ECSHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.EEKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.EGPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ESBHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ESPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ESTHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.EUBHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.EURHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.FIMHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.FRFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.GBPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.GELHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.GFRHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.GRDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.HKDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.HRKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.HUFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.IBRHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.IDRHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.IEPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.IGPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ILSHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.INRHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.IPCHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ITLHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.JMDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.JPYHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.KPWHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.KRWHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.KWDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.KYDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.KZTHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.LKRHoliday
 
getHolidayLoc() - Method in interface org.drip.analytics.holset.LocationHoliday
Retrieve the holiday location
getHolidayLoc() - Method in class org.drip.analytics.holset.LTLHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.LUFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.LUXHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.LVLHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MDLHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MIXHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MKDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MXCHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MXNHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MXPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MXVHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.MYRHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.NLGHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.NOKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.NZDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PABHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PEFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PENHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PESHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PHPHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PLNHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PLZHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.PTEHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.QEFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.RUBHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.RURHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.SARHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.SEKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.SGDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.SITHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.SKKHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.SVCHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.TABHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.TGTHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.THBHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.TRLHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.TRYHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.TWDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.UAHHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.USDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.USVHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.UVRHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.UYUHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.VACHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.VEBHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.VEFHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.VNDHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.XDRHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.XEUHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ZALHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ZARHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ZUSHoliday
 
getHolidayLoc() - Method in class org.drip.analytics.holset.ZWDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.AEDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ANGHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ARAHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ARFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ARNHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ARPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ARSHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ATSHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.AUDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.AZMHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BAKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BBDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BEFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BGLHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BHDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BMDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BRCHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BRLHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.BSDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CADHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CAEHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CERHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CFFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CHFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CLFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CLUHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CNYHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.COFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CONHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.COPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CRCHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CYPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.CZKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.DEMHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.DKKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.DOPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.DTFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ECSHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.EEKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.EGPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ESBHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ESPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ESTHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.EUBHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.EURHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.FIMHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.FRFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.GBPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.GELHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.GFRHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.GRDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.HKDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.HRKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.HUFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.IBRHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.IDRHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.IEPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.IGPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ILSHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.INRHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.IPCHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ITLHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.JMDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.JPYHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.KPWHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.KRWHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.KWDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.KYDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.KZTHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.LKRHoliday
 
getHolidaySet() - Method in interface org.drip.analytics.holset.LocationHoliday
Return the Locale instance for this location
getHolidaySet() - Method in class org.drip.analytics.holset.LTLHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.LUFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.LUXHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.LVLHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MDLHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MIXHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MKDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MXCHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MXNHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MXPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MXVHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.MYRHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.NLGHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.NOKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.NZDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PABHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PEFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PENHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PESHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PHPHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PLNHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PLZHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.PTEHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.QEFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.RUBHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.RURHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.SARHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.SEKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.SGDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.SITHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.SKKHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.SVCHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.TABHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.TGTHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.THBHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.TRLHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.TRYHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.TWDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.UAHHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.USDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.USVHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.UVRHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.UYUHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.VACHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.VEBHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.VEFHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.VNDHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.XDRHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.XEUHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ZALHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ZARHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ZUSHoliday
 
getHolidaySet() - Method in class org.drip.analytics.holset.ZWDHoliday
 
getIdentifierParams() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's identifier Parameters
getInitializationDelay() - Method in class org.drip.regression.core.UnitRegressionStat
Get the delay when the regressor is invoked for the first time
getItems() - Method in class org.drip.json.simple.ItemList
 
getLeftPredictorOrdinateEdge() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
getLeftPredictorOrdinateEdge() - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
getLeftPredictorOrdinateEdge() - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Return the Left Predictor Ordinate Edge
getLinearizationMethod() - Method in class org.drip.quant.linearalgebra.LinearizationOutput
The Linearization Method
getMarketConvention() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's Market Convention
getMaturityDate() - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
 
getMaturityDate() - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
 
getMax() - Method in class org.drip.regression.core.UnitRegressionStat
Get the Maximum in the execution time
getMean() - Method in class org.drip.regression.core.UnitRegressionStat
Get the Mean in the execution time
getMeasureNames() - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
 
getMeasureNames() - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
 
getMeasureNames() - Method in class org.drip.product.option.EuropeanCallPut
Retrieve the Set of the Measure Names
getMin() - Method in class org.drip.regression.core.UnitRegressionStat
Get the Minimum in the execution time
GetMonthCodeFromFreq(int) - Static method in class org.drip.analytics.support.Helper
Retrieve the month code from input frequency
getName() - Method in class org.drip.regression.core.UnitRegressionExecutor
 
getName() - Method in interface org.drip.regression.core.UnitRegressor
Regressor Name
getNotionalParams() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's Notional Parameters
getNumExpansions() - Method in class org.drip.function.r1tor1solver.BracketingControlParams
Return the number of expansions
getNumIterations() - Method in class org.drip.function.r1tor1solver.ExecutionControl
Retrieve the Number of Iterations
getNumIterations() - Method in class org.drip.function.r1tor1solver.ExecutionControlParams
Return the number of iterations allowed
getNumIterations() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Return The number of Iterations consumed
getNumIterations() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Return The number of iterations taken
getNumOFCalcs() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Retrieve the number of objective function calculations needed
getNumOFCalcs() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Retrieve the number of objective function calculations needed
getNumOFDerivCalcs() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Retrieve the number of objective function derivative calculations needed
getNumOFDerivCalcs() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Retrieve the number of objective function derivative calculations needed
getOF() - Method in class org.drip.function.r1tor1solver.IteratedVariate
Retrieve the Objective Function Value
getOFGoalToleranceFactor() - Method in class org.drip.function.r1tor1solver.ExecutionControlParams
Return the tolerance factor for the OF Goal
getOFLeft() - Method in class org.drip.function.r1tor1solver.BracketingOutput
Return the left OF
getOFLeft() - Method in class org.drip.function.r1tor1solver.IteratedBracket
Retrieve the left objective function value
getOFRight() - Method in class org.drip.function.r1tor1solver.BracketingOutput
Return the Right OF
getOFRight() - Method in class org.drip.function.r1tor1solver.IteratedBracket
Retrieve the right objective function value
GetOnTheRun(String, JulianDate, String) - Static method in class org.drip.service.env.StandardCDXManager
Retrieve the on-the-run for the index and tenor corresponding to the specified date
getPeriodGenParams() - Method in class org.drip.product.creator.BondProductBuilder
Get the Bond's Period Generation Parameters
getPMSC() - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
Get the Preceeding Manifest Measure Sensitivity Control Parameters
getPosition() - Method in class org.drip.json.parser.JSONParser
 
getPosition() - Method in exception org.drip.json.parser.ParseException
 
getPredictorResponseWeight() - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
Retrieve the Predictor To-From Response Weight Map
getPredictorResponseWeight() - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Retrieve the Predictor To-From Response Weight Map
GetPreLoadedCDXDescriptions() - Static method in class org.drip.service.env.StandardCDXManager
Retrieve the name/description map for all the pre-loaded CDS indices
GetPreLoadedCDXSeriesMap(String) - Static method in class org.drip.service.env.StandardCDXManager
Return the full set of pre-loaded CDX series/first coupon date pairs for the given CDX
GetPreLoadedIndexNames() - Static method in class org.drip.service.env.StandardCDXManager
Retrieve a set of all the pre-loaded CDX index names
GetPresetCDXDescriptions() - Static method in class org.drip.service.env.StandardCDXManager
Retrieve the name/description map for all the pre-set CDS indices
GetPresetCDXSeriesMap(String) - Static method in class org.drip.service.env.StandardCDXManager
Return the full set of pre-set CDX series/first coupon date pairs for the given CDX
GetPresetIndexNames() - Static method in class org.drip.service.env.StandardCDXManager
Retrieve a set of all the pre-set CDX index names
getPreviousPhase() - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
Get the Previous Phase
getPrimaryCode() - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
 
getPrimaryCode() - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
 
getRegressionDetail() - Method in class org.drip.regression.core.RegressionRunOutput
Retrieve the regression details object
getRegressorSet() - Method in interface org.drip.regression.core.RegressorSet
Retrieve the list of regressors
getRegressorSet() - Method in class org.drip.regression.curve.CreditCurveRegressor
 
getRegressorSet() - Method in class org.drip.regression.curve.DiscountCurveRegressor
 
getRegressorSet() - Method in class org.drip.regression.curve.ZeroCurveRegressor
 
getRegressorSet() - Method in class org.drip.regression.curvejacobian.CashJacobianRegressorSet
 
getRegressorSet() - Method in class org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet
 
getRegressorSet() - Method in class org.drip.regression.curvejacobian.EDFJacobianRegressorSet
 
getRegressorSet() - Method in class org.drip.regression.curvejacobian.IRSJacobianRegressorSet
 
getRegressorSet() - Method in class org.drip.regression.fixedpointfinder.BracketingRegressorSet
 
getRegressorSet() - Method in class org.drip.regression.fixedpointfinder.CompoundBracketingRegressorSet
 
getRegressorSet() - Method in class org.drip.regression.fixedpointfinder.OpenRegressorSet
 
getRegressorSet() - Method in class org.drip.regression.spline.BasisSplineRegressorSet
 
getRelativeVariateShift() - Method in class org.drip.function.r1tor1solver.VariateIterationSelectorParams
Retrieve the relative variate Shift
getRightPredictorOrdinateEdge() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
getRightPredictorOrdinateEdge() - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
getRightPredictorOrdinateEdge() - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Return the Right Predictor Ordinate Edge
getRobustVariateIteratorPrimitive() - Method in class org.drip.function.r1tor1solver.VariateIterationSelectorParams
Retrieve the variate iterator primitive meant for robustness
getRoot() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Return the root
getRuns() - Method in class org.drip.regression.core.UnitRegressionStat
Get the number of runs for the statistics
getSearchStartLeft() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Hard Left Search Start
getSearchStartRight() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Hard Right Search Start
getSecondaryCode() - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
 
getSecondaryCode() - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
 
getSensitivity() - Method in class org.drip.spline.params.SegmentResponseConstraintSet
Retrieve the Base Segment Response Value Constraint Sensitivity
getSetName() - Method in interface org.drip.regression.core.RegressorSet
Retrieve the Regression Set Name
getSetName() - Method in class org.drip.regression.curve.CreditCurveRegressor
 
getSetName() - Method in class org.drip.regression.curve.DiscountCurveRegressor
 
getSetName() - Method in class org.drip.regression.curve.ZeroCurveRegressor
 
getSetName() - Method in class org.drip.regression.curvejacobian.CashJacobianRegressorSet
 
getSetName() - Method in class org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet
 
getSetName() - Method in class org.drip.regression.curvejacobian.EDFJacobianRegressorSet
 
getSetName() - Method in class org.drip.regression.curvejacobian.IRSJacobianRegressorSet
 
getSetName() - Method in class org.drip.regression.fixedpointfinder.BracketingRegressorSet
 
getSetName() - Method in class org.drip.regression.fixedpointfinder.CompoundBracketingRegressorSet
 
getSetName() - Method in class org.drip.regression.fixedpointfinder.OpenRegressorSet
 
getSetName() - Method in class org.drip.regression.spline.BasisSplineRegressorSet
 
getShapeControlCoefficient() - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
Retrieve the shape control coefficient
getShapeControlCoefficient() - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
Retrieve the shape control coefficient
getSource() - Method in class org.drip.quant.linearalgebra.MatrixComplementTransform
Retrieve the Transformed Source
getStartingBracketLeft() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Soft Bracket Start Left
getStartingBracketMid() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Soft Bracket Start Mid
getStartingBracketRight() - Method in class org.drip.function.r1tor1solver.InitializationHeuristics
Retrieve the Soft Bracket Start Right
getStartingBracketWidth() - Method in class org.drip.function.r1tor1solver.BracketingControlParams
Return the initial bracket width
getStartingVariate() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Return the Starting Variate
getStretch(String) - Method in class org.drip.spline.grid.AggregatedSpan
 
getStretch(String) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
getStretch(String) - Method in interface org.drip.spline.grid.Span
Retrieve the Stretch by Name
GetTenorFromFreq(int) - Static method in class org.drip.analytics.support.Helper
Retrieve the tenor from the frequency
getTension() - Method in class org.drip.function.r1tor1.ExponentialTension
Retrieve the Tension Parameter
getTension() - Method in class org.drip.function.r1tor1.HyperbolicTension
Retrieve the Tension Parameter
getTension() - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
Retrieve the Tension Parameter
getTension() - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
Retrieve the Tension Parameter
getTransformedMatrix() - Method in class org.drip.quant.linearalgebra.LinearizationOutput
The Transformed Matrix
getTransformedRHS() - Method in class org.drip.quant.linearalgebra.LinearizationOutput
The RHS
getType() - Method in class org.drip.function.r1tor1.HyperbolicTension
Retrieve the hyperbolic function type
getUnexpectedObject() - Method in exception org.drip.json.parser.ParseException
 
getValue() - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
Retrieve the Constraint Value
getValue() - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Retrieve the Constraint Value
getVariance() - Method in class org.drip.regression.core.UnitRegressionStat
Get the variance in the execution time
getVariate() - Method in class org.drip.function.r1tor1solver.IteratedVariate
Retrieve the variate
getVariateConvergenceFactor() - Method in class org.drip.function.r1tor1solver.ExecutionControlParams
Return the Variate Convergence Factor
getVariateInfinitesimal(double) - Method in class org.drip.quant.calculus.DerivativeControl
Calculate and return the variate infinitesimal
getVariateLeft() - Method in class org.drip.function.r1tor1solver.BracketingOutput
Return the left Variate
getVariateLeft() - Method in class org.drip.function.r1tor1solver.IteratedBracket
Retrieve the left variate
getVariateRight() - Method in class org.drip.function.r1tor1solver.BracketingOutput
Return the Right Variate
getVariateRight() - Method in class org.drip.function.r1tor1solver.IteratedBracket
Retrieve the right variate
getVariateShiftLowerBound() - Method in class org.drip.function.r1tor1solver.VariateIterationSelectorParams
Retrieve the Variate Shift lower bound
getVariateStart() - Method in class org.drip.function.r1tor1solver.BracketingControlParams
Return the starting point of bracketing determination
GFRHoliday - Class in org.drip.analytics.holset
 
GFRHoliday() - Constructor for class org.drip.analytics.holset.GFRHoliday
 
GGB(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Greek Treasury EUR GGB Bond
Ghaziabad - Class in org.drip.sample.bondeos
Ghaziabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Ghaziabad.
Ghaziabad() - Constructor for class org.drip.sample.bondeos.Ghaziabad
 
ghostTargetVariateMetrics(double[], int, double[]) - Method in class org.drip.sequence.functional.MultivariateRandom
Compute the Target Variate Function Metrics conditional on the specified Input Non-Target Variate Parameter Sequence Off of the Target Variate Ghost Sample Sequence
ghostTargetVariateMetrics(SingleSequenceAgnosticMetrics[], int[], int, double[]) - Method in class org.drip.sequence.functional.MultivariateRandom
Compute the Target Variate Function Metrics conditional on the specified Input Non-Target Variate Parameter Sequence Off of the Target Variate Ghost Sample Sequence
ghostTargetVariateMetrics(SingleSequenceAgnosticMetrics[], int, double[]) - Method in class org.drip.sequence.functional.MultivariateRandom
Compute the Target Variate Function Metrics over the full Non-target Variate Empirical Distribution Off of the Target Variate Ghost Sample Sequence
ghostVarianceUpperBound(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Variance Upper Bound using the Ghost Variables
ghostVariateVarianceMetrics(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Function Sequence Agnostic Metrics associated with the Variance of each Variate Using the Supplied Ghost Variate Sequence
GILT(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the UK Treasury GBP GILT Bond
GILTBenchmarkAttribution - Class in org.drip.sample.treasurypnl
GILTBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the GILT Benchmark Bond Series.
GILTBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.GILTBenchmarkAttribution
 
GILTReconstitutor - Class in org.drip.sample.treasuryfeed
GILTReconstitutor demonstrates the Cleansing and Re-constitution of the GILT Yield Marks obtained from Historical Yield Curve Prints.
GILTReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.GILTReconstitutor
 
Giulin - Class in org.drip.sample.bondeos
Giulin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Giulin.
Giulin() - Constructor for class org.drip.sample.bondeos.Giulin
 
GlivenkoCantelliFunctionSupremum - Class in org.drip.sequence.custom
GlivenkoCantelliFunctionSupremum contains the Implementation of the Supremum Class Objective Function dependent on Multivariate Random Variables where the Multivariate Function is a Linear Combination of Bounded Univariate Functions acting on each Random Variate.
GlivenkoCantelliFunctionSupremum(FunctionSupremumUnivariateRandom, double[]) - Constructor for class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
GlivenkoCantelliFunctionSupremum Constructor
GlivenkoCantelliSupremumBound - Class in org.drip.sample.efronstein
GlivenkoCantelliSupremumBound demonstrates the Computation of the Probabilistic Bounds for the Supremum among the Class of Functions for an Empirical Sample from its Population Mean using Variants of the Efron-Stein Methodology.
GlivenkoCantelliSupremumBound() - Constructor for class org.drip.sample.efronstein.GlivenkoCantelliSupremumBound
 
GlivenkoCantelliUniformBound - Class in org.drip.sample.efronstein
GlivenkoCantelliUniformBound demonstrates the Computation of the Probabilistic Bounds for the Uniform Deviation of an Empirical Sample from its Population Mean using Variants of the Efron-Stein Methodology.
GlivenkoCantelliUniformBound() - Constructor for class org.drip.sample.efronstein.GlivenkoCantelliUniformBound
 
GlivenkoCantelliUniformDeviation - Class in org.drip.sequence.custom
GlivenkoCantelliUniformDeviation contains the Implementation of the Bounded Objective Function dependent on Multivariate Random Variables where the Multivariate Function is a Linear Combination of Bounded Univariate Functions acting on each Random Variate.
GlivenkoCantelliUniformDeviation(BoundedIdempotentUnivariateRandom, double[]) - Constructor for class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
GlivenkoCantelliUniformDeviation Constructor
GlobalControlCurveParams - Class in org.drip.state.estimator
GlobalControlCurveParams enhances the SmoothingCurveStretchParams to produce globally customized curve smoothing.
GlobalControlCurveParams(String, SegmentCustomBuilderControl, BoundarySettings, int, StretchBestFitResponse, StretchBestFitResponse) - Constructor for class org.drip.state.estimator.GlobalControlCurveParams
GlobalControlCurveParams constructor
globalMinimumVariance() - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
Retrieve the Global Minimum Variance Portfolio Metrics
globalMinimumVarianceAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
 
globalMinimumVarianceAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
Allocate the Global Minimum Variance Portfolio without any Returns Constraints in the Parameters
globalMinimumVarianceAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
 
Goa - Class in org.drip.sample.bondmetrics
Goa generates the Full Suite of Replication Metrics for Bond Goa.
Goa() - Constructor for class org.drip.sample.bondmetrics.Goa
 
GoldmanSachsShortfall(String, Scope, Unit, double, double, double[], TransactionChargeGoldmanSachsShortfall[]) - Static method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
Construct a Static Instance of GoldmanSachsShortfall LimitChargeTermIssuer
GoldmanSachsShortfallTerm - Class in org.drip.portfolioconstruction.objective
GoldmanSachsShortfallTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio using the Goldman Sachs Shortfall Model from the Starting Allocation.
GoldmanSachsShortfallTerm(String, double[], TransactionChargeGoldmanSachsShortfall[]) - Constructor for class org.drip.portfolioconstruction.objective.GoldmanSachsShortfallTerm
GoldmanSachsShortfallTerm Constructor
GoldPlatedBaselProxy - Class in org.drip.sample.xvafixfloat
GoldPlatedBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer Gold Plated Two Way CSA Vertexes.
GoldPlatedBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.GoldPlatedBaselProxy
 
GoldPlatedTwoWayCSA(JulianDate, double, double, MarketEdge, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
Construct a Standard Instance of BurgardKjaerVertex using a Fully Collateralized Strategy, i.e., also referred to as the 2 Way Gold Plated CSA
Gopalpur - Class in org.drip.sample.bondmetrics
Gopalpur generates the Full Suite of Replication Metrics for a Sample Bond.
Gopalpur() - Constructor for class org.drip.sample.bondmetrics.Gopalpur
 
Gorakhpur - Class in org.drip.sample.bondsink
Gorakhpur generates the Full Suite of Replication Metrics for the Sinker Bond Gorakhpur.
Gorakhpur() - Constructor for class org.drip.sample.bondsink.Gorakhpur
 
govvie(GovvieLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Govvie Latent State
govvie() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Govvie Latent State Node Container
govvie(GovvieLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Govvie
Govvie(MergedDiscountForwardCurve, GovvieCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
Create a Market Parameters instance with the rates discount curve and the treasury discount curve alone
GOVVIE_QM_YIELD - Static variable in class org.drip.analytics.definition.LatentStateStatic
Govvie Latent State Quantification Metric - Treasury Benchmark Yield
GovvieBondDefinitions - Class in org.drip.sample.treasury
GovvieBondDefinitions contains the Details of the Standard Built-in Govvie Bonds.
GovvieBondDefinitions() - Constructor for class org.drip.sample.treasury.GovvieBondDefinitions
 
govvieBuilderSetting() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Retrieve the Govvie Builder Settings
GovvieBuilderSettings - Class in org.drip.state.sequence
GovvieBuilderSettings exposes the Functionality to generate a Sequence of Govvie Curve Realizations across Multiple Paths.
GovvieBuilderSettings(JulianDate, String, String[], double[], double[]) - Constructor for class org.drip.state.sequence.GovvieBuilderSettings
GovvieBuilderSettings Constructor
govvieBuilderSettings() - Method in class org.drip.state.sequence.PathGovvie
Generate the Govvie Builder Settings Instance
govvieBuilderSettings() - Method in class org.drip.state.sequence.PathVertexGovvie
Generate the Govvie Builder Settings Instance
govvieCode() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Govvie Code
GovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Govvie Curve from the Treasury Instruments
GovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Govvie Curve from the Treasury Instruments
GovvieCurve - Class in org.drip.state.govvie
FXCurve is the Stub for the FX Curve for the specified Currency Pair.
GovvieCurve(int, String, String) - Constructor for class org.drip.state.govvie.GovvieCurve
 
GovvieCurve(JulianDate, String, String[], double[], double[]) - Static method in class org.drip.state.sequence.GovvieBuilderSettings
 
govvieExists(GovvieLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Govvie Latent State Exists
govvieGovvieCorrelation(GovvieLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Govvie Latent State Pair
govvieLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Govvie Latent State Label, if it exists
govvieLabel() - Method in class org.drip.product.credit.BondComponent
 
govvieLabel() - Method in class org.drip.product.credit.CDSComponent
 
govvieLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Govvie Curve Latent State Label
govvieLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
govvieLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
govvieLabel() - Method in class org.drip.product.option.OptionComponent
 
govvieLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
govvieLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
govvieLabel() - Method in class org.drip.product.rates.RatesBasket
 
govvieLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
GovvieLabel - Class in org.drip.state.identifier
GovvieLabel contains the Identifier Parameters referencing the Latent State of the named Sovereign Curve.
govvieMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Govvie Evolver Map
govvieOvernightCorrelation(GovvieLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Govvie and the Overnight Latent States
govviePaydownCorrelation(GovvieLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Govvie and the Pay-down Latent States
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve FX Forward Latent State from the Component's Cash Flows.
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.govvie.TreasuryComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
govviePRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Govvie Curve Yield Latent State from the Component's Cash Flows.
govvieQuote() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Govvie Yield Quotes
govvieRecoveryCorrelation(GovvieLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Govvie and the Rating Latent States
govvieRecoveryCorrelation(GovvieLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Govvie and the Recovery Latent States
govvieRepoCorrelation(GovvieLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Govvie and the Repo Latent States
govvieState(GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Government State for the specified Label
GovvieState - Class in org.drip.template.state
GovvieState sets up the Calibration and the Construction of the Govvie Latent State and examine the Emitted Metrics.
GovvieState() - Constructor for class org.drip.template.state.GovvieState
 
GovvieStateShifted - Class in org.drip.template.statebump
GovvieStateShifted demonstrates the Construction and Usage of Tenor Bumped Govvie Curves.
GovvieStateShifted() - Constructor for class org.drip.template.statebump.GovvieStateShifted
 
govvieTenor() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Array of Govvie Instrument Maturity Tenors
govvieTenorCSQCDown() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Down Instances of the Govvie Curve CSQC
govvieTenorCSQCUp() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Map of the Tenor Bumped Up Instances of the Govvie Curve CSQC
GovvieTreasuryMarksReconstitutor - Class in org.drip.feed.transformer
GovvieTreasuryMarksReconstitutor transforms the Treasury Marks (e.g., Yield) Feed Inputs into Formats appropriate for Govvie Curve Construction and Measure Generation.
GovvieTreasuryMarksReconstitutor() - Constructor for class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
 
govvieVolatility(GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified Govvie Latent State
gradient() - Method in class org.drip.execution.hjb.NonDimensionalCostSystemic
Retrieve the Realized Non Dimensional Cost Value Function Gradient to the Systemic Market State
gradient(double[]) - Method in class org.drip.function.definition.RdToR1
Construct an Instance of the Unit Gradient Vector at the given Input Variates
gradientModulus(double[]) - Method in class org.drip.function.definition.RdToR1
Compute the Modulus of the Gradient at the Specified Variate location
gradientModulusFunction() - Method in class org.drip.function.definition.RdToR1
Generate the Gradient Modulus Function
GrahamSchmidtOrthogonalization(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Orthogonalize the Specified Matrix Using the Graham-Schmidt Method
GrahamSchmidtOrthonormalization(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Orthonormalize the Specified Matrix Using the Graham-Schmidt Method
GrahamSchmidtProcess - Class in org.drip.sample.matrix
GrahamSchmidtProcess illustrates the Graham Schmidt Orthogonalization and Orthonormalization.
GrahamSchmidtProcess() - Constructor for class org.drip.sample.matrix.GrahamSchmidtProcess
 
GRDHoliday - Class in org.drip.analytics.holset
 
GRDHoliday() - Constructor for class org.drip.analytics.holset.GRDHoliday
 
greedyShortestPathVertex() - Method in class org.drip.spaces.graph.ShortestPathTree
Retrieve the Vertex Periphery with the least Weight
greeks(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.BlackNormalAlgorithm
 
greeks(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.BlackScholesAlgorithm
 
greeks(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Carry out a Sensitivity Run and generate the Pricing related measure set
greeks(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Carry out a Sensitivity Run and generate the Pricing related measure set
greeks(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, R1ToR1) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Carry out a Sensitivity Run and generate the Pricing related measure set
Greeks - Class in org.drip.pricer.option
Greeks contains the Sensitivities/Pricing Measures common across both Call and Put Option Pricing Runs.
Greeks(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.pricer.option.Greeks
The Greeks Constructor
greeks(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
 
Grid(int[], VariationMarginTradePaymentVertex, MarketPath) - Static method in class org.drip.exposure.mpor.VariationMarginTrajectoryBuilder
Generate the Daily Dense Variation Margin Trade Payment Trajectory
grid() - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Underlying CSV Grid
GRID_WIDTH - Static variable in class org.drip.measure.lebesgue.R1Uniform
 
grossChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Gross Interval Change
grossChange() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Gross Change
grossCleanChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Gross Interval Clean Change
grossPriceChange() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Gross Price Change
GrossProfitEstimator - Class in org.drip.execution.principal
GrossProfitEstimator generates the Gross Profit Distribution and the Information Ratio for a given Level of Principal Discount.
GrossProfitEstimator(EfficientTradingTrajectory) - Constructor for class org.drip.execution.principal.GrossProfitEstimator
GrossProfitEstimator Constructor
GrossProfitExpectation - Class in org.drip.execution.principal
GrossProfitExpectation implements the R^1 To R^1 Univariate that computes the Explicit Profit of a Principal Execution given the Optimal Trajectory.
GrossProfitExpectation(double, double) - Constructor for class org.drip.execution.principal.GrossProfitExpectation
GrossProfitExpectation Constructor
groundForwardYield() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Ground Forward Yield Array
groundState() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Ground State Govvie Curve
groupedOrderedDouble(double) - Method in class org.drip.feed.loader.CSVGrid
Construct a Historical Map of Scaled/Keyed/Tenor Ordered Double
GroupPathExposureAdjustment - Class in org.drip.xva.gross
GroupPathExposureAdjustment cumulates the Exposures and the Adjustments across Multiple Netting/Funding Groups on a Single Path Projection Run across multiple Counter Party Groups the constitute a Book.
GroupPathExposureAdjustment(MonoPathExposureAdjustment[]) - Constructor for class org.drip.xva.gross.GroupPathExposureAdjustment
GroupPathExposureAdjustment Constructor
gSpread() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the G Spread
gSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from ASW to Work-out
gSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from ASW to Maturity
gSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from ASW to Optimal Exercise
gSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Bond Basis to Work-out
gSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Bond Basis to Maturity
gSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Bond Basis to Optimal Exercise
gSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Credit Basis to Work-out
gSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Credit Basis to Maturity
gSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Credit Basis to Optimal Exercise
gSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Discount Margin to Work-out
gSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Discount Margin to Maturity
gSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Discount Margin to Optimal Exercise
gSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from E Spread to Work-out
gSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from E Spread to Maturity
gSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from E Spread to Optimal Exercise
gSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from I Spread to Work-out
gSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from I Spread to Maturity
gSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from I Spread to Optimal Exercise
gSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from J Spread to Work-out
gSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from J Spread to Maturity
gSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from J Spread to Optimal Exercise
gSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from N Spread to Work-out
gSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from N Spread to Maturity
gSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from N Spread to Optimal Exercise
gSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from OAS to Work-out
gSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from OAS to Maturity
gSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from OAS to Optimal Exercise
gSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from PECS to Work-out
gSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from PECS to Maturity
gSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from PECS to Optimal Exercise
gSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Price to Work-out
gSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Price to Maturity
gSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Price to Optimal Exercise
gSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from TSY Spread to Work-out
gSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from TSY Spread to Maturity
gSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from TSY Spread to Optimal Exercise
gSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Yield to Work-out
gSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Yield to Maturity
gSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Yield Spread to Work-out
gSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Yield Spread to Maturity
gSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Yield Spread to Optimal Exercise
gSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Yield to Optimal Exercise
gSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Z Spread to Work-out
gSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Z Spread to Maturity
gSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
gSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate G Spread from Z Spread to Optimal Exercise
GSWISSBenchmarkAttribution - Class in org.drip.sample.treasurypnl
GSWISSBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the GSWISS Benchmark Bond Series.
GSWISSBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.GSWISSBenchmarkAttribution
 
GSWISSReconstitutor - Class in org.drip.sample.treasuryfeed
GSWISSReconstitutor demonstrates the Cleansing and Re-constitution of the GSWISS Yield Marks obtained from Historical Yield Curve Prints.
GSWISSReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.GSWISSReconstitutor
 
GT_80PC_OVERLAP_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation20
Correlation between Sensitivities having Overlap of Greater Than 80% Names Non-Residual Same Bucket
GT_80PC_OVERLAP_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation21
Correlation between Sensitivities having Overlap of Greater Than 80% Names Non-Residual Same Bucket
GT_80PC_OVERLAP_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation20
Correlation between Sensitivities having Overlap of Greater Than 80% Names Residual
GT_80PC_OVERLAP_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation21
Correlation between Sensitivities having Overlap of Greater Than 80% Names Residual
Guangzhou - Class in org.drip.sample.bondeos
Guangzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Guangzhou.
Guangzhou() - Constructor for class org.drip.sample.bondeos.Guangzhou
 
GUID() - Static method in class org.drip.quant.common.StringUtil
Generate a GUID string
Guigang - Class in org.drip.sample.bondeos
Guigang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Guigang.
Guigang() - Constructor for class org.drip.sample.bondeos.Guigang
 
Guiyang - Class in org.drip.sample.bondeos
Guiyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Guiyang.
Guiyang() - Constructor for class org.drip.sample.bondeos.Guiyang
 
Gulbarga - Class in org.drip.sample.bondmetrics
Gulbarga demonstrates the Analytics Calculation/Reconciliation for the Bond Gulbarga.
Gulbarga() - Constructor for class org.drip.sample.bondmetrics.Gulbarga
 
Guntur - Class in org.drip.sample.bondsink
Guntur generates the Full Suite of Replication Metrics for the Sinker Bond Guntur.
Guntur() - Constructor for class org.drip.sample.bondsink.Guntur
 
Guwahati - Class in org.drip.sample.bondeos
Guwahati demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Guwahati.
Guwahati() - Constructor for class org.drip.sample.bondeos.Guwahati
 
Gwalior - Class in org.drip.sample.bondeos
Gwalior demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Gwalior.
Gwalior() - Constructor for class org.drip.sample.bondeos.Gwalior
 

H

HaganWestForwardInterpolator - Class in org.drip.sample.funding
This sample illustrates using the Hagan and West (2006) Estimator.
HaganWestForwardInterpolator() - Constructor for class org.drip.sample.funding.HaganWestForwardInterpolator
 
Haicheng - Class in org.drip.sample.bondeos
Haicheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Haicheng.
Haicheng() - Constructor for class org.drip.sample.bondeos.Haicheng
 
Haikou - Class in org.drip.sample.bondeos
Haikou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Haikou.
Haikou() - Constructor for class org.drip.sample.bondeos.Haikou
 
Haimen - Class in org.drip.sample.bondeos
Haimen demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Haimen.
Haimen() - Constructor for class org.drip.sample.bondeos.Haimen
 
halfLife() - Method in class org.drip.execution.optimum.AlmgrenChrissDiscrete
Retrieve the Half-Life
HALFSECOND - Static variable in class org.drip.analytics.date.DateUtil
HALF_SECOND Constant for Julian Date Construction
Handan - Class in org.drip.sample.bondeos
Handan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Handan.
Handan() - Constructor for class org.drip.sample.bondeos.Handan
 
Harbin - Class in org.drip.sample.bondeos
Harbin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Harbin.
Harbin() - Constructor for class org.drip.sample.bondeos.Harbin
 
HarmonicC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Harmonic C1 Array from the specified Array of Predictor Ordinates and the Response Values Fritcsh and Butland (1984) A Method for constructing local monotonic piece-wise cubic interpolants - SIAM J on Scientific and Statistical Computing 5, 300-304.
hashCode() - Method in class org.drip.analytics.date.JulianDate
 
hashCode() - Method in class org.drip.spline.segment.LatentStateInelastic
 
hasOFReachedGoal(double, double, double) - Method in class org.drip.function.r1tor1solver.ExecutionControl
Check to see if the OF has reached the goal
hat() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the Basis Hat Type
hazard() - Method in class org.drip.function.r1tor1.ExponentialDecay
Retrieve the Hazard
Hazard(int, String, String, double, int, double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create an instance of the CreditCurve object from a solitary hazard rate node
Hazard(JulianDate, String, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create a credit curve from an array of dates and hazard rates
Hazard(int, String, String, double[], int[], double[], int[], int) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create a credit curve from hazard rate and recovery rate term structures
hazard(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve
Calculate the hazard rate between a pair of forward dates
hazard(JulianDate) - Method in class org.drip.state.credit.CreditCurve
Calculate the hazard rate to the given date
hazard(String) - Method in class org.drip.state.credit.CreditCurve
Calculate the hazard rate to the given tenor
hazardIntegral() - Method in class org.drip.measure.realization.StochasticEdgeJump
Retrieve the Jump Occurrence Hazard Integral
HazardJumpEvaluator - Class in org.drip.measure.dynamics
HazardJumpEvaluator implements the Hazard Jump Process Point Event Indication Evaluator that guides the Single Factor Jump-Termination Random Process Variable Evolution.
hazardRate() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Hazard Rate Vertex Latent State
hazardRate() - Method in class org.drip.measure.dynamics.HazardJumpEvaluator
Retrieve the Hazard Rate
hazardRate() - Method in class org.drip.measure.realization.StochasticEdgeJump
Retrieve the Jump Occurrence Probability Density
head() - Method in class org.drip.spaces.graph.SinglyLinkedNode
Retrieve the Head Node
head() - Method in class org.drip.xva.basel.BalanceSheetEdge
Retrieve the Balance Sheet Account Vertex Head Instance
header(int) - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Header identified by the Index
header() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Row of Header Fields
header(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Row of Header Fields
header() - Method in class org.drip.service.scenario.BondReplicationRun
Generate The Headers
headers() - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Array of Headers
heapSort() - Method in class org.drip.spaces.big.BigR1Array
Heap Sort the Big Array
HEAVY_INDUSTRIALS - Static variable in class org.drip.simm.credit.SectorSystemics
The Heavy Industrials Sector
hedgeError() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Retrieve the Hedge Error
hedgeError() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Hedge Error
hedgeError() - Method in class org.drip.xva.vertex.BurgardKjaer
Retrieve the Hedge Error
HedgeErrorBaselProxy - Class in org.drip.sample.xvafixfloat
HedgeErrorBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer Dual Bond Hedge Error Vertexes.
HedgeErrorBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.HedgeErrorBaselProxy
 
HedgeErrorDualBond(JulianDate, double, double, double, double, MarketEdge, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
Construct a Standard Instance of BurgardKjaerVertex using the specified Hedge Error with Two Dealer Bonds
Hefei - Class in org.drip.sample.bondeos
Hefei demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Hefei.
Hefei() - Constructor for class org.drip.sample.bondeos.Hefei
 
Hegang - Class in org.drip.sample.bondeos
Hegang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Hegang.
Hegang() - Constructor for class org.drip.sample.bondeos.Hegang
 
Helper - Class in org.drip.analytics.support
Helper contains the collection of the analytics related utility functions used by the modules.
Helper() - Constructor for class org.drip.analytics.support.Helper
 
Hengyang - Class in org.drip.sample.bondeos
Hengyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Hengyang.
Hengyang() - Constructor for class org.drip.sample.bondeos.Hengyang
 
HermiteBasisSplineRegressor - Class in org.drip.regression.spline
HermiteBasisSplineRegressor implements the Hermite basis spline regressor for the given basis spline.
hessian() - Method in class org.drip.execution.sensitivity.ControlNodesGreek
Retrieve the Objective Function Penalty Hessian
hessian(double[]) - Method in class org.drip.function.definition.RdToR1
Evaluate The Hessian for the given Input Variates
hessian(double[]) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
hessian(double[]) - Method in class org.drip.function.rdtor1.AffineMultivariate
 
hessian(double[]) - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
 
hessian(double[]) - Method in class org.drip.function.rdtor1.LagrangianMultivariate
 
hessian(double[]) - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
 
hessian() - Method in class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
Retrieve the Hessian Matrix
HestonAMSTPayoffTransform - Class in org.drip.sample.stochasticvolatility
HestonAMSTPayoffTransform contains an Comparison of the two ways of computing the Fourier convolution of the terminal payoff - the original Heston (1993) method, and the Albrecher, Mayer, Schoutens, and Tistaert tweak (2007).
HestonAMSTPayoffTransform() - Constructor for class org.drip.sample.stochasticvolatility.HestonAMSTPayoffTransform
 
HestonOptionPricerParams - Class in org.drip.param.pricer
HestonOptionPricerParams holds the parameters that drive the dynamics of the Heston stochastic volatility model.
HestonOptionPricerParams(int, double, double, double, double, double, int) - Constructor for class org.drip.param.pricer.HestonOptionPricerParams
HestonOptionPricerParams constructor
HestonRunMarketSurface(String, JulianDate, String, double, double, boolean, double, double[], String[], HestonOptionPricerParams, boolean, SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Create a Price/Volatility Market Surface Based off of a Single Run using the Heston 1993 Model
HestonStochasticVolatilityAlgorithm - Class in org.drip.pricer.option
HestonStochasticVolatilityAlgorithm implements the Heston 1993 Stochastic Volatility European Call and Put Options Pricer.
HestonStochasticVolatilityAlgorithm(HestonOptionPricerParams) - Constructor for class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
HestonStochasticVolatilityAlgorithm constructor
Heze - Class in org.drip.sample.bondeos
Heze demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Heze.
Heze() - Constructor for class org.drip.sample.bondeos.Heze
 
Hezhou - Class in org.drip.sample.bondeos
Hezhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Hezhou.
Hezhou() - Constructor for class org.drip.sample.bondeos.Hezhou
 
HighUrgencyTrajectoryComparison - Class in org.drip.sample.almgren2009
HighUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2012) Scheme against the High Urgency Asymptote Version.
HighUrgencyTrajectoryComparison() - Constructor for class org.drip.sample.almgren2009.HighUrgencyTrajectoryComparison
 
HighVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the High Volatility Currency Set
HighVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the High Volatility Currency Set
HILBERT_SUPREMUM_IDENTITY_CONSTANT - Static variable in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Maurey Constant - from the Hilbert - Supremum Identity Map Estimate
HilbertRxToSupremumRdFinite - Class in org.drip.spaces.functionclass
HilbertRxToSupremumRdFinite implements the Class F with f E f : Hilbert R^x To Supremum R^d Space of Finite Functions.
HilbertRxToSupremumRdFinite(double, NormedRxToNormedRd[]) - Constructor for class org.drip.spaces.functionclass.HilbertRxToSupremumRdFinite
HilbertRxToSupremumRdFinite Constructor
HilbertSupremumIdentityMap(int, double) - Static method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Construct an Instance Hilbert To Supremum Identity Map based Maurey Operator Covering Bounds
HilbertSupremumKernelSpace - Class in org.drip.learning.kernel
HilbertSupremumKernelSpace contains the Space of Kernels S that are a Transform from the R^d L2 Hilbert To R^m L-Infinity Supremum Banach Spaces.
HilbertSupremumKernelSpace() - Constructor for class org.drip.learning.kernel.HilbertSupremumKernelSpace
 
histogram() - Method in class org.drip.measure.continuous.R1
Retrieve the Univariate Weighted Histogram
histogram() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
 
histogram() - Method in class org.drip.measure.discrete.PoissonDistribution
 
histogram() - Method in class org.drip.measure.gaussian.R1UnivariateNormal
 
histogram() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
 
histogram() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
 
histogram() - Method in class org.drip.measure.lebesgue.R1Uniform
 
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.commodity.CTSystemics20
Commodity Risk Class Historical Volatility Ratio (HVR)
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.commodity.CTSystemics21
Commodity Risk Class Historical Volatility Ratio (HVR)
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.equity.EQSystemics20
Historical Volatility Ratio (HVR)
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.equity.EQSystemics21
Historical Volatility Ratio (HVR)
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.fx.FXSystemics20
FX Risk Class Historical Volatility Ratio (HVR)
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.fx.FXSystemics21
FX Risk Class Historical Volatility Ratio (HVR)
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.rates.IRSystemics20
Interest Rate Historical Volatility Ratio
HISTORICAL_VOLATILITY_RATIO - Static variable in class org.drip.simm.rates.IRSystemics21
Interest Rate Historical Volatility Ratio
HistoricalMap(JulianDate[], String[], double[][], String, int) - Static method in class org.drip.service.state.FundingCurveAPI
Generate the Funding Curve Map
historicalVolatilityRatio() - Method in class org.drip.simm.parameters.BucketVegaSettings
Retrieve the Historical Volatility Ratio
historicalVolatilityRatio() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the Historical Volatility Ratio
historicalVolatilityRatio() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the Historical Volatility Ratio
HKD - Class in org.drip.template.irs
HKD contains a Templated Pricing of the OTC Fix-Float HKD IRS Instrument.
HKD() - Constructor for class org.drip.template.irs.HKD
 
HKDHoliday - Class in org.drip.analytics.holset
 
HKDHoliday() - Constructor for class org.drip.analytics.holset.HKDHoliday
 
HKDIRSAttribution - Class in org.drip.sample.fixfloatpnl
HKDIRSAttribution generates the Historical PnL Attribution for HKD IRS.
HKDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.HKDIRSAttribution
 
HKDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
HKDShapePreserving1YStart Generates the Historical HKD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
HKDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.HKDShapePreserving1YStart
 
HKDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
HKDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the HKD Input Marks.
HKDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.HKDShapePreservingReconstitutor
 
Hohhot - Class in org.drip.sample.bondeos
Hohhot demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Hohhot.
Hohhot() - Constructor for class org.drip.sample.bondeos.Hohhot
 
holdings() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
Retrieve the Trajectory State Time Node Holdings
holdings() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
Retrieve the Holdings Function
holdings() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
Retrieve the Array of the Number of Units Outstanding
holdings() - Method in class org.drip.execution.tradingtime.VolumeTimeFrame
Retrieve the Holdings
holdings() - Method in class org.drip.portfolioconstruction.composite.Benchmark
Retrieve the Benchmark Holdings
Holdings - Class in org.drip.portfolioconstruction.composite
Holdings is a Portfolio of Holdings in the specified Set of Assets.
Holdings(String, String, String, String) - Constructor for class org.drip.portfolioconstruction.composite.Holdings
Holdings Constructor
holdings() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Holdings
holdingsDriftAdjustment() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
Retrieve the Array of the Holdings Drift Adjustment
holdingsShift() - Method in class org.drip.execution.discrete.OptimalSerialCorrelationAdjustment
Retrieve the Optimal Holdings Shift
HolidayLocations() - Static method in class org.drip.analytics.daycount.Convention
Retrieve the set of holiday locations
Holidays(int, int, String) - Static method in class org.drip.analytics.daycount.Convention
Calculate the Number of Holidays between the Start and the End Dates
holidays() - Method in class org.drip.analytics.eventday.Locale
Return the set of week day holidays
HolidaySet(int, int, String) - Static method in class org.drip.analytics.daycount.Convention
Calculate the Set of Holidays between the Start and the End Dates
Hongzhou - Class in org.drip.sample.bondeos
Hongzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Hongzhou.
Hongzhou() - Constructor for class org.drip.sample.bondeos.Hongzhou
 
Honored(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Undisputed and Respected CSA Event Date
Honored(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Undisputed and Respected CSA Event Date from the CSA Valuation Date
honored() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Honored Event Date
horizon(String) - Method in class org.drip.historical.engine.MarketMeasureRollDown
Retrieve the Horizon Market Metric
horizon() - Method in class org.drip.historical.engine.MarketMeasureRollDown
Retrieve the Roll Down Horizon Metric Map
horizon() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Snapshot's Investment Horizon
HorizonChangeAttribution(DiscountCurve, CreditCurve, DiscountCurve, CreditCurve, String) - Static method in class org.drip.service.product.CreditIndexAPI
Generate the CDS Horizon Change Attribution
HorizonChangeAttribution(JulianDate[], int, String[], double[][], String[], double[]) - Static method in class org.drip.service.product.CreditIndexAPI
Generate the Funding/Credit Curve Horizon Metrics
HorizonChangeAttribution(String, int, int, double, int, String, String, JulianDate[], double[]) - Static method in class org.drip.service.product.FixedBondAPI
Returns Attribution for the Specified Bond Instance
HorizonChangeAttribution(MergedDiscountForwardCurve, MergedDiscountForwardCurve, CaseInsensitiveHashMap<MergedDiscountForwardCurve>, String) - Static method in class org.drip.service.product.FixFloatAPI
Compute the Horizon Change Attribution Details for the Specified Fix-Float Swap
HorizonChangeAttribution(JulianDate, JulianDate, String[], double[], double[], String[], double[], double[], String, String, String[], int) - Static method in class org.drip.service.product.FixFloatAPI
Generate the Funding Curve Horizon Metrics
HorizonChangeAttribution(JulianDate[], int, String[], double[][], String[], double[][], String, String, String[], int) - Static method in class org.drip.service.product.FixFloatAPI
Generate the Funding Curve Horizon Metrics
HorizonChangeAttribution(JulianDate[], JulianDate[], double[], String) - Static method in class org.drip.service.product.FundingFuturesAPI
Generate the Funding Futures Horizon Metrics
HorizonChangeAttribution(GovvieCurve, GovvieCurve, CaseInsensitiveHashMap<GovvieCurve>, String, String) - Static method in class org.drip.service.product.TreasuryAPI
Compute the Horizon Change Attribution Details for the Specified Treasury Bond
HorizonChangeAttribution(JulianDate, JulianDate, String[], double[], double[], String, String, String[], int) - Static method in class org.drip.service.product.TreasuryAPI
Generate the Govvie Curve Horizon Metrics
HorizonChangeAttribution(JulianDate[], int, String[], double[][], String, String, String[], int) - Static method in class org.drip.service.product.TreasuryAPI
Generate the Govvie Curve Horizon Metrics
HorizonChangeAttribution(String, JulianDate[], JulianDate[], double[], JulianDate[], JulianDate[], double[], double[]) - Static method in class org.drip.service.product.TreasuryFuturesAPI
Returns Attribution for the Treasury Futures
HorizonChangeExplainExecutor - Class in org.drip.historical.engine
HorizonChangeExplainExecutor executes the Sequence of Calls for the Calculation of the Component's Horizon Change Explain.
HorizonChangeExplainExecutor() - Constructor for class org.drip.historical.engine.HorizonChangeExplainExecutor
 
HorizonChangeExplainProcessor - Class in org.drip.historical.engine
HorizonChangeExplainProcessor holds the Stubs associated with the Computation of the Horizon Position Change Components for the given Product.
HorizonChangeExplainProcessor(Component, int, String, double, JulianDate, JulianDate, CurveSurfaceQuoteContainer, CurveSurfaceQuoteContainer, CaseInsensitiveHashMap<CurveSurfaceQuoteContainer>) - Constructor for class org.drip.historical.engine.HorizonChangeExplainProcessor
 
HorizonInformationRatioDependence - Class in org.drip.execution.principal
HorizonInformationRatioDependence holds the Dependence Constants/Exponents for the Optimal Information Ratio and the corresponding Horizon.
HorizonInformationRatioDependence(OptimalMeasureDependence, OptimalMeasureDependence) - Constructor for class org.drip.execution.principal.HorizonInformationRatioDependence
HorizonInformationRatioDependence Constructor
HorizonKeyRateDuration(String, JulianDate[], JulianDate[], double[], JulianDate[], JulianDate[], double[], String[], double[][]) - Static method in class org.drip.service.product.TreasuryFuturesAPI
Generate the Horizon Treasury Curve Tenor Key Rate Sensitivity/Duration
HorizonMetrics(JulianDate, JulianDate, JulianDate, double, double, String) - Static method in class org.drip.service.product.FundingFuturesAPI
Generate the Funding Futures Horizon Metrics
HorizonMetrics(JulianDate[], String[], double[][], String[], double[], String[]) - Static method in class org.drip.service.state.CreditCurveAPI
Generate the Horizon Metrics for the Specified Inputs
HorizonMetrics(JulianDate[], String[], double[][], String[], String[], String, int) - Static method in class org.drip.service.state.FundingCurveAPI
Generate the Funding Curve Horizon Metrics
HorizonMetrics(JulianDate[], String[], double[][], String[], String[], String, int) - Static method in class org.drip.service.state.OvernightCurveAPI
Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates
horizonPrincipalMeasure(double) - Method in class org.drip.execution.principal.GrossProfitEstimator
Generate R^1 Univariate Normal Gross Profit Distribution from the specified Principal Discount
Howrah - Class in org.drip.sample.bondeos
Howrah demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Howrah.
Howrah() - Constructor for class org.drip.sample.bondeos.Howrah
 
HRKHoliday - Class in org.drip.analytics.holset
 
HRKHoliday() - Constructor for class org.drip.analytics.holset.HRKHoliday
 
Huaian - Class in org.drip.sample.bondeos
Huaian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Huaian.
Huaian() - Constructor for class org.drip.sample.bondeos.Huaian
 
Huaibei - Class in org.drip.sample.bondeos
Huaibei demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Huaibei.
Huaibei() - Constructor for class org.drip.sample.bondeos.Huaibei
 
Huainan - Class in org.drip.sample.bondeos
Huainan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Huainan.
Huainan() - Constructor for class org.drip.sample.bondeos.Huainan
 
Huangshi - Class in org.drip.sample.bondeos
Huangshi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Huangshi.
Huangshi() - Constructor for class org.drip.sample.bondeos.Huangshi
 
Huazhou - Class in org.drip.sample.bondeos
Huazhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Huazhou.
Huazhou() - Constructor for class org.drip.sample.bondeos.Huazhou
 
HubbaliDharwad - Class in org.drip.sample.bondfixed
HubbaliDharwad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for HubbaliDharwad.
HubbaliDharwad() - Constructor for class org.drip.sample.bondfixed.HubbaliDharwad
 
HUFHoliday - Class in org.drip.analytics.holset
 
HUFHoliday() - Constructor for class org.drip.analytics.holset.HUFHoliday
 
HUFIRSAttribution - Class in org.drip.sample.fixfloatpnl
HUFIRSAttribution generates the Historical PnL Attribution for HUF IRS.
HUFIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.HUFIRSAttribution
 
HUFShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
HUFShapePreserving1YStart Generates the Historical HUF Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
HUFShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.HUFShapePreserving1YStart
 
HUFShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
HUFShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the HUF Input Marks.
HUFShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.HUFShapePreservingReconstitutor
 
Huizhou - Class in org.drip.sample.bondeos
Huizhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Huizhou.
Huizhou() - Constructor for class org.drip.sample.bondeos.Huizhou
 
Huludao - Class in org.drip.sample.bondeos
Huludao demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generationfor Huludao.
Huludao() - Constructor for class org.drip.sample.bondeos.Huludao
 
HuynhLeFlochLimiterC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Huynh Le Floch Limiter C1 Array from the specified Array of Predictor Ordinates and the Response Values.
HYBRID(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the HYBRID Value Adjustment Instance
HYBRID() - Static method in class org.drip.xva.basel.ValueCategory
Retrieve an Instance of the HYBRID Cash Flow
Hyderabad - Class in org.drip.sample.bondmetrics
Hyderabad generates the Full Suite of Replication Metrics for Bond Hyderabad.
Hyderabad() - Constructor for class org.drip.sample.bondmetrics.Hyderabad
 
Hyman83C1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Hyman83 C1 Array from the specified Array of Predictor Ordinates and the Response Values Hyman (1983) Accurate Monotonicity Preserving Cubic Interpolation - SIAM J on Numerical Analysis 4 (4), 645-654.
Hyman89C1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Hyman89 C1 Array from the specified Array of Predictor Ordinates and the Response Values Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic Hermite interpolation - Mathematics of Computation 52 (186), 471-494.
Hyman89QuinticMonotoneC1(double[], double[], double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate C1 Slope Quintic Polynomial is Monotone using the Hyman89 Algorithm Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic Hermite interpolation - Mathematics of Computation 52 (186), 471-494.
HyperbolicTension - Class in org.drip.function.r1tor1
HyperbolicTension provides the evaluation of the Hyperbolic Tension Function and its derivatives for a specified variate.
HyperbolicTension(int, double) - Constructor for class org.drip.function.r1tor1.HyperbolicTension
HyperbolicTension constructor
HyperbolicTensionBasisSet(ExponentialTensionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
This function implements the elastic coefficients for the segment using tension hyperbolic basis splines inside - [0,...,1) - Globally [x_0,...,x_1).
HyperbolicTensionHatPair(double, double, double, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
Generate the array of the Hyperbolic Phy and Psy Hat Function Pair
hyperboloidBoundaryValue() - Method in class org.drip.execution.optimum.PowerImpactContinuous
Retrieve the Optimal Trajectory Hyperboloid Boundary Value
hyperVolume() - Method in interface org.drip.spaces.tensor.GeneralizedVector
Retrieve the "Hyper" Volume of the Vector Space
hyperVolume() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
hyperVolume() - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
hyperVolume() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
 
hyperVolume() - Method in class org.drip.spaces.tensor.RdContinuousVector
 

I

i() - Method in class org.drip.execution.athl.IJK
The Almgren-Thum-Hauptmann-Li "I" Transaction Signal
IBOR12MCubicKLKHyperbolic - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 12M Forward Curve Using Vanilla Cubic KLK Hyperbolic Tension B-Splines.
IBOR12MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR12MCubicKLKHyperbolic
 
IBOR12MCubicPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 12M Forward Curve Using Vanilla Cubic Polynomial.
IBOR12MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR12MCubicPolyVanilla
 
IBOR12MQuarticPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 12M Forward Curve Using Vanilla Quartic Polynomial.
IBOR12MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR12MQuarticPolyVanilla
 
IBOR1MCubicKLKHyperbolic - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 1M Forward Curve Using Vanilla Cubic KLK Hyperbolic Tension B-Splines.
IBOR1MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR1MCubicKLKHyperbolic
 
IBOR1MCubicPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 1M Forward Curve Using Vanilla Cubic Polynomial.
IBOR1MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR1MCubicPolyVanilla
 
IBOR1MQuarticPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 1M Forward Curve Using Vanilla Quartic Polynomial.
IBOR1MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR1MQuarticPolyVanilla
 
IBOR3MCubicKLKHyperbolic - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 3M Forward Curve Using Cubic KLK Hyperbolic Tension B-Spline.
IBOR3MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR3MCubicKLKHyperbolic
 
IBOR3MCubicPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 3M Forward Curve Using Vanilla Cubic Polynomial.
IBOR3MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR3MCubicPolyVanilla
 
IBOR3MQuarticPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 3M Forward Curve Using Vanilla Quartic Polynomial.
IBOR3MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR3MQuarticPolyVanilla
 
IBOR6MCubicKLKHyperbolic - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Cubic KLK Hyperbolic Tension B-Spline.
IBOR6MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR6MCubicKLKHyperbolic
 
IBOR6MCubicPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Vanilla Cubic Polynomial.
IBOR6MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR6MCubicPolyVanilla
 
IBOR6MQuarticPolyVanilla - Class in org.drip.sample.forward
This Sample illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Vanilla Quartic Polynomial Spline.
IBOR6MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR6MQuarticPolyVanilla
 
IBORCurve - Class in org.drip.sample.forward
IBORCurve illustrates the Construction and Usage of the IBOR Forward Curve.
IBORCurve() - Constructor for class org.drip.sample.forward.IBORCurve
 
IBORFixedFloatContainer - Class in org.drip.market.otc
IBORFixedFloatContainer holds the settings of the standard OTC IBOR fix-float swap contract conventions.
IBORFixedFloatContainer() - Constructor for class org.drip.market.otc.IBORFixedFloatContainer
 
IBORFloatFloatContainer - Class in org.drip.market.otc
IBORFloatFloatContainer holds the settings of the standard OTC float-float swap contract Conventions.
IBORFloatFloatContainer() - Constructor for class org.drip.market.otc.IBORFloatFloatContainer
 
IBORIndex - Class in org.drip.market.definition
IBORIndex contains the definitions of the IBOR indexes of different jurisdictions.
IBORIndex(String, String, String, String, String, int, String, String, int) - Constructor for class org.drip.market.definition.IBORIndex
IBORIndex Constructor
IBORIndexContainer - Class in org.drip.market.definition
IBORIndexContainer holds the definitions of the IBOR index definitions corresponding to the different jurisdictions.
IBORIndexContainer() - Constructor for class org.drip.market.definition.IBORIndexContainer
 
IBRHoliday - Class in org.drip.analytics.holset
 
IBRHoliday() - Constructor for class org.drip.analytics.holset.IBRHoliday
 
Ichalkaranji - Class in org.drip.sample.bondsink
Ichalkaranji generates the Full Suite of Replication Metrics for the Sinker Bond Ichalkaranji.
Ichalkaranji() - Constructor for class org.drip.sample.bondsink.Ichalkaranji
 
id() - Method in class org.drip.exposure.evolver.PrimarySecurity
Retrieve the Security ID
id() - Method in class org.drip.market.exchange.TreasuryFuturesContract
Retrieve the Treasury Futures Contract ID
id() - Method in class org.drip.portfolioconstruction.asset.AssetComponent
Retrieve the Asset ID
id() - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Array of Asset IDs
id() - Method in class org.drip.portfolioconstruction.core.Block
Retrieve the ID
id() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties
Retrieve the ID of the Asset
id() - Method in class org.drip.product.params.IdentifierSet
Retrieve the ID
id() - Method in class org.drip.simm.product.CreditEntity
Retrieve the Credit Entity ID
id() - Method in class org.drip.xva.basel.ValueCategory
Retrieve the Category ID
id() - Method in class org.drip.xva.proto.ObjectSpecification
Retrieve the Exposure Roll Up Group ID
IdempotentUnivariateRandom - Class in org.drip.sequence.functional
IdempotentUnivariateRandom contains the Implementation of the OffsetIdempotent Objective Function dependent on Univariate Random Variable.
IdempotentUnivariateRandom(double, R1) - Constructor for class org.drip.sequence.functional.IdempotentUnivariateRandom
IdempotentUnivariateRandom Constructor
identifierSet() - Method in class org.drip.product.credit.BondComponent
 
identifierSet() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond identifier set
IdentifierSet - Class in org.drip.product.params
IdentifierSet contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
IdentifierSet(String, String, String, String) - Constructor for class org.drip.product.params.IdentifierSet
Construct the IdentifierSet from ISIN, CUSIP, ID, and ticker.
IDRHoliday - Class in org.drip.analytics.holset
 
IDRHoliday() - Constructor for class org.drip.analytics.holset.IDRHoliday
 
ids() - Method in class org.drip.portfolioconstruction.core.LocalUniverse
Retrieve the List of the Asset Identifiers
IdzorekAndrogue2003 - Class in org.drip.sample.blacklitterman
IdzorekAndrogue2003 reconciles the Outputs of the Black-Litterman Model Process.
IdzorekAndrogue2003() - Constructor for class org.drip.sample.blacklitterman.IdzorekAndrogue2003
 
IEPHoliday - Class in org.drip.analytics.holset
 
IEPHoliday() - Constructor for class org.drip.analytics.holset.IEPHoliday
 
ifrInitialTermStructure() - Method in class org.drip.dynamics.hjm.G2PlusPlus
Retrieve the Initial Instantaneous Forward Rate Term Structure
ifrInitialTermStructure() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Retrieve the Initial Instantaneous Forward Rate Term Structure
ignoreCompliance() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
Indicate if Compliance Checks are to be ignored
IGPHoliday - Class in org.drip.analytics.holset
 
IGPHoliday() - Constructor for class org.drip.analytics.holset.IGPHoliday
 
IIDSequenceSumBound - Class in org.drip.sample.sequence
IIDSequenceSumBound demonstrates the Computation of the Different Probabilistic Bounds for Sums of i.i.d.
IIDSequenceSumBound() - Constructor for class org.drip.sample.sequence.IIDSequenceSumBound
 
IJK - Class in org.drip.execution.athl
IJK holds the Empirical Signals that have been emitted off of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
IJK(TransactionSignal, TransactionSignal) - Constructor for class org.drip.execution.athl.IJK
IJK Constructor
IK1 - Class in org.drip.sample.treasuryfuturesapi
IK1 demonstrates the Invocation and Examination of the IK1 10Y BTPS Treasury Futures.
IK1() - Constructor for class org.drip.sample.treasuryfuturesapi.IK1
 
IK1Attribution - Class in org.drip.sample.treasuryfuturespnl
IK1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the IK1 Series.
IK1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.IK1Attribution
 
IK1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
IK1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated IK1 Closes Feed.
IK1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.IK1ClosesReconstitutor
 
IK1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
IK1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the IK1 Treasury Futures.
IK1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.IK1KeyRateDuration
 
ILSHoliday - Class in org.drip.analytics.holset
 
ILSHoliday() - Constructor for class org.drip.analytics.holset.ILSHoliday
 
ILSIRSAttribution - Class in org.drip.sample.fixfloatpnl
ILSIRSAttribution generates the Historical PnL Attribution for ILS IRS.
ILSIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.ILSIRSAttribution
 
ILSShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
ILSShapePreserving1YStart Generates the Historical ILS Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
ILSShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.ILSShapePreserving1YStart
 
ILSShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
ILSShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the ILS Input Marks.
ILSShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.ILSShapePreservingReconstitutor
 
IMA1992ED(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the IMA 1992 Cure Period Adjusted ED
IMA2002ED(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the IMA 2002 Cure Period Adjusted ED
imaginary() - Method in class org.drip.quant.fourier.ComplexNumber
Retrieve the Imaginary Part
IMMEdgeDates(JulianDate, int, String, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of the IMM period edge dates forward from the spot date.
IMMRollAPI - Class in org.drip.sample.date
IMMRollAPI demonstrates the API used to generate IMM Rolled Dates specific to different Products.
IMMRollAPI() - Constructor for class org.drip.sample.date.IMMRollAPI
 
ImpactExponentAnalysis - Class in org.drip.sample.principal
ImpactExponentAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on the Exponent of the Temporary Market Impact.
ImpactExponentAnalysis() - Constructor for class org.drip.sample.principal.ImpactExponentAnalysis
 
impactFade() - Method in class org.drip.spline.params.PreceedingManifestSensitivityControl
Retrieve the Preceeding Manifest Measure Impact Flag
impactFade(String) - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Manifest Measure Preceeding Manifest Impact Flag
impactFunction(double) - Method in interface org.drip.execution.profiletime.BackgroundParticipationRate
Compute the Market Impact Function from the Volatility Function
impactFunction(double) - Method in class org.drip.execution.profiletime.UniformParticipationRate
 
impactFunction(double) - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
 
impactFunction(double) - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
 
implementationShortfall() - Method in class org.drip.execution.discrete.ShortfallIncrement
Compute the Implementation Short-fall
impliedBeta() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
Retrieve the Portfolio Implied Beta Vector
impliedBlackScholesVolatility(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Imply the Effective Black-Scholes Volatility From the Option Price
ImpliedBlackVolatility - Class in org.drip.dynamics.sabr
ImpliedBlackVolatility contains the Output of the Black Volatility Implication Calculations.
ImpliedBlackVolatility(double, double, double, double, double, double, double, double) - Constructor for class org.drip.dynamics.sabr.ImpliedBlackVolatility
ImpliedBlackVolatility Constructor
impliedBrownianVariateArray() - Method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
Retrieve the Implied Brownian Variate Array
impliedConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Compute the Idzorek Implied Projection Confidence Level
impliedNodeRates(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
 
impliedNodeRates(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.fx.FXCurve
Calculate the rates implied by the discount curve inputs
impliedNodeRates(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
impliedRecovery() - Method in class org.drip.xva.definition.SimpleBalanceSheet
Retrieve the Balance Sheet Implied Recovery
impliedVol(int) - Method in class org.drip.state.curve.BasisSplineDeterministicVolatility
 
impliedVol(int) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
 
impliedVol(int) - Method in class org.drip.state.volatility.VolatilityCurve
Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
impliedVol(JulianDate) - Method in class org.drip.state.volatility.VolatilityCurve
Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
impliedVol(String) - Method in class org.drip.state.volatility.VolatilityCurve
Compute the Deterministic Implied Volatility at the Tenor from the Volatility Term Structure
impliedVolatility() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve the Implied Volatility
impliedVolatility() - Method in class org.drip.simm.parameters.BucketVegaSettings
Retrieve the Implied Volatility
impliedVolatilityFromPrice(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Imply the Effective Volatility From the Option Price
impliedVolatilityFromPrice(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Imply the Effective Volatility From the Option Price
implyVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, double) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
Imply the Flat Caplet/Floorlet Volatility from the Market Manifest Measure
implyVolatilityFromCallPrice(ValuationParams, double, boolean, MergedDiscountForwardCurve, double) - Method in class org.drip.product.option.EuropeanCallPut
Imply the Option Volatility given the Call Price
implyVolatilityFromPutPrice(ValuationParams, double, boolean, MergedDiscountForwardCurve, double) - Method in class org.drip.product.option.EuropeanCallPut
Imply the Option Volatility given the Put Price
in(double) - Method in class org.drip.spline.bspline.TensionBasisHat
Identifies if the ordinate is local to the range
in(double) - Method in class org.drip.spline.grid.AggregatedSpan
 
in(double) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
in(double) - Method in interface org.drip.spline.grid.Span
Check if the Predictor Ordinate is in the Stretch Range
in(double) - Method in class org.drip.spline.segment.LatentStateInelastic
Find out if the Predictor Ordinate is inside the segment - inclusive of left/right.
in(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
in(double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Check if the Predictor Ordinate is in the Stretch Range
in(double) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Indicate whether the specified Date is "inside" the Stretch Range.
InAdvanceIMMSwap - Class in org.drip.sample.fixfloat
InAdvanceIMMSwap demonstrates the Construction and Valuation of a In-Advance IMM Swap.
InAdvanceIMMSwap() - Constructor for class org.drip.sample.fixfloat.InAdvanceIMMSwap
 
InAdvanceLongTenorPeriods - Class in org.drip.sample.cashflow
InAdvanceLongTenorPeriods demonstrates the Cash Flow Period Details for an In-Advance Long Tenor Fix-Float Swap.
InAdvanceLongTenorPeriods() - Constructor for class org.drip.sample.cashflow.InAdvanceLongTenorPeriods
 
InAdvanceShortTenorPeriods - Class in org.drip.sample.cashflow
InAdvanceShortTenorPeriods demonstrates the Cash Flow Period Details for an In-Advance Short Tenor Fix-Float Swap.
InAdvanceShortTenorPeriods() - Constructor for class org.drip.sample.cashflow.InAdvanceShortTenorPeriods
 
InAdvanceSwap - Class in org.drip.sample.fixfloat
InAdvanceSwap discount curve calibration and input instrument calibration quote recovery.
InAdvanceSwap() - Constructor for class org.drip.sample.fixfloat.InAdvanceSwap
 
InArrearsLongTenorPeriods - Class in org.drip.sample.cashflow
InArrearsLongTenorPeriods demonstrates the Cash Flow Period Details for an In-Arrears Long Tenor Fix-Float Swap.
InArrearsLongTenorPeriods() - Constructor for class org.drip.sample.cashflow.InArrearsLongTenorPeriods
 
InArrearsShortTenorPeriods - Class in org.drip.sample.cashflow
InArrearsShortTenorPeriods demonstrates the Cash Flow Period Details for an In-Arrears Short Tenor Fix-Float Swap.
InArrearsShortTenorPeriods() - Constructor for class org.drip.sample.cashflow.InArrearsShortTenorPeriods
 
InArrearsSwap - Class in org.drip.sample.fixfloat
InArrearsSwap demonstrates the Construction and Valuation of a In-Arrears Swap.
InArrearsSwap() - Constructor for class org.drip.sample.fixfloat.InArrearsSwap
 
inBuiltRange(double) - Method in class org.drip.state.estimator.CurveStretch
Indicate if the specified Predictor Ordinate is inside the "Built" Range
income() - Method in class org.drip.xva.basel.BalanceSheetEdge
Compute the "Income"
incomeReplacementRate() - Method in class org.drip.portfolioconstruction.alm.ExpectedNonFinancialIncome
Retrieve the Retirement Age Income Replacement Rate
increment() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
Retrieve the LSQM Curve Increment
increment() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
Retrieve the LSQM Point Increment
increment(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Produce the Incremental Variate-Constraint Multiplier
increment(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.InteriorFixedPointFinder
 
increment(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.NewtonFixedPointFinder
 
increment(Vertex, double[], double[], double) - Method in class org.drip.measure.joint.Evolver
Generate the Adjacent Increment from the Array of the specified Random Variate
increment(JumpDiffusionVertex, JumpDiffusionEdgeUnit, double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance
increment(JumpDiffusionVertex, JumpDiffusionEdgeUnit, double) - Method in class org.drip.measure.process.JumpDiffusionEvolver
 
increment(double[], double[], double) - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
Generate the Adjacent JumpDiffusionEdge Increment Array from the specified Ornstein Uhlenbeck Random Variate Pair
incremental() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Retrieve the Incremental Flag
incremental(double, double) - Method in class org.drip.measure.continuous.R1
Compute the Incremental under the Distribution between the 2 variates
incremental(double[], double[]) - Method in class org.drip.measure.continuous.R1Multivariate
Compute the Incremental under the Distribution between the 2 Multivariate Instances
incremental(double, double, double, double) - Method in class org.drip.measure.continuous.R1R1
Compute the Incremental under the Distribution between the Variate Pair
incremental(double[], double[]) - Method in class org.drip.measure.continuous.Rd
Compute the Incremental under the Distribution between the 2 Variate Arrays
incremental(double[], double, double[], double) - Method in class org.drip.measure.continuous.RdR1
Compute the Incremental under the Distribution between the Variate Array/Variate Pair
incremental(double, double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
 
incremental(double, double) - Method in class org.drip.measure.discrete.PoissonDistribution
 
incremental(double, double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
 
incremental(double, double) - Method in class org.drip.measure.lebesgue.R1Uniform
 
incremental(double[], double[]) - Method in class org.drip.measure.lebesgue.RdUniform
 
incrementalExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Incremental Expectation Sequence
incrementalMarketDynamicDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Incremental Market Dynamic Cost Drift
incrementalMarketDynamicExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Incremental Market Dynamic Expectation Sequence
incrementalMarketDynamicWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Incremental Market Dynamic Cost Wander
incrementalPermanentDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Incremental Permanent Cost Drift
incrementalPermanentImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Incremental Permanent Impact Expectation Sequence
incrementalPermanentWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Incremental Permanent Cost Wander
incrementalTemporaryDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Incremental Temporary Cost Drift
incrementalTemporaryImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Incremental Temporary Impact Expectation Sequence
incrementalTemporaryWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Array of Incremental Temporary Cost Wander
incrementalVariance() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Array of Incremental Variance Sequence
incrementArray(LatentStateLabel) - Method in class org.drip.exposure.universe.LatentStateWeiner
Retrieve the Weiner Increment Array for the Specified Latent State
incrementFraction(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Retrieve the Incremental Step Length Fraction
incrementReverse(JumpDiffusionVertex, JumpDiffusionEdgeUnit, double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the JumpDiffusionEdge Instance Backwards from the specified Jump Diffusion Instance
incrementSequence(Vertex[], double[][], double[][], double) - Method in class org.drip.measure.joint.Evolver
Generate the Array of the Adjacent Increments from the Array of the specified Random Variate
incrementSequence(JumpDiffusionVertex, JumpDiffusionEdgeUnit[], double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Array of Adjacent JumpDiffusionEdge from the specified Random Variate Array
incrementVector() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Retrieve the Sized Vector Instance corresponding to the Increment
incrIterations() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Increment the Number of Iterations
incrIterations() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Increment the number of Iterations
incrOFCalcs() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Increment the Number of Objective Function Evaluations
incrOFCalcs() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Increment the number of Objective Function evaluations
incrOFDerivCalcs() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Increment the number of Objective Function Derivative evaluations
incrOFDerivCalcs() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Increment the number of Objective Function Derivative evaluations
independentAmount() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Collateral Group Independent Amount
index() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremum
Retrieve the Index of the Supremum Empirical Function
index(double) - Method in class org.drip.quant.common.Array2D
Retrieve the Index that corresponds to the given X
index() - Method in class org.drip.state.forward.ForwardCurve
 
index() - Method in interface org.drip.state.forward.ForwardRateEstimator
Retrieve the Forward Rate Index
INDEX_FUND_ETF - Static variable in class org.drip.simm.credit.SectorSystemics
The Indexes/Funds/ETF's Sector
indexCDS() - Method in class org.drip.market.otc.CreditIndexConvention
Create an Instance of the Specified Index CDS Product
IndexConventionFromJurisdiction(String, String) - Static method in class org.drip.market.otc.OvernightFixedFloatContainer
Retrieve the Fix-Float Overnight Index Convention for the specified Jurisdiction
indexCouponPV() - Method in class org.drip.analytics.output.BondCouponMeasures
Retrieve the Index Coupon PV
indexedBasisFunction(int) - Method in class org.drip.spline.basis.FunctionSet
Retrieve the Basis Function identified by the specified Index
IndexFromJurisdiction(String) - Static method in class org.drip.market.definition.IBORIndexContainer
Retrieve the IBOR Index from the Jurisdiction Name
IndexFromJurisdiction(String) - Static method in class org.drip.market.definition.OvernightIndexContainer
Retrieve the Overnight Index from the Jurisdiction Name
IndexFromName(String) - Static method in class org.drip.market.definition.IBORIndexContainer
Retrieve the IBOR Index from the Index Name
IndexFromName(String) - Static method in class org.drip.market.definition.OvernightIndexContainer
Retrieve the Overnight Index from the Index Name
IndexFundCurvesReconciliation - Class in org.drip.sample.ois
IndexFundCurvesReconciliation demonstrates the Construction, Usage, Coupon Extraction and Measure Generation for an OIS Product Sample using the Index and the Fund Curves, and their Reconciliation.
IndexFundCurvesReconciliation() - Constructor for class org.drip.sample.ois.IndexFundCurvesReconciliation
 
indexMatch(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Indicate whether Specified Merge Stretch's Label matches with the current one
IndexSet() - Static method in class org.drip.simm.rates.IRThresholdContainer20
Retrieve the Interest Rate Threshold Container Bucket Index Set
IndexSet() - Static method in class org.drip.simm.rates.IRThresholdContainer21
Retrieve the Interest Rate Threshold Container Bucket Index Set
indexSubType() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Index Sub-Type
indexType() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Index Type
Indore - Class in org.drip.sample.bondeos
Indore demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Indore.
Indore() - Constructor for class org.drip.sample.bondeos.Indore
 
inelasticParams() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
Retrieve the Segment Inelastic Parameters
inequalityConstraint() - Method in class org.drip.optimization.constrained.OptimizationFramework
Retrieve the Array of R^d To R^1 Inequality Constraint Functions
inequalityConstraintCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
Retrieve the Array of the Inequality Constraint Coefficients
inequalityConstraints() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
Retrieve the Array of Inequality Constraints
inequalityConstraints() - Method in class org.drip.function.rdtor1solver.InteriorFixedPointFinder
Retrieve the Array of Inequality Constraints
infimumUpperBound(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Infimum of the Decision Function Operator Upper Bound across all the Product Bounds for the specified Feature Space Entropy Number
inFirstCouponPeriod(int) - Method in class org.drip.product.credit.BondComponent
 
inFirstCouponPeriod(int) - Method in class org.drip.product.definition.Bond
Indicate whether the given date is in the first coupon period
INFLECTION - Static variable in class org.drip.spline.segment.Monotonocity
NON MONOTONE - INFLECTION
INFO - Static variable in class org.drip.analytics.support.Logger
Logger level INFO
informationRatio(double) - Method in class org.drip.execution.principal.GrossProfitEstimator
Compute the Information Ratio given the Principal Discount
InformationRatioAnalysis - Class in org.drip.sample.principal
InformationRatioAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on the Information Ratio Hurdle.
InformationRatioAnalysis() - Constructor for class org.drip.sample.principal.InformationRatioAnalysis
 
Init(String) - Static method in class org.drip.analytics.daycount.Convention
Initialize the day count basis object from the calendar set
Init() - Static method in class org.drip.analytics.support.Helper
Initialize IR switcher and Bloomberg day count maps
Init(String) - Static method in class org.drip.analytics.support.Logger
Initialize the logger from a configuration file
Init() - Static method in class org.drip.market.definition.FXSettingContainer
Initialize the FXSettingContainer
Init() - Static method in class org.drip.market.definition.IBORIndexContainer
Initialize the IBOR Index Container with the Overnight Indexes
Init() - Static method in class org.drip.market.definition.OvernightIndexContainer
Initialize the Overnight Index Container with the Overnight Indexes
Init() - Static method in class org.drip.market.exchange.DeliverableSwapFuturesContainer
Initialize the Deliverable Swap Futures Container with the pre-set Deliverable Swap Futures Contract
Init() - Static method in class org.drip.market.exchange.FuturesOptionsContainer
Initialize the Overnight Index Container with the Overnight Indexes
Init() - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
Initialize the Short Term Futures Container with the pre-set Short Term Contracts
Init() - Static method in class org.drip.market.exchange.TreasuryFuturesContractContainer
Initialize the Treasury Futures Contract Container with the Conventions
Init() - Static method in class org.drip.market.exchange.TreasuryFuturesConventionContainer
Initialize the Bond Futures Convention Container with the Conventions
Init() - Static method in class org.drip.market.exchange.TreasuryFuturesOptionContainer
Initialize the Treasury Futures Options Convention Container with the Conventions
Init() - Static method in class org.drip.market.issue.TreasurySettingContainer
Initialize the Treasury Settings Container
Init() - Static method in class org.drip.market.otc.CreditIndexConventionContainer
Initialize the Credit Index Conventions Container with the pre-set CDX Contract Settings
Init() - Static method in class org.drip.market.otc.CrossFloatConventionContainer
Initialize the Cross-Currency Float-Float Conventions Container with the pre-set Floating Stream Contracts
Init() - Static method in class org.drip.market.otc.IBORFixedFloatContainer
Initialize the Fix-Float Conventions Container with the pre-set Fix-Float Contracts
Init() - Static method in class org.drip.market.otc.IBORFloatFloatContainer
Initialize the Float-Float Conventions Container with the pre-set Float-Float Contracts
Init() - Static method in class org.drip.market.otc.OvernightFixedFloatContainer
Initialize the Fix-Float Conventions Container with the pre-set Fix-Float Contracts
Init() - Static method in class org.drip.market.otc.SwapOptionSettlementContainer
Initialize the Swap Option Settlement Conventions Container with the pre-set Swap Option Settlement Conventions
Init() - Static method in class org.drip.service.env.BuildManager
Initialize the Build Logs of the Build Manager
Init() - Static method in class org.drip.service.env.CacheManager
Initialize the Cache Manager
Init() - Static method in class org.drip.service.env.InvocationManager
Initialize the Invocation Manager
Init() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
Initialize the Commodity Risk Threshold Container
Init() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
Initialize the Commodity Risk Threshold Container
Init() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
Initialize the Commodity Settings Container
Init() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
Initialize the Commodity Settings Container
Init() - Static method in class org.drip.simm.common.ISDASettingsContainer
Initial the ISDA Settings Container
Init() - Static method in class org.drip.simm.common.RiskFactorThresholdContainer
Initialize the Risk Factor Threshold Container
Init() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
Initial the Credit Non-Qualifying Settings
Init() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
Initial the Credit Non-Qualifying Settings
Init() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
Initial the Credit Qualifying Settings
Init() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
Initial the Credit Qualifying Settings
Init() - Static method in class org.drip.simm.credit.CRThresholdContainer20
Initialize the Credit Risk Threshold Container
Init() - Static method in class org.drip.simm.credit.CRThresholdContainer21
Initialize the Credit Risk Threshold Container
Init() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
Initialize the Equity Risk Threshold Container
Init() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
Initialize the Equity Risk Threshold Container
Init() - Static method in class org.drip.simm.equity.EQSettingsContainer20
Initialize the Equity Settings Container
Init() - Static method in class org.drip.simm.equity.EQSettingsContainer21
Initialize the Equity Settings Container
Init() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
Initialize the FX Risk Threshold Container
Init() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
Initialize the FX Risk Threshold Container
Init() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Initialize the Interest Rate Weight Specification Container
Init() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Initialize the Interest Rate Weight Specification Container
Init() - Static method in class org.drip.simm.rates.IRThresholdContainer20
Initialize the Container
Init() - Static method in class org.drip.simm.rates.IRThresholdContainer21
Initialize the Container
InitAnalServer(String) - Static method in class org.drip.param.config.ConfigLoader
Initialize the analytics server from the connection parameters set in the XML Configuration file
InitEnv(String, boolean) - Static method in class org.drip.service.env.EnvManager
Initialize the logger, the database connections, the day count parameters, and day count objects.
InitEnv(String) - Static method in class org.drip.service.env.EnvManager
Initialize the Environment Setup
InitFullCDXRefDataSet() - Static method in class org.drip.product.creator.CDXRefDataHolder
 
Initial(JulianDate, double, MarketVertex, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
Construct the Initial Dynamic Dealer Portfolio
Initial(double, CollateralGroupVertexCloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerExposure
Generate an Initial Instance of Burgard Kjaer Vertex Exposure
initialDate() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
Retrieve the Initial Date
initialDate() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Initial Date
initialFairPremium() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Initial Fair Premium
initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
Retrieve the Array of Initial Holdings
initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermMarginal
Retrieve the Initial Holdings Array
initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTerm
Retrieve the Initial Holdings Array
initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuer
Retrieve the Initial Holdings Array
initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
Retrieve the Array of Initial Holdings
initialHoldings() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTerm
Retrieve the Array of Initial Holdings
InitializationHeuristics - Class in org.drip.function.r1tor1solver
InitializationHeuristics implements several heuristics used to kick off the fixed point bracketing/search process.
InitializationHeuristics(int, double, double, double, double, double, double, double, BracketingControlParams) - Constructor for class org.drip.function.r1tor1solver.InitializationHeuristics
Construct an Initialization Heuristics Instance from the set of Heuristics Parameters
initialize() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
 
initialize() - Method in class org.drip.service.engine.ComputeClient
Establish a Connection to the Compute Server Engine
initialize() - Method in class org.drip.service.engine.ComputeServer
Initialize the Compute Server Engine Listener Setup
initializeBracket(InitializationHeuristics, double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializer
Set up the bracket to be used for the eventual search kick-off
initializeNonDimensionalCost(MarketState, double) - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Retrieve the Initial Non Dimensional Cost
initializeVariate(InitializationHeuristics, double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializer
Initialize the starting variate to within the fixed point convergence zone
initializeVariateZone(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinder
 
initializeVariateZone(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
 
initializeVariateZone(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinderNewton
 
initialMarketState() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
Retrieve the Initial Market State
initialNotional() - Method in class org.drip.product.credit.BondComponent
 
initialNotional() - Method in class org.drip.product.credit.CDSComponent
 
initialNotional() - Method in class org.drip.product.definition.BasketProduct
Return the initial notional of the basket product
initialNotional() - Method in class org.drip.product.definition.Component
Get the Initial Notional for the Product
initialNotional() - Method in class org.drip.product.fx.FXForwardComponent
 
initialNotional() - Method in class org.drip.product.govvie.TreasuryFutures
 
initialNotional() - Method in class org.drip.product.option.OptionComponent
 
initialNotional() - Method in class org.drip.product.rates.FixFloatComponent
 
initialNotional() - Method in class org.drip.product.rates.FloatFloatComponent
 
initialNotional() - Method in class org.drip.product.rates.RatesBasket
 
initialNotional() - Method in class org.drip.product.rates.SingleStreamComponent
 
initialNotional() - Method in class org.drip.product.rates.Stream
Retrieve the Initial Notional
initialShortRate() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Retrieve the Initial Short Rate
initialStrength() - Method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
Retrieve the Initial Barrier Strength
initRegressionEnv() - Method in class org.drip.regression.core.RegressionEngine
One-time initialization of the regression engine environment
initRegressionEnv() - Method in class org.drip.regression.curve.CreditAnalyticsRegressionEngine
 
initRegressionEnv() - Method in class org.drip.regression.curvejacobian.CurveJacobianRegressionEngine
 
InitStandardCDXSeries() - Static method in class org.drip.service.env.StandardCDXManager
 
inLastCouponPeriod(int) - Method in class org.drip.product.credit.BondComponent
 
inLastCouponPeriod(int) - Method in class org.drip.product.definition.Bond
Indicate whether the given date is in the final coupon period
innate() - Method in class org.drip.historical.engine.MarketMeasureRollDown
Retrieve the Innate Roll Down Market Measure
innerHessian() - Method in class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
Retrieve the Inner Hessian Matrix
innerHoldings() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
Retrieve the Array of the Inner Holdings
innerJacobian() - Method in class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
Retrieve the Inner Jacobian Array
inputMetricVectorSpace() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
Retrieve the Eigen Input Space
inputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
Retrieve the Symmetric Input Metric R^d Vector Space
inputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
Retrieve the Symmetric Input Metric R^d Vector Space
inputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
inputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
 
inputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Retrieve the Input Vector Space
inputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
 
inputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
 
inputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Input Metric Vector Space
inputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
 
inputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
 
inputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Input Metric Vector Space
inputSpaceBorelMeasure() - Method in class org.drip.learning.kernel.IntegralOperator
Retrieve the Input Space Borel Sigma Measure
InquiriesLast6Months - Class in org.drip.assetbacked.loan
InquiriesLast6Months contains the Total Number of Inquiries for the Loan over the Last 6 Months
InquiriesLast6Months(int) - Constructor for class org.drip.assetbacked.loan.InquiriesLast6Months
InquiriesLast6Months Constructor
INR - Class in org.drip.template.irs
INR contains a Templated Pricing of the OTC Fix-Float INR IRS Instrument.
INR() - Constructor for class org.drip.template.irs.INR
 
INRHoliday - Class in org.drip.analytics.holset
 
INRHoliday() - Constructor for class org.drip.analytics.holset.INRHoliday
 
insert(double) - Method in class org.drip.spaces.big.BinaryTree
Insert a Node into the Tree
insertAfter(double, double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
Insert the given Value after the Specified Location Node
InsertCardinalKnot(MultiSegmentSequence, double, double) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
Insert a Cardinal Knot into the specified Stretch at the specified Predictor Ordinate Location
InsertCatmullRomKnot(MultiSegmentSequence, double) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
Insert a Catmull-Rom Knot into the specified Stretch at the specified Predictor Ordinate Location
insertionSort() - Method in class org.drip.spaces.big.BigR1Array
Insertion Sort the Big Array
InsertKnot(MultiSegmentSequence, double, double, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
Insert the specified Predictor Ordinate Knot into the specified Stretch, using the specified Response Value
InsertKnot(MultiSegmentSequence, double, SegmentPredictorResponseDerivative, SegmentPredictorResponseDerivative) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
Insert the Predictor Ordinate Knot into the specified Stretch
instance() - Method in class org.drip.spaces.big.BigR2Array
Retrieve the R^2 Instance Array
instance() - Method in class org.drip.spaces.instance.ValidatedR1
Retrieve the Instance Sequence
instance() - Method in class org.drip.spaces.instance.ValidatedRd
Retrieve the Instance Sequence
INSTANCE_GENERATOR_RULE_EDGE_LAG - Static variable in class org.drip.analytics.eventday.DateInMonth
Instance Date Generation Rules - Generate from Lag from Front/Back
INSTANCE_GENERATOR_RULE_SPECIFIC_DAY_OF_MONTH - Static variable in class org.drip.analytics.eventday.DateInMonth
Instance Date Generation Rule - Generate Using the Specific Day of the Month
INSTANCE_GENERATOR_RULE_WEEK_DAY - Static variable in class org.drip.analytics.eventday.DateInMonth
Instance Date Generation Rule - Generate from Specified Day in Week/Week in Month
instanceDay(int, int, String) - Method in class org.drip.analytics.eventday.DateInMonth
Generate the Particular Day of the Year, the Month, according to the Calendar
instanceGenerator() - Method in class org.drip.analytics.eventday.DateInMonth
Retrieve the Instance Generation Rule
instantaneousEffectiveForwardRate() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the Instantaneous Effective Annual Forward Rate Span
instantaneousEffectiveForwardRate() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Instantaneous Effective Annual Forward Rate
instantaneousEffectiveForwardRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Instantaneous Effective Annual Forward Rate
instantaneousEffectiveForwardRates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate
instantaneousForwardInitialTermStructure() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Retrieve the Initial Instantaneous Forward Rate Term Structure
instantaneousForwardRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Instantaneous Forward Rate
instantaneousForwardRateIncrement(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Compute the Instantaneous Forward Rate Increment given the View Date, the Target Date, and the View Time Increment
instantaneousForwardRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Instantaneous Forward Rate Increment
instantaneousForwardRateIntegral(int, boolean) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
Compute the Realized/Expected Instantaneous Forward Rate Integral to the Target Date
instantaneousNominalForwardRate() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the Instantaneous Nominal Annual Forward Rate Span
instantaneousNominalForwardRate() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Instantaneous Nominal Annual Forward Rate
instantaneousNominalForwardRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Instantaneous Nominal Annual Forward Rate
instantaneousNominalForwardRates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate
instantaneousTradeRate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Instantaneous Trade Rate
instantTradeRate() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
 
instantTradeRate() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
 
instantTradeRate() - Method in interface org.drip.execution.strategy.TradingTrajectory
Retrieve the Instant Trade Rate
InstrMetric - Class in org.drip.service.api
InstrMetric contains the fields that hold the result of the PnL metric calculations.
InstrMetric(ForwardRates, ProductDailyPnL) - Constructor for class org.drip.service.api.InstrMetric
InstrMetric constructor
instrumentQuote(String) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
Retrieve the Named Instrument Quotes
InstrumentSetTenorQuote - Class in org.drip.feed.loader
InstrumentSetTenorQuote holds the Instrument Set Tenor and Closing Quote Group.
InstrumentSetTenorQuote() - Constructor for class org.drip.feed.loader.InstrumentSetTenorQuote
Empty InstrumentSetTenorQuote Constructor
instrumentTenor(String) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
Retrieve the Named Instrument Tenors
instrumentTenorQuote(String) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
Retrieve the Named Instrument Group Quote Map
intArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Array of Integer Values corresponding to the specified Column Index
IntegerArrayEntry(Object) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to an Integer Array
IntegerEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to an Integer
IntegerListFromString(List<Integer>, String, String) - Static method in class org.drip.quant.common.StringUtil
Create a list of integers from a delimited string
IntegerRandomSequenceBound - Class in org.drip.sample.sequence
IntegerRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random Integer Sequence.
IntegerRandomSequenceBound() - Constructor for class org.drip.sample.sequence.IntegerRandomSequenceBound
 
IntegerSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
IntegerSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the specified Integer Sequence.
IntegerSequenceAgnosticMetrics(double[], R1) - Constructor for class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
Build out the Sequence and their Metrics
integralExpectation(double, double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
Evaluate the Expected Path-wise Integral between the Vriates
IntegralOperator - Class in org.drip.learning.kernel
IntegralOperator implements the R^x L2 To R^x L2 Mercer Kernel Integral Operator defined by: T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]} The References are: 1) Ash, R.
IntegralOperator(SymmetricRdToNormedR1Kernel, RdToR1, R1Normed) - Constructor for class org.drip.learning.kernel.IntegralOperator
IntegralOperator Constructor
IntegralOperatorEigenComponent - Class in org.drip.learning.kernel
IntegralOperatorEigenComponent holds the Eigen-Function Space and the Eigenvalue Functions/Spaces of the R^x L2 To R^x L2 Kernel Linear Integral Operator defined by: T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]} The References are: 1) Ash, R.
IntegralOperatorEigenComponent(EigenFunctionRdToR1, double) - Constructor for class org.drip.learning.kernel.IntegralOperatorEigenComponent
IntegralOperatorEigenComponent Constructor
IntegralOperatorEigenContainer - Class in org.drip.learning.kernel
IntegralOperatorEigenContainer holds the Group of Eigen-Components that result from the Eigenization of the R^x L2 To R^x L2 Kernel Linear Integral Operator defined by: T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]} The References are: 1) Ash, R.
IntegralOperatorEigenContainer(IntegralOperatorEigenComponent[]) - Constructor for class org.drip.learning.kernel.IntegralOperatorEigenContainer
IntegralOperatorEigenContainer Constructor
integralRealization(double, double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
Evaluate a Path-wise Integral between the Vriates
IntegrandQuadrature - Class in org.drip.sample.numerical
IntegrandQuadrature shows samples for the following routines for integrating the objective function: - Mid-Point Scheme - Trapezoidal Scheme - Simpson/Simpson38 schemes - Boole Scheme
IntegrandQuadrature() - Constructor for class org.drip.sample.numerical.IntegrandQuadrature
 
integrate(double, double) - Method in class org.drip.function.definition.R1ToR1
Integrate over the given range
integrate(double, double) - Method in class org.drip.function.definition.R1ToRd
Integrate over the given Input Range Using Uniform Monte-Carlo
integrate(double[], double[]) - Method in class org.drip.function.definition.RdToR1
Integrate over the given Input Range Using Uniform Monte-Carlo
integrate(double[], double[]) - Method in class org.drip.function.definition.RdToRd
Integrate over the given Input Range Using Uniform Monte-Carlo
integrate(double, double) - Method in class org.drip.function.r1tor1.ExponentialDecay
 
integrate(double, double) - Method in class org.drip.function.r1tor1.ExponentialTension
 
integrate(double, double) - Method in class org.drip.function.r1tor1.FlatUnivariate
 
integrate(double, double) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
 
integrate(double, double) - Method in class org.drip.function.r1tor1.HyperbolicTension
 
integrate(double, double) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
 
integrate(double, double) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
 
integrate(double, double) - Method in class org.drip.function.r1tor1.OffsetIdempotent
 
integrate(double, double) - Method in class org.drip.function.r1tor1.Polynomial
 
integrate(double, double) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
 
integrate(double, double) - Method in class org.drip.function.r1tor1.UnivariateConvolution
 
integrate(double, double) - Method in class org.drip.function.r1tor1.UnivariateReflection
 
integrate(double, double) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
 
integrate(double, double) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
 
integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
 
integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
 
integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
 
integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
 
integrate(double, double) - Method in class org.drip.spline.bspline.LeftHatShapeControl
 
integrate(double, double) - Method in class org.drip.spline.bspline.RightHatShapeControl
 
integrate(double, double) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
 
integrate(double, double) - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
 
integrate(double, double) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
 
integrate(double, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
integrate(double, double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
 
integrate(double, double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
 
IntegratedCrossVolQuanto(VolatilityCurve, VolatilityCurve, R1ToR1, int, int) - Static method in class org.drip.analytics.support.OptionHelper
Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the correlation curves, and the date spans
IntegratedCrossVolQuanto(CurveSurfaceQuoteContainer, String, String, int, int) - Static method in class org.drip.analytics.support.OptionHelper
Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the correlation Curves and the date spans
IntegratedFRACrossVolConvexityAdjuster(CurveSurfaceQuoteContainer, ForwardLabel, FundingLabel, double, double, int, int) - Static method in class org.drip.analytics.support.OptionHelper
Compute the Integrated FRA Cross Volatility Convexity Adjuster given the corresponding volatility and the correlation Curves and the date spans
IntegratedFRACrossVolConvexityExponent(VolatilityCurve, VolatilityCurve, R1ToR1, double, double, int, int) - Static method in class org.drip.analytics.support.OptionHelper
Compute the Integrated FRA Cross Volatility Convexity Exponent given the corresponding volatility and the correlation Curves, and the date spans
IntegratedSurfaceVariance(CurveSurfaceQuoteContainer, String, int, int) - Static method in class org.drip.analytics.support.OptionHelper
Compute the Integrated Surface Variance given the corresponding volatility and the date spans
IntegratedSurfaceVariance(VolatilityCurve, int, int) - Static method in class org.drip.analytics.support.OptionHelper
Compute the Integrated Surface Variance given the corresponding volatility and the date spans
InterestRate20 - Class in org.drip.sample.simmsettings
InterestRate20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Interest Rate Tenor Risk Weights, Systemics, and Correlations.
InterestRate20() - Constructor for class org.drip.sample.simmsettings.InterestRate20
 
InterestRate21 - Class in org.drip.sample.simmsettings
InterestRate21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Interest Rate Tenor Risk Weights, Systemics, and Correlations.
InterestRate21() - Constructor for class org.drip.sample.simmsettings.InterestRate21
 
InterestRateConcentrationThreshold20 - Class in org.drip.sample.simmsettings
InterestRateConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Interest Rate Concentration Thresholds.
InterestRateConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.InterestRateConcentrationThreshold20
 
InterestRateConcentrationThreshold21 - Class in org.drip.sample.simmsettings
InterestRateConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Interest Rate Concentration Thresholds.
InterestRateConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.InterestRateConcentrationThreshold21
 
InteriorFixedPointFinder - Class in org.drip.function.rdtor1solver
InteriorFixedPointFinder generates the Iterators for solving R^d To R^1 Convex/Non-Convex Functions Under Inequality Constraints loaded using a Barrier Coefficient.
InteriorFixedPointFinder(RdToR1, RdToR1[], LineStepEvolutionControl, ConvergenceControl, double) - Constructor for class org.drip.function.rdtor1solver.InteriorFixedPointFinder
InteriorFixedPointFinder Constructor
InteriorPointBarrierControl - Class in org.drip.function.rdtor1solver
InteriorPointBarrierControl contains the Barrier Iteration Control Parameters.
InteriorPointBarrierControl(int, double, double, double, double, int) - Constructor for class org.drip.function.rdtor1solver.InteriorPointBarrierControl
InteriorPointBarrierControl Constructor
interpolate(double) - Method in interface org.drip.measure.bridge.BrokenDateInterpolator
Interpolate the Value at T
interpolate(double) - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
 
interpolate(double) - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
 
interpolate(double) - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
 
interpolationType() - Method in class org.drip.exposure.mpor.MarginPeriodOfRisk
Retrieve the MPoR Interpolation Type
IntervalHMSMS(long) - Static method in class org.drip.analytics.support.Helper
Converts the Nano-Second Interval into aH:bM:cS:dMS Format
interViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
Retrieve the View/View Joint Contribution Component
intraFamilyCrossTenorCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
Retrieve the Intra-Family Cross Tenor Correlation
intraViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
Retrieve the Single View Joint Contribution Component
invariant() - Method in class org.drip.execution.tradingtime.CoordinatedVariation
Retrieve the Volatility/Liquidity Invariant
invCumulative(double) - Method in class org.drip.measure.continuous.R1
Compute the inverse cumulative under the distribution corresponding to the given value
invCumulative(double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
 
invCumulative(double) - Method in class org.drip.measure.discrete.PoissonDistribution
 
invCumulative(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
 
invCumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
 
invCumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
 
invCumulative(double) - Method in class org.drip.measure.lebesgue.R1Uniform
 
inverse() - Method in class org.drip.state.identifier.FXLabel
Delegate the Inverse FX Label
INVERSE_QUADRATIC_INTERPOLATION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Inverse Quadratic Interpolation
InverseCDF(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
Compute the Inverse CDF of the Distribution up to the specified Y
inverseCode() - Method in class org.drip.product.params.CurrencyPair
Get the inverse currency pair code
inverseMarginNormBound() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Retrieve the Norm Upper Bound of the Inverse Margin
inverseMarginSpace() - Method in class org.drip.learning.svm.RdDecisionFunction
Retrieve the Inverse Margin Weight Metric Vector Space
inverseMarginWeights() - Method in class org.drip.learning.svm.RdDecisionFunction
Retrieve the Decision Kernel Weights
InverseQuadraticInterpolation(double, double, double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Iterate for the next variate using inverse quadratic interpolation
inverseTurnover() - Method in class org.drip.execution.parameters.AssetFlowSettings
Retrieve the Daily Inverse Turnover
Invert(double[][], String) - Static method in class org.drip.quant.linearalgebra.Matrix
Invert the input matrix using the specified Method
Invert2DMatrixUsingCramerRule(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Invert a 2D Matrix using Cramer's Rule
InvertUsingGaussianElimination(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Invert the Source Matrix using Gaussian Elimination
INVESTMENT - Static variable in class org.drip.simm.credit.SectorSystemics
The Investment Sector
InvestorCliffSettings - Class in org.drip.portfolioconstruction.alm
InvestorCliffSettings contains the Investor's Time Cliff Settings Parameters such as the Retirement and the Mortality Ages.
InvestorCliffSettings(double, double) - Constructor for class org.drip.portfolioconstruction.alm.InvestorCliffSettings
InvestorCliffSettings Constructor
investorCliffSettings() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
Retrieve the Investor's Time Horizon Settings
InvocationManager - Class in org.drip.service.env
InvocationManager records the manages the Build/Execution Environment of an Invocation.
InvocationManager() - Constructor for class org.drip.service.env.InvocationManager
 
invocationRecord() - Static method in class org.drip.service.env.InvocationManager
Retrieve the Invocation Record
InvocationRecord - Class in org.drip.service.env
InvocationRecord implements the Invocation Start/Finish Times of a given Invocation.
InvocationRecord() - Constructor for class org.drip.service.env.InvocationRecord
InvocationTimes Constructor
invoke(JSONObject) - Method in class org.drip.service.engine.ComputeClient
Invoke a Request on the Compute Server and Retrieve the Response
IPCHoliday - Class in org.drip.analytics.holset
 
IPCHoliday() - Constructor for class org.drip.analytics.holset.IPCHoliday
 
IR - Static variable in class org.drip.simm.common.Chargram
The Interest Rate Digram IR
IR1Attribution - Class in org.drip.sample.forwardratefuturespnl
IR1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the IR1 Series.
IR1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.IR1Attribution
 
IR1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
IR1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted IR1 Closes Feed.
IR1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.IR1ClosesReconstitutor
 
IR_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
IR_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
IR_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
IR_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
IR_CRQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Interest Rate and Credit Qualifying Risk Classes
IR_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
IR_CRQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Interest Rate and Credit Qualifying Risk Classes
IR_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
IR_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Interest Rate and Commodity Risk Classes
IR_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
IR_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Interest Rate and Commodity Risk Classes
IR_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
IR_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Interest Rate and Equity Risk Classes
IR_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and Equity Risk Classes
IR_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Interest Rate and Equity Risk Classes
IR_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and Equity Risk Classes
IR_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
Correlation between Interest Rate and FX Risk Classes
IR_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Retrieve the Correlation between Interest Rate and FX Risk Classes
IR_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
Correlation between Interest Rate and FX Risk Classes
IR_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Retrieve the Correlation between Interest Rate and FX Risk Classes
IRCrossCurvePrincipal - Class in org.drip.sample.simmvariance
IRCrossCurvePrincipal demonstrates the Computation of the Cross IR Curve Principal Component Co-variance using the IR Curve Tenor Principal Component.
IRCrossCurvePrincipal() - Constructor for class org.drip.sample.simmvariance.IRCrossCurvePrincipal
 
IRMarginComparison - Class in org.drip.sample.simmvariance
IRMarginComparison illustrates the Comparison of the Interest Rate Margin Estimates using difference Schemes for Calculating the Position-Bucket Principal Component Co-variance.
IRMarginComparison() - Constructor for class org.drip.sample.simmvariance.IRMarginComparison
 
irRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
Retrieve the Interest Rate Risk Class Aggregate
irRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
Retrieve the IR Risk Class Sensitivity
irRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the IR Risk Class Sensitivity Settings
IRSettingsContainer20 - Class in org.drip.simm.rates
IRSettingsContainer20 holds the ISDA SIMM 2.0 Tenor Vertex Risk Weights/Correlations for Single IR Curves, Cross Currencies, and Inflation.
IRSettingsContainer20() - Constructor for class org.drip.simm.rates.IRSettingsContainer20
 
IRSettingsContainer21 - Class in org.drip.simm.rates
IRSettingsContainer21 holds the ISDA SIMM 2.1 Tenor Vertex Risk Weights/Correlations for Single IR Curves, Cross Currencies, and Inflation.
IRSettingsContainer21() - Constructor for class org.drip.simm.rates.IRSettingsContainer21
 
IRSJacobianRegressorSet - Class in org.drip.regression.curvejacobian
IRSJacobianRegressorSet implements the regression analysis set for the IRS product related Sensitivity Jacobians.
IRSJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.IRSJacobianRegressorSet
 
IRSystemics - Class in org.drip.simm.rates
IRSystemics contains the Systemic Settings of the SIMM 2.0 Interest Rate Risk Factors.
IRSystemics() - Constructor for class org.drip.simm.rates.IRSystemics
 
IRSystemics20 - Class in org.drip.simm.rates
IRSystemics20 contains the Systemic Settings of the SIMM 2.0 Interest Rate Risk Factors.
IRSystemics20() - Constructor for class org.drip.simm.rates.IRSystemics20
 
IRSystemics21 - Class in org.drip.simm.rates
IRSystemics21 contains the Systemic Settings of the SIMM 2.1 Interest Rate Risk Factors.
IRSystemics21() - Constructor for class org.drip.simm.rates.IRSystemics21
 
IRThreshold - Class in org.drip.simm.rates
IRThreshold holds the ISDA SIMM 2.0 Interest Rate Delta and Vega Concentration Thresholds.
IRThreshold(CurrencyRiskGroup, DeltaVegaThreshold) - Constructor for class org.drip.simm.rates.IRThreshold
IRThreshold Constructor
IRThresholdContainer20 - Class in org.drip.simm.rates
IRThresholdContainer20 holds the ISDA SIMM 2.0 Interest Rate Thresholds - the Currency Risk Groups, and the Delta/Vega Limits defined for the Concentration Thresholds.
IRThresholdContainer20() - Constructor for class org.drip.simm.rates.IRThresholdContainer20
 
IRThresholdContainer21 - Class in org.drip.simm.rates
IRThresholdContainer21 holds the ISDA SIMM 2.1 Interest Rate Thresholds - the Currency Risk Groups, and the Delta/Vega Limits defined for the Concentration Thresholds.
IRThresholdContainer21() - Constructor for class org.drip.simm.rates.IRThresholdContainer21
 
IRWeight - Class in org.drip.simm.rates
IRWeight holds the ISDA SIMM Tenor Interest Rate Vertex Risk Weights for Currencies across all Volatility Types.
IRWeight(String, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.rates.IRWeight
IRWeight Constructor
isActive() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
Indicate if the Objective Term is Active
isAlive(double) - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Retrieve the Investor "Is Alive" Indicator Flag corresponding to the specified Age
isAlive() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the "Is Alive" Indicator Flag
isBaseNatural() - Method in class org.drip.function.r1tor1.ExponentialTension
Is the base natural?
isCap() - Method in class org.drip.product.fra.FRAStandardCapFloor
Indicate if this is a Cap or Floor
isCaplet() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
Indicate whether this a Caplet/Floorlet
isCET1Contributor() - Method in class org.drip.xva.basel.ValueCategory
Indicator if the Category is a CET1 Contributor
isCoMonotone(double[]) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
isCoMonotone(double[]) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
isCoMonotone(double[]) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Verify whether the Stretch mini-max Behavior matches the Measurement
isCompatible(FritzJohnMultipliers) - Method in class org.drip.optimization.constrained.OptimizationFramework
Indicate if the specified Fritz John Multipliers are compatible with the Optimization Framework
isCorrelatorQuadratric() - Method in interface org.drip.simm.foundation.CurvatureEstimator
Indicate if the Correlator is Quadratic
isCorrelatorQuadratric() - Method in class org.drip.simm.foundation.CurvatureEstimatorISDADelta
 
isCorrelatorQuadratric() - Method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
 
isCPLDCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Constant Positive Linear Dependence Constraint Qualification
isCRCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Constant Rank Constraint Qualification
ISDA(double, double, double, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
Construct the ISDA Standard BucketCurvatureSettings
ISDA(String) - Static method in class org.drip.state.identifier.CSALabel
Generate the ISDA CSA
ISDA_20(List<String>, int) - Static method in class org.drip.simm.estimator.ProductClassSettings
Construct an ISDA SIMM 2.0 Version of ProductClassSettings
ISDA_20(String) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
Generate the ISDA 2.0 Standard BucketCurvatureSettingsIR
ISDA_20(String) - Static method in class org.drip.simm.parameters.BucketVegaSettingsIR
Construct the ISDA 2.0 Standard IR Vega Sensitivity Settings for the Currency
ISDA_20(List<String>) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
ISDA_21(List<String>, int) - Static method in class org.drip.simm.estimator.ProductClassSettings
Construct an ISDA SIMM 2.1 Version of ProductClassSettings
ISDA_21(String) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
Generate the ISDA 2.1 Standard BucketCurvatureSettingsIR
ISDA_21(String) - Static method in class org.drip.simm.parameters.BucketVegaSettingsIR
Construct the ISDA 2.1 Standard IR Vega Sensitivity Settings for the Currency
ISDA_21(List<String>) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
ISDA_92 - Static variable in class org.drip.xva.settings.CloseOutScheme
The Dealer/Client ISDA 92 Close Out Scheme
ISDA_CRNQ_20(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Curvature Settings
ISDA_CRNQ_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Vega Settings
ISDA_CRNQ_20() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
Generate the SIMM 2.0 CRNQ Class Sensitivity Settings
ISDA_CRNQ_21(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Curvature Settings
ISDA_CRNQ_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Vega Settings
ISDA_CRNQ_21() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
Generate the SIMM 2.1 CRNQ Class Sensitivity Settings
ISDA_CRNQ_CURVATURE_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.0 Non-Credit Qualifying Curvature Sensitivity Settings
ISDA_CRNQ_CURVATURE_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.1 Non-Credit Qualifying Curvature Sensitivity Settings
ISDA_CRNQ_DELTA_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings
ISDA_CRNQ_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.0 Non-Credit Qualifying Delta Sensitivity Settings
ISDA_CRNQ_DELTA_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings
ISDA_CRNQ_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.1 Non-Credit Qualifying Delta Sensitivity Settings
ISDA_CRNQ_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.0 Non-Credit Qualifying Vega Sensitivity Settings
ISDA_CRNQ_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.1 Non-Credit Qualifying Vega Sensitivity Settings
ISDA_CRQ_20(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
Retrieve the ISDA 2.0 Credit Qualifying Bucket Curvature Settings
ISDA_CRQ_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the ISDA 2.0 Credit Qualifying Bucket Vega Settings
ISDA_CRQ_20() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
Generate the SIMM 2.0 CRQ Class Sensitivity Settings
ISDA_CRQ_21(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
Retrieve the ISDA 2.1 Credit Qualifying Bucket Curvature Settings
ISDA_CRQ_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the ISDA 2.1 Credit Qualifying Bucket Vega Settings
ISDA_CRQ_21() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
Generate the SIMM 2.1 CRQ Class Sensitivity Settings
ISDA_CRQ_CURVATURE_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.0 Credit Qualifying Curvature Sensitivity Settings
ISDA_CRQ_CURVATURE_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.1 Credit Qualifying Curvature Sensitivity Settings
ISDA_CRQ_DELTA_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
Retrieve the ISDA 2.0 Credit Qualifying Bucket Delta Settings
ISDA_CRQ_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.0 Credit Qualifying Delta Sensitivity Settings
ISDA_CRQ_DELTA_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
Retrieve the ISDA 2.1 Credit Qualifying Bucket Delta Settings
ISDA_CRQ_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.1 Credit Qualifying Delta Sensitivity Settings
ISDA_CRQ_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.0 Credit Qualifying Vega Sensitivity Settings
ISDA_CRQ_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
Generate SIMM 2.1 Credit Qualifying Vega Sensitivity Settings
ISDA_CT_20(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
Construct the Standard ISDA 2.0 CT Bucket Curvature Settings
ISDA_CT_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
Construct the ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index
ISDA_CT_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
Construct the Standard ISDA 2.0 Commodity Vega Settings for the specified Bucket
ISDA_CT_20(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
ISDA_CT_21(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
Construct the Standard ISDA 2.1 CT Bucket Curvature Settings
ISDA_CT_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
Construct the ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index
ISDA_CT_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
Construct the Standard ISDA 2.1 Commodity Vega Settings for the specified Bucket
ISDA_CT_21(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
ISDA_CT_CURVATURE_20(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
ISDA_CT_CURVATURE_21(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
ISDA_CT_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
ISDA_CT_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
ISDA_CT_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
ISDA_CT_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
ISDA_CURVATURE_20(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Generate the Standard ISDA 2.0 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
ISDA_CURVATURE_21(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Generate the Standard ISDA 2.1 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
ISDA_DELTA_20(String) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Construct the ISDA 2.0 Standard IR Delta Sensitivity Settings for the Currency
ISDA_DELTA_20(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Generate the Standard ISDA 2.0 DELTA Instance of RiskMeasureSensitivitySettingsIR
ISDA_DELTA_21(String) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Construct the ISDA 2.1 Standard IR Delta Sensitivity Settings for the Currency
ISDA_DELTA_21(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Generate the Standard ISDA 2.1 DELTA Instance of RiskMeasureSensitivitySettingsIR
ISDA_EQ_20(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
Construct the Standard ISDA 2.0 EQ Bucket Curvature Settings
ISDA_EQ_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
Construct the BucketSensitivitySettings 2.0 Instance for the specified Bucket Index
ISDA_EQ_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
Retrieve the ISDA 2.0 Equity Vega Settings
ISDA_EQ_20(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
ISDA_EQ_21(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
Construct the Standard ISDA 2.1 EQ Bucket Curvature Settings
ISDA_EQ_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
Construct the BucketSensitivitySettings 2.1 Instance for the specified Bucket Index
ISDA_EQ_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
Retrieve the ISDA 2.1 Equity Vega Settings
ISDA_EQ_21(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
ISDA_EQ_CURVATURE_20(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
ISDA_EQ_CURVATURE_21(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
ISDA_EQ_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
ISDA_EQ_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
ISDA_EQ_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
ISDA_EQ_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
ISDA_FX_20(String, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
Construct the Standard ISDA 2.0 FX Bucket Curvature Settings
ISDA_FX_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
Construct the Standard ISDA 2.0 Instance of FX Delta Settings
ISDA_FX_20(String) - Static method in class org.drip.simm.parameters.BucketVegaSettings
Construct the Standard ISDA 2.0 Bucket FX Settings
ISDA_FX_20(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Generate the ISDA 2.0 Standard FX Sensitivity Settings
ISDA_FX_21(String, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
Construct the Standard ISDA 2.1 FX Bucket Curvature Settings
ISDA_FX_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
Construct the Standard ISDA 2.1 Instance of FX Delta Settings
ISDA_FX_21(String) - Static method in class org.drip.simm.parameters.BucketVegaSettings
Construct the Standard ISDA 2.1 Bucket FX Settings
ISDA_FX_21(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Generate the ISDA 2.1 Standard FX Sensitivity Settings
ISDA_FX_CURVATURE_20(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
ISDA_FX_CURVATURE_21(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
ISDA_FX_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
ISDA_FX_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
ISDA_FX_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.0 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
ISDA_FX_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
Construct an ISDA 2.1 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
ISDA_VEGA_20(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Generate the Standard ISDA 2.0 VEGA Instance of RiskMeasureSensitivitySettingsIR
ISDA_VEGA_21(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
Generate the Standard ISDA 2.1 VEGA Instance of RiskMeasureSensitivitySettingsIR
ISDABucketCurvatureTenorScaler - Class in org.drip.function.r1tor1
ISDABucketCurvatureTenorScaler generates the ISDA SIMM Tenor Scaling Factor for a given Bucket Curvature.
ISDABucketCurvatureTenorScaler(int) - Constructor for class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
ISDABucketCurvatureTenorScaler Constructor
ISDASettingsContainer - Class in org.drip.simm.common
ISDASettingsContainer holds the ISDA SIMM 2.0 Risk Weights/Correlations for Interest Rates, Qualifying and Non-qualifying Credit, Equity, Commodity, and Foreign Exchange.
ISDASettingsContainer() - Constructor for class org.drip.simm.common.ISDASettingsContainer
 
IsDiagonallyDominant(double[][], boolean) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
Check to see if the matrix is diagonally dominant.
isDone() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Indicate if the execution initialization is done
isEligible(JulianDate, Bond, double, String) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Indicate whether the given bond is eligible to be delivered
isEligible(JulianDate, Bond, double, String) - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
Indicate whether the given bond is eligible to be delivered
isEmpty() - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
Indicates whether the ISTQ is Empty or not
IsEmpty(String) - Static method in class org.drip.quant.common.StringUtil
Indicate if the Input String is Empty
IsEOM(int) - Static method in class org.drip.analytics.date.DateUtil
Indicate if the given Date corresponds to a Month End
isEquality() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
Indicate if this is an Equality Constraint
isFixToFloatOnExercise() - Method in class org.drip.product.params.EmbeddedOptionSchedule
Return whether the component is fix to float on exercise
isFloater() - Method in class org.drip.product.credit.BondComponent
 
isFloater() - Method in class org.drip.product.definition.Bond
Return whether the bond is a floater
isFONC(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check the Candidate Point for First Order Necessary Condition
isFXMTM() - Method in class org.drip.analytics.cashflow.Bullet
Is the Cash Flow FX MTM?
isFXMTM() - Method in class org.drip.analytics.cashflow.CompositePeriod
Is this Cash Flow FX MTM?
isFXMTM() - Method in class org.drip.market.otc.CrossFloatSwapConvention
Retrieve the FX MTM Flag
IsHoliday(int, String, int) - Static method in class org.drip.analytics.daycount.Convention
Indicate whether the given Date is a Holiday in the specified Location(s)
IsHoliday(int, String) - Static method in class org.drip.analytics.daycount.Convention
Indicates whether the given Date is a Holiday in the specified Location(s)
isin() - Method in class org.drip.product.credit.BondComponent
 
isin() - Method in class org.drip.product.definition.Bond
Get the ISIN
isin() - Method in class org.drip.product.params.IdentifierSet
Retrieve the ISIN
isKnot(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
isKnot(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
isKnot(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Is the given Predictor Ordinate a Knot Location
isLagrangian() - Method in class org.drip.optimization.constrained.OptimizationFramework
Indicate if the Optimizer Framework is Lagrangian
isLCQ() - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Linearity Constraint Qualification
IsLeapYear(int) - Static method in class org.drip.analytics.date.DateUtil
Indicate if the Year of the given Julian Date is a Leap Year
isLeftWeekend(int) - Method in class org.drip.analytics.eventday.Weekend
Is the given date a left weekend day
isLICQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Linearity Independent Constraint Qualification
isLocal() - Method in class org.drip.spline.params.ResponseScalingShapeControl
Indicate if the Control is applied on a Local or a Global Predicate Ordinate Basis
isLocallyMonotone() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
isLocallyMonotone() - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
isLocallyMonotone() - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Indicate if all the comprising Segments are Monotone
isMark() - Method in class org.drip.param.quote.ProductTick
Indicate whether the quote may be treated as a mark
isMergeState(double, LatentStateLabel) - Method in class org.drip.spline.grid.AggregatedSpan
 
isMergeState(double, LatentStateLabel) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
isMergeState(double, LatentStateLabel) - Method in interface org.drip.spline.grid.Span
Indicate if the specified Label is part of the Merge State at the specified Predictor Ordinate
isMFCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Mangasarian Fromovitz Constraint Qualification
isPositive() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Sequence Positiveness Flag
isPositiveDefinite(double[]) - Method in class org.drip.learning.kernel.IntegralOperator
Indicate the Kernel Operator Integral's Positive-definiteness across the specified X Variate Instance
iSpread() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the I Spread
iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from ASW to Work-out
iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from ASW to Maturity
iSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from ASW to Optimal Exercise
iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Bond Basis to Work-out
iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Bond Basis to Maturity
iSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Bond Basis to Optimal Exercise
iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Credit Basis to Work-out
iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Credit Basis to Maturity
iSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Credit Basis to Optimal Exercise
iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Discount Margin to Work-out
iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Discount Margin to Maturity
iSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Discount Margin to Optimal Exercise
iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from E Spread to Work-out
iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from E Spread to Maturity
iSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from E Spread to Optimal Exercise
iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from G Spread to Work-out
iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from G Spread to Maturity
iSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from G Spread to Optimal Exercise
iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from J Spread to Work-out
iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from J Spread to Maturity
iSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from J Spread to Optimal Exercise
iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from N Spread to Work-out
iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from N Spread to Maturity
iSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from N Spread to Optimal Exercise
iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from OAS to Work-out
iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from OAS to Maturity
iSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from OAS to Optimal Exercise
iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from PECS to Work-out
iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from PECS to Maturity
iSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from PECS to Optimal Exercise
iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Price to Work-out
iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Price to Maturity
iSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Price to Optimal Exercise
iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from TSY Spread to Work-out
iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from TSY Spread to Maturity
iSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from TSY Spread to Optimal Exercise
iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Yield to Work-out
iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Yield to Maturity
iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Yield Spread to Work-out
iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Yield Spread to Maturity
iSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Yield Spread to Optimal Exercise
iSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Yield to Optimal Exercise
iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Z Spread to Work-out
iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Z Spread to Maturity
iSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
iSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate I Spread from Z Spread to Optimal Exercise
isPredictorBounded() - Method in interface org.drip.spaces.tensor.GeneralizedVector
Indicate if the Predictor Variate Space is bounded from the Left and the Right
isPredictorBounded() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
isPredictorBounded() - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
isPredictorBounded() - Method in class org.drip.spaces.tensor.RdAggregate
 
isProportional() - Method in class org.drip.param.definition.ManifestMeasureTweak
Is the Tweak Proportional
isPut() - Method in class org.drip.product.params.EmbeddedOptionSchedule
Whether the component is putable or callable
isQNCQ(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Quasi Normal Constraint Qualification
isRepoable() - Method in class org.drip.exposure.evolver.PrimarySecurity
Indicate if the PrimarySecurity is Repo-able
isRetired() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Retirement Indicator Flag
isRightWeekend(double) - Method in class org.drip.analytics.eventday.Weekend
Is the given date a right weekend day
isSCCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check for Slater Condition Constraint Qualification
isSell() - Method in class org.drip.execution.discrete.Slice
Indicate if the Slice is a Sell
isSOSC(FritzJohnMultipliers, double[], boolean) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check the Candidate Point for Second Order Sufficiency Condition
issueAmount() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Bond Issue Amount
issuePrice() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Bond Issue Price
issuer() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
Retrieve the Array of Eligible Issuers
issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuer
Retrieve the Issuer Selection Array
issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuer
Retrieve the Issuer Selection Array
issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuer
Retrieve the Issuer Selection Array
issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuer
Retrieve the Issuer Selection Array
issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuer
Retrieve the Issuer Selection Array
issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
Retrieve the Issuer Selection Array
isToleranceAbsolute() - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
Indicate if the specified Tolerance is Absolute
isUncollateralized() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Flag specifying whether the Collateral Group is Uncollateralized
isUnconstrained() - Method in class org.drip.optimization.constrained.OptimizationFramework
Indicate if the Optimizer Framework is Unconstrained
isUpper() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
isUpper() - Method in interface org.drip.function.rdtor1.BoundMultivariate
Retrieve the Bound Type Indicator Flag
IsValid(long) - Static method in class org.drip.quant.common.NumberUtil
Check if the Input Long is MIN_VALUE or MAX_VALUE
IsValid(long[]) - Static method in class org.drip.quant.common.NumberUtil
Check if the Input Long Array contains a MIN_VALUE or MAX_VALUE
IsValid(double) - Static method in class org.drip.quant.common.NumberUtil
Checks if the input double is Infinite or NaN
IsValid(double[]) - Static method in class org.drip.quant.common.NumberUtil
Checks if the input double array contains an Infinite or an NaN
isVariateConvergenceCheckEnabled() - Method in class org.drip.function.r1tor1solver.ExecutionControl
Indicate if the variate convergence check has been turned on
isVariateConvergenceCheckEnabled() - Method in class org.drip.function.r1tor1solver.ExecutionControlParams
Indicate if the variate convergence check has been turned on
isWeekend(int) - Method in class org.drip.analytics.eventday.Weekend
Is the given date a weekend day
ItemList - Class in org.drip.json.simple
ItemList is an Adaptation of the ItemList Interface from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
ItemList() - Constructor for class org.drip.json.simple.ItemList
 
ItemList(String) - Constructor for class org.drip.json.simple.ItemList
 
ItemList(String, String) - Constructor for class org.drip.json.simple.ItemList
 
ItemList(String, String, boolean) - Constructor for class org.drip.json.simple.ItemList
 
iterateCompoundVariate(double, double, double, double, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
 
iterateCompoundVariate(double, double, double, double, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBrent
 
iterateCompoundVariate(double, double, double, double, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderZheng
 
IteratedBracket - Class in org.drip.function.r1tor1solver
IteratedBracket holds the left/right bracket variates and the corresponding values for the objective function during each iteration.
IteratedBracket(BracketingOutput) - Constructor for class org.drip.function.r1tor1solver.IteratedBracket
BracketingVariateIterator constructor
IteratedVariate - Class in org.drip.function.r1tor1solver
IteratedVariate holds the variate and the corresponding value for the objective function during each iteration.
IteratedVariate(ExecutionInitializationOutput, double) - Constructor for class org.drip.function.r1tor1solver.IteratedVariate
IteratedVariate constructor
iterateVariate(IteratedVariate, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinder
 
iterateVariate(IteratedVariate, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
 
iterateVariate(IteratedVariate, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderNewton
 
IterationHelper - Class in org.drip.spaces.iterator
IterationHelper contains the Functionality that helps perform Checked Multidimensional Iterative Scans.
IterationHelper() - Constructor for class org.drip.spaces.iterator.IterationHelper
 
iterator() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
Retrieve the Multidimensional Iterator associated with the Underlying Vector Space
ITLHoliday - Class in org.drip.analytics.holset
 
ITLHoliday() - Constructor for class org.drip.analytics.holset.ITLHoliday
 
iWander() - Method in class org.drip.execution.athl.TransactionSignal
Retrieve the "I" Component Wander of the Transaction Signal

J

j() - Method in class org.drip.execution.athl.IJK
The Almgren-Thum-Hauptmann-Li "J" Transaction Signal
Jabalpur - Class in org.drip.sample.bondeos
Jabalpur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jabalpur.
Jabalpur() - Constructor for class org.drip.sample.bondeos.Jabalpur
 
jackDCoeffDEdgeInputs() - Method in class org.drip.spline.segment.LatentStateResponseModel
Calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Inputs
jackDCoeffDEdgeParams(double[], double[], double[], double[], SegmentBasisFlexureConstraint[], SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calibrate the segment and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
jackDCoeffDEdgeParams(double, double, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calibrate the Coefficients from the Edge Response Values and the Left Edge Response Value Slope and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
jackDCoeffDEdgeParams(LatentStateResponseModel, String, double, SegmentBestFitResponse, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calibrate the coefficients from the prior Segment and the Response Value at the Right Predictor Ordinate and calculate the Jacobian of the Segment's Response Basis Function Coefficients to the Edge Parameters
jackDDFDManifestMeasure(int, String) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
jackDDFDManifestMeasure(int, String) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
jackDDFDManifestMeasure(int, String) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
jackDDFDManifestMeasure(int, String) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
jackDDFDManifestMeasure(int, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
jackDDFDManifestMeasure(JulianDate, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Manifest Measure Jacobian of the Discount Factor to the given date
jackDDFDManifestMeasure(String, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Manifest Measure Jacobian of the Discount Factor to the date implied by the given Tenor
jackDDFDManifestMeasure(int, String) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CalibratableComponent
Compute the Jacobian of the Dirty PV to the Calibrated Input Manifest Measures
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.OptionComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
 
jackDDirtyPVDManifestMeasure(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream
Generate the Jacobian of the Dirty PV to the Manifest Measure
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.basis.BasisCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, JulianDate) - Method in class org.drip.state.basis.BasisCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, String) - Method in class org.drip.state.basis.BasisCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.curve.BasisSplineBasisCurve
 
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.curve.BasisSplineForwardRate
 
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.curve.BasisSplineFXForward
 
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.curve.BasisSplineGovvieYield
 
jackDForwardDManifestMeasure(int, int, String, double) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
jackDForwardDManifestMeasure(JulianDate, JulianDate, String, double) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Jacobian of the Forward Rate to the Manifest Measure between the given dates
jackDForwardDManifestMeasure(JulianDate, String, String, double) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Jacobian of the Forward Rate to the Manifest Measure at the given date
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.forward.ForwardCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, JulianDate) - Method in class org.drip.state.forward.ForwardCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, String) - Method in class org.drip.state.forward.ForwardCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.fx.FXCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, JulianDate) - Method in class org.drip.state.fx.FXCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, String) - Method in class org.drip.state.fx.FXCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.govvie.GovvieCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the given date
jackDForwardDManifestMeasure(String, String) - Method in class org.drip.state.govvie.GovvieCurve
Retrieve the Manifest Measure Jacobian of the Forward Rate to the date implied by the given Tenor
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.nonlinear.FlatForwardForwardCurve
 
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
 
jackDForwardDManifestMeasure(String, int) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
 
jackDResponseDBasisCoeff(double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calculate the Jacobian of the Response to the Basis Coefficients at the given Predictor Ordinate
jackDResponseDCalibrationInput(double, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
jackDResponseDCalibrationInput(double, int) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
jackDResponseDCalibrationInput(double, int) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Calculate the Response Derivative to the Calibration Inputs at the specified Ordinate
jackDResponseDEdgeInput(double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calculate the Jacobian of the Response to the Edge Inputs at the given Predictor Ordinate
jackDResponseDManifestMeasure(String, double, int) - Method in class org.drip.spline.grid.AggregatedSpan
 
jackDResponseDManifestMeasure(String, double, int) - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
jackDResponseDManifestMeasure(String, double, int) - Method in interface org.drip.spline.grid.Span
Calculate the Response Derivative to the Manifest Measure at the specified Ordinate
jackDResponseDManifestMeasure(String, double, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
jackDResponseDManifestMeasure(String, double, int) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
jackDResponseDManifestMeasure(String, double, int) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Calculate the Response Derivative to the Manifest Measure at the specified Ordinate
jacobian() - Method in class org.drip.execution.hjb.NonDimensionalCostSystemic
Retrieve the Realized Non Dimensional Cost Value Function Jacobian to the Systemic Market State
jacobian() - Method in class org.drip.execution.sensitivity.ControlNodesGreek
Retrieve the Objective Function Penalty Jacobian
jacobian(double[]) - Method in class org.drip.function.definition.RdToR1
Evaluate the Jacobian for the given Input Variates
jacobian(double[]) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
jacobian(double[]) - Method in class org.drip.function.rdtor1.AffineMultivariate
 
jacobian(double[]) - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
 
jacobian(double[]) - Method in class org.drip.function.rdtor1.LagrangianMultivariate
 
jacobian(double[]) - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
 
jacobian() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
Retrieve the Constraint Jacobian Matrix
jacobian() - Method in class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
Retrieve the Jacobian Array
Jaipur - Class in org.drip.sample.bondmetrics
Jaipur generates the Full Suite of Replication Metrics for Bond Jaipur.
Jaipur() - Constructor for class org.drip.sample.bondmetrics.Jaipur
 
Jalgaon - Class in org.drip.sample.bondmetrics
Jalgaon generates the Full Suite of Replication Metrics for Bond Jalgaon.
Jalgaon() - Constructor for class org.drip.sample.bondmetrics.Jalgaon
 
Jammu - Class in org.drip.sample.bondmetrics
Jammu demonstrates the Analytics Calculation/Reconciliation for the Bond Jammu.
Jammu() - Constructor for class org.drip.sample.bondmetrics.Jammu
 
Jamnagar - Class in org.drip.sample.bondmetrics
Jamnagar demonstrates the Analytics Calculation/Reconciliation for the Bond Jamnagar.
Jamnagar() - Constructor for class org.drip.sample.bondmetrics.Jamnagar
 
Jamshedpur - Class in org.drip.sample.bondeos
Jamshedpur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jamshedpur.
Jamshedpur() - Constructor for class org.drip.sample.bondeos.Jamshedpur
 
JANUARY - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - January
JavaDateFromJulianDate(JulianDate) - Static method in class org.drip.analytics.date.DateUtil
Retrieve a Java Date Instance from the Julian Date Instance
javaVersion() - Method in class org.drip.service.env.BuildRecord
Retrieve the Java Build Version
JB1 - Class in org.drip.sample.treasuryfuturesapi
JB1 demonstrates the Invocation and Examination of the JB1 10Y JGB Treasury Futures.
JB1() - Constructor for class org.drip.sample.treasuryfuturesapi.JB1
 
JB1Attribution - Class in org.drip.sample.treasuryfuturespnl
JB1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the JB1 Series.
JB1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.JB1Attribution
 
JB1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
JB1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated JB1 Closes Feed.
JB1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.JB1ClosesReconstitutor
 
JB1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
JB1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the JB1 Treasury Futures.
JB1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.JB1KeyRateDuration
 
JGB(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Japanese Treasury JPY JGB Bond
JGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
JGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the JGB Benchmark Bond Series.
JGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.JGBBenchmarkAttribution
 
JGBReconstitutor - Class in org.drip.sample.treasuryfeed
JGBReconstitutor demonstrates the Cleansing and Re-constitution of the JGB Yield Marks obtained from Historical Yield Curve Prints.
JGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.JGBReconstitutor
 
JGREG - Static variable in class org.drip.analytics.date.DateUtil
JGREG Constant for Julian Date Construction
Jhansi - Class in org.drip.sample.bondmetrics
Jhansi demonstrates the Analytics Calculation/Reconciliation for the Bond Jhansi.
Jhansi() - Constructor for class org.drip.sample.bondmetrics.Jhansi
 
Jiamusi - Class in org.drip.sample.bondeos
Jiamusi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jiamusi.
Jiamusi() - Constructor for class org.drip.sample.bondeos.Jiamusi
 
Jiangmen - Class in org.drip.sample.bondeos
Jiangmen demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jiangmen.
Jiangmen() - Constructor for class org.drip.sample.bondeos.Jiangmen
 
Jiangyin - Class in org.drip.sample.bondeos
Jiangyin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jiangyin.
Jiangyin() - Constructor for class org.drip.sample.bondeos.Jiangyin
 
Jiaozuo - Class in org.drip.sample.bondeos
Jiaozuo demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jiaozuo.
Jiaozuo() - Constructor for class org.drip.sample.bondeos.Jiaozuo
 
Jiaxing - Class in org.drip.sample.bondeos
Jiaxing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jiaxing.
Jiaxing() - Constructor for class org.drip.sample.bondeos.Jiaxing
 
Jilin - Class in org.drip.sample.bondeos
Jilin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jilin.
Jilin() - Constructor for class org.drip.sample.bondeos.Jilin
 
Jinan - Class in org.drip.sample.bondeos
Jinan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jinan.
Jinan() - Constructor for class org.drip.sample.bondeos.Jinan
 
Jingjiang - Class in org.drip.sample.bondeos
Jingjiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jingjiang.
Jingjiang() - Constructor for class org.drip.sample.bondeos.Jingjiang
 
Jingzhou - Class in org.drip.sample.bondeos
Jingzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jingzhou.
Jingzhou() - Constructor for class org.drip.sample.bondeos.Jingzhou
 
Jinhua - Class in org.drip.sample.bondeos
Jinhua demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jinhua.
Jinhua() - Constructor for class org.drip.sample.bondeos.Jinhua
 
Jining - Class in org.drip.sample.bondeos
Jining demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jining.
Jining() - Constructor for class org.drip.sample.bondeos.Jining
 
Jinzhou - Class in org.drip.sample.bondeos
Jinzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jinzhou.
Jinzhou() - Constructor for class org.drip.sample.bondeos.Jinzhou
 
Jiujiang - Class in org.drip.sample.bondeos
Jiujiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Jiujiang.
Jiujiang() - Constructor for class org.drip.sample.bondeos.Jiujiang
 
JMDHoliday - Class in org.drip.analytics.holset
 
JMDHoliday() - Constructor for class org.drip.analytics.holset.JMDHoliday
 
joint() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
Retrieve the Joint Distribution
JointPosteriorMetrics - Class in org.drip.measure.bayesian
JointPosteriorMetrics holds the Inputs and the Results of a Bayesian Computation Execution.
JointPosteriorMetrics(R1Multivariate, R1Multivariate, R1Multivariate, R1Multivariate, R1Multivariate) - Constructor for class org.drip.measure.bayesian.JointPosteriorMetrics
JointPosteriorMetrics Constructor
jointPriceDistribution() - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
Generate the Joint Price Distribution
JointR1CombinationEngine - Interface in org.drip.measure.bayesian
JointR1CombinationEngine implements the Engine that generates the Combined/Posterior Distributions from the Prior and the Conditional Joint Multivariate R^1 Distributions.
JointR1NormalCombinationEngine - Class in org.drip.measure.bayesian
JointR1NormalCombinationEngine implements the Engine that generates the Combined/Posterior Distribution from the Prior and the Conditional Joint R^1 Multivariate Normal Distributions.
JointR1NormalCombinationEngine() - Constructor for class org.drip.measure.bayesian.JointR1NormalCombinationEngine
Empty JointR1NormalConvolutionEngine Construction
JPY3M6MUSD3M6M - Class in org.drip.sample.dual
JPY3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from JPY3M6MUSD3M6M CCBS, JPY 3M, JPY 6M, and USD 6M Quotes.
JPY3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.JPY3M6MUSD3M6M
 
JPYHoliday - Class in org.drip.analytics.holset
 
JPYHoliday() - Constructor for class org.drip.analytics.holset.JPYHoliday
 
JPYIRSAttribution - Class in org.drip.sample.fixfloatpnl
JPYIRSAttribution generates the Historical PnL Attribution for JPY IRS.
JPYIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.JPYIRSAttribution
 
JPYLIBOR - Class in org.drip.template.irs
JPYLIBOR contains a Templated Pricing of the OTC Fix-LIBOR Float JPY IRS Instrument.
JPYLIBOR() - Constructor for class org.drip.template.irs.JPYLIBOR
 
JPYLIBOR3M - Class in org.drip.template.forwardratefutures
JPYLIBOR3M contains a Templated Pricing of the LIBOR 3M JPY Futures Instrument.
JPYLIBOR3M() - Constructor for class org.drip.template.forwardratefutures.JPYLIBOR3M
 
JPYOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
JPYOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the JPY Input OIS Marks.
JPYOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.JPYOISSmoothReconstitutor
 
JPYShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
JPYShapePreserving1YForward Generates the Historical JPY Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
JPYShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.JPYShapePreserving1YForward
 
JPYShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
JPYShapePreserving1YStart Generates the Historical JPY Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
JPYShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.JPYShapePreserving1YStart
 
JPYShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
JPYShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the JPY Input Marks.
JPYShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.JPYShapePreservingReconstitutor
 
JPYSmooth1MForward - Class in org.drip.sample.overnighthistorical
JPYSmooth1MForward Generates the Historical JPY Smoothened Overnight Curve Native 1M Compounded Forward Rate.
JPYSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.JPYSmooth1MForward
 
JPYSmooth1YForward - Class in org.drip.sample.fundinghistorical
JPYSmooth1YForward Generates the Historical JPY Smoothened Funding Curve Native 1Y Compounded Forward Rate.
JPYSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.JPYSmooth1YForward
 
JPYSmoothReconstitutor - Class in org.drip.sample.fundingfeed
JPYSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the JPY Input Marks.
JPYSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.JPYSmoothReconstitutor
 
JPYTIBOR - Class in org.drip.template.irs
JPY TIBOR contains a Templated Pricing of the OTC Fix-TIBOR Float JPY IRS Instrument.
JPYTIBOR() - Constructor for class org.drip.template.irs.JPYTIBOR
 
JSONArray - Class in org.drip.json.simple
JSONArray is an Adaptation of the JSONArray class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
JSONArray() - Constructor for class org.drip.json.simple.JSONArray
 
JSONAware - Interface in org.drip.json.simple
JSONAware is an Adaptation of the JSONAware class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
JSONObject - Class in org.drip.json.simple
JSONObject is an Adaptation of the JSONObject Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
JSONObject() - Constructor for class org.drip.json.simple.JSONObject
 
JSONObject(Map) - Constructor for class org.drip.json.simple.JSONObject
Allows creation of a JSONObject from a Map.
JSONParser - Class in org.drip.json.parser
JSONParser is an Adaptation of the JSONParser Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
JSONParser() - Constructor for class org.drip.json.parser.JSONParser
 
JSONStreamAware - Interface in org.drip.json.simple
JSONStreamAware is an Adaptation of the JSONStreamAware class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
JSONValue - Class in org.drip.json.simple
JSONValue is an Adaptation of the JSONValue Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
JSONValue() - Constructor for class org.drip.json.simple.JSONValue
 
jSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from ASW to Work-out
jSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from ASW to Maturity
jSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from ASW to Optimal Exercise
jSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Bond Basis to Work-out
jSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Bond Basis to Maturity
jSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Bond Basis to Optimal Exercise
jSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Credit Basis to Work-out
jSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Credit Basis to Maturity
jSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Credit Basis to Optimal Exercise
jSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Discount Margin to Work-out
jSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Discount Margin to Maturity
jSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Discount Margin to Optimal Exercise
jSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from E Spread to Work-out
jSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from E Spread to Maturity
jSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from E Spread to Optimal Exercise
jSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from G Spread to Work-out
jSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from G Spread to Maturity
jSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from G Spread to Optimal Exercise
jSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from I Spread to Work-out
jSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from I Spread to Maturity
jSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from I Spread to Optimal Exercise
jSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from N Spread to Work-out
jSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from N Spread to Maturity
jSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from N Spread to Optimal Exercise
jSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from OAS to Work-out
jSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from OAS to Maturity
jSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from OAS to Optimal Exercise
jSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from PECS to Work-out
jSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from PECS to Maturity
jSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from PECS to Optimal Exercise
jSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Price to Work-out
jSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Price to Maturity
jSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Price to Optimal Exercise
jSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from TSY Spread to Work-out
jSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from TSY Spread to Maturity
jSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from TSY Spread to Optimal Exercise
jSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Yield to Work-out
jSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Yield to Maturity
jSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Yield Spread to Work-out
jSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Yield Spread to Maturity
jSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Yield Spread to Optimal Exercise
jSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Yield to Optimal Exercise
jSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Z Spread to Work-out
jSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Z Spread to Maturity
jSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
jSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate J Spread from Z Spread to Optimal Exercise
julian() - Method in class org.drip.analytics.date.JulianDate
Return the Integer Julian Date
JulianDate - Class in org.drip.analytics.date
Class provides a comprehensive representation of Julian date and date manipulation functionality.
JulianDate(int) - Constructor for class org.drip.analytics.date.JulianDate
Create JulianDate from an Integer Julian Date Instance
Jullundar - Class in org.drip.sample.bondmetrics
Jullundar generates the Full Suite of Replication Metrics for Bond Jullundar.
Jullundar() - Constructor for class org.drip.sample.bondmetrics.Jullundar
 
JULY - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - July
Jump(double[], double[]) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Generate an Array of R^1 Jump Realizations
jump() - Method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Retrieve the Jump Unit Random Variable
JumpDiffusion(double[], double[], double[]) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Generate an Array of R^1 Jump Diffusion Realizations
JumpDiffusionEdge - Class in org.drip.measure.realization
JumpDiffusionEdge implements the Deterministic and the Stochastic Components of a R^1 Marginal Random Increment Edge as well the Original Marginal Random Variate.
JumpDiffusionEdge(double, double, StochasticEdgeDiffusion, StochasticEdgeJump, JumpDiffusionEdgeUnit) - Constructor for class org.drip.measure.realization.JumpDiffusionEdge
JumpDiffusionEdge Constructor
JumpDiffusionEdgeUnit - Class in org.drip.measure.realization
JumpDiffusionEdgeUnit holds the Jump Diffusion R^1 Unit Edge Realizations.
JumpDiffusionEdgeUnit(double, double, double) - Constructor for class org.drip.measure.realization.JumpDiffusionEdgeUnit
JumpDiffusionEdgeUnit Constructor
JumpDiffusionEvolver - Class in org.drip.measure.process
JumpDiffusionEvolver implements the Functionality that guides the Single Factor R^1 Jump Diffusion Random Process Variable Evolution.
JumpDiffusionEvolver(DiffusionEvaluator, HazardJumpEvaluator) - Constructor for class org.drip.measure.process.JumpDiffusionEvolver
JumpDiffusionEvolver Constructor
JumpDiffusionVertex - Class in org.drip.measure.realization
JumpDiffusionVertex holds the Snapshot Values of the Realized R^1 Variable - its Value, whether it has terminated, and the Cumulative Hazard Integral - and Time.
JumpDiffusionVertex(double, double, double, boolean) - Constructor for class org.drip.measure.realization.JumpDiffusionVertex
JumpDiffusionVertex Constructor
jumpIncrement(JumpDiffusionVertex, double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Jump Driver
jumpOccurred() - Method in class org.drip.measure.realization.JumpDiffusionVertex
Retrieve the Jump Occurred Flag
jumpOccurred() - Method in class org.drip.measure.realization.StochasticEdgeJump
Retrieve the "Jump Occurred in this Level Period" Flag
jumpStochastic() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Jump Stochastic Component
jumpWander() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Jump Wander Realization
jumpWeinerIncrement(JumpDiffusionVertex, double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Jump/Weiner Drivers
Junagadh - Class in org.drip.sample.loan
Junagadh demonstrates the Analytics Calculation/Reconciliation for the Loan Junagadh.
Junagadh() - Constructor for class org.drip.sample.loan.Junagadh
 
JUNE - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - June
JurisdictionIBORIndexDefinition - Class in org.drip.sample.forward
JurisdictionIBORIndexDefinition demonstrates the functionality to retrieve the IBOR settings for the various Jurisdictions.
JurisdictionIBORIndexDefinition() - Constructor for class org.drip.sample.forward.JurisdictionIBORIndexDefinition
 
JurisdictionIRSFuturesDefinition - Class in org.drip.sample.forwardratefutures
JurisdictionIRSFuturesDefinition demonstrates the functionality to retrieve the IRS Futures Definitions for the various Jurisdictions.
JurisdictionIRSFuturesDefinition() - Constructor for class org.drip.sample.forwardratefutures.JurisdictionIRSFuturesDefinition
 
JurisdictionIRSFuturesValuation - Class in org.drip.sample.forwardratefutures
JurisdictionIRSFuturesValuation contains the demonstration of the construction and the Valuation of the Exchange-Traded IRS Futures Contract.
JurisdictionIRSFuturesValuation() - Constructor for class org.drip.sample.forwardratefutures.JurisdictionIRSFuturesValuation
 
JurisdictionOTCIndexDefinitions - Class in org.drip.sample.fixfloat
JurisdictionOTCIndexDefinitions contains all the pre-fixed definitions of the Jurisdiction-specific OTC Fix-Float IRS contracts.
JurisdictionOTCIndexDefinitions() - Constructor for class org.drip.sample.fixfloat.JurisdictionOTCIndexDefinitions
 
JurisdictionOTCIndexDefinitions - Class in org.drip.sample.floatfloat
JurisdictionOTCIndexDefinitions contains all the pre-fixed Definitions of the Jurisdiction OTC Float-Float Swap Contracts.
JurisdictionOTCIndexDefinitions() - Constructor for class org.drip.sample.floatfloat.JurisdictionOTCIndexDefinitions
 
JurisdictionOTCIndexSwaps - Class in org.drip.sample.fixfloat
JurisdictionOTCIndexSwaps contains curve construction and valuation of the common Jurisdiction-specific OTC IRS.
JurisdictionOTCIndexSwaps() - Constructor for class org.drip.sample.fixfloat.JurisdictionOTCIndexSwaps
 
JurisdictionOTCIndexSwaps - Class in org.drip.sample.floatfloat
JurisdictionOTCIndexSwaps demonstrates the Construction and Usage of the Jurisdiction Standard OTC Float-Float Swaps.
JurisdictionOTCIndexSwaps() - Constructor for class org.drip.sample.floatfloat.JurisdictionOTCIndexSwaps
 
JurisdictionOTCInstrumentDefinitions - Class in org.drip.sample.ois
JurisdictionOTCInstrumentDefinitions contains all the pre-fixed definitions of the Jurisdiction OTC OIS Instrument Contracts.
JurisdictionOTCInstrumentDefinitions() - Constructor for class org.drip.sample.ois.JurisdictionOTCInstrumentDefinitions
 
JurisdictionOTCInstrumentMeasures - Class in org.drip.sample.ois
JurisdictionOTCInstrumentMeasures contains the Curve Construction and Valuation Functionality of the OTC OIS Instruments across Multiple Jurisdictions.
JurisdictionOTCInstrumentMeasures() - Constructor for class org.drip.sample.ois.JurisdictionOTCInstrumentMeasures
 
JurisdictionVenueOptionDetails - Class in org.drip.sample.forwardratefutures
JurisdictionVenueOptionDetails demonstrates the Functionality to retrieve the Futures Options Definitions for the various Jurisdictions and Venues.
JurisdictionVenueOptionDetails() - Constructor for class org.drip.sample.forwardratefutures.JurisdictionVenueOptionDetails
 
JurisdictionVenueOptionValuation - Class in org.drip.sample.forwardratefutures
JurisdictionVenueOptionValuation contains the Demonstration of the Construction and the Valuation of the Options on Standardized LIBOR Futures Contract across Jurisdictions and Venues.
JurisdictionVenueOptionValuation() - Constructor for class org.drip.sample.forwardratefutures.JurisdictionVenueOptionValuation
 
jWander() - Method in class org.drip.execution.athl.TransactionSignal
Retrieve the "J" Component Wander of the Transaction Signal

K

k() - Method in class org.drip.execution.athl.IJK
The Almgren-Thum-Hauptmann-Li "K" Transaction Signal
Kadapa - Class in org.drip.sample.loan
Kadapa demonstrates the Analytics Calculation/Reconciliation for the Loan Kadapa.
Kadapa() - Constructor for class org.drip.sample.loan.Kadapa
 
Kakinada - Class in org.drip.sample.loan
Kakinada demonstrates the Analytics Calculation/Reconciliation for the Loan Kakinada.
Kakinada() - Constructor for class org.drip.sample.loan.Kakinada
 
KaklisPandelisBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[]) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
Create an Instance of the Kaklis-Pandelis Splined Basis Curve
KaklisPandelisBasisSet(KaklisPandelisSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
Construct KaklisPandelis from the polynomial tension basis function set y = A * (1-x) + B * x + C * x * (1-x)^m + D * x^m * (1-x)
KaklisPandelisCurve(String, JulianDate, CurrencyPair, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Create an Instance of the Kaklis-Pandelis Splined FX Forward Curve
KaklisPandelisCurve(String, JulianDate, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Create an Instance of the Kaklis-Pandelis Splined Govvie Yield Curve
KaklisPandelisDiscountCurve(String, JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the Kaklis-Pandelis Splined DF Discount Curve
KaklisPandelisRepoCurve(String, JulianDate, Component, int[], double[]) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Create an Instance of the Kaklis-Pandelis Splined Repo Curve
KaklisPandelisSetParams - Class in org.drip.spline.basis
KaklisPandelisSetParams implements per-segment parameters for the Kaklis Pandelis basis set - currently it only holds the polynomial tension degree.
KaklisPandelisSetParams(int) - Constructor for class org.drip.spline.basis.KaklisPandelisSetParams
KaklisPandelisSetParams constructor
KaklisPandelisTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Deterministic Volatility Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
KaklisPandelisTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
Construct a Term Structure Instance based off of a Kaklis-Pandelis Polynomial Tension Spline
KaklisPandelisWireSurface(String, JulianDate, String, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Construct a Scenario Market Surface off of Kaklis-Pandelis Wire Spline and Kaklis-Pandelis Surface Spline.
KalyanDombivli - Class in org.drip.sample.bondeos
KalyanDombivli demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation KalyanDombivli.
KalyanDombivli() - Constructor for class org.drip.sample.bondeos.KalyanDombivli
 
Kamarhati - Class in org.drip.sample.securitysuite
Kamarhati demonstrates the Analytics Calculation/Reconciliation for the Bond Kamarhati.
Kamarhati() - Constructor for class org.drip.sample.securitysuite.Kamarhati
 
Kanpur - Class in org.drip.sample.bondeos
Kanpur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Kanpur.
Kanpur() - Constructor for class org.drip.sample.bondeos.Kanpur
 
kappa() - Method in class org.drip.execution.optimum.AlmgrenChrissDiscrete
Retrieve the Kappa
kappa() - Method in class org.drip.param.pricer.HestonOptionPricerParams
Retrieve Kappa
kappaTilda() - Method in class org.drip.execution.optimum.AlmgrenChrissDiscrete
Retrieve the Kappa Tilda
Karamay - Class in org.drip.sample.bondeos
Karamay demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Karamay.
Karamay() - Constructor for class org.drip.sample.bondeos.Karamay
 
karpHagerupRubBounds(double) - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
Compute the Karp/Hagerup/Rub Pivot Departure Bounds outlined below: - Karp, R.
KarushKuhnTucker(double[], double[]) - Static method in class org.drip.optimization.constrained.FritzJohnMultipliers
Construct a Standard KarushKuhnTucker (KKT) Instance of the Fritz John Multipliers
Kashgar - Class in org.drip.sample.bondeos
Kashgar demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation Kashgar.
Kashgar() - Constructor for class org.drip.sample.bondeos.Kashgar
 
Keifeng - Class in org.drip.sample.bondeos
Keifeng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Keifeng.
Keifeng() - Constructor for class org.drip.sample.bondeos.Keifeng
 
kernel() - Method in class org.drip.learning.kernel.IntegralOperator
Retrieve the Symmetric R^d To R^1 Kernel
kernel() - Method in class org.drip.learning.svm.KernelRdDecisionFunction
Retrieve the Decision Kernel
KernelDensityEstimationL1 - Class in org.drip.sequence.custom
KernelDensityEstimationL1 implements the L1 Error Scheme Estimation for a Multivariate Kernel Density Estimator with Focus on establishing targeted Variate-Specific and Agnostic Bounds.
KernelDensityEstimationL1(R1ToR1, double, int, R1ToR1) - Constructor for class org.drip.sequence.custom.KernelDensityEstimationL1
KernelDensityEstimationL1 Constructor
KernelDensityL1Bound - Class in org.drip.sample.efronstein
KernelDensityL1Bound demonstrates the Computation of the Probabilistic Bounds for the L1 Errors of Kernel Density Estimation using Variants of the Efron-Stein Methodology.
KernelDensityL1Bound() - Constructor for class org.drip.sample.efronstein.KernelDensityL1Bound
 
kernelFunction() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
Retrieve the Kernel Function
kernelOperatorFunction() - Method in class org.drip.learning.kernel.IntegralOperator
Retrieve the R^d To R^1 Kernel Operator Function
kernelPredictorPivot() - Method in class org.drip.learning.svm.KernelRdDecisionFunction
Retrieve the Decision Kernel Predictor Pivot Nodes
KernelRdDecisionFunction - Class in org.drip.learning.svm
KernelRdDecisionFunction implements the Kernel-based R^d Decision Function-Based SVM Functionality for Classification and Regression.
KernelRdDecisionFunction(RdNormed, double[], double, SymmetricRdToNormedRdKernel, double[][]) - Constructor for class org.drip.learning.svm.KernelRdDecisionFunction
KernelRdDecisionFunction Constructor
KeyHoleSkeleton - Class in org.drip.service.json
KeyHoleSkeleton forwards the JSON Request to the Appropriate Processor and retrieves the Response JSON.
KeyHoleSkeleton() - Constructor for class org.drip.service.json.KeyHoleSkeleton
 
KeyRateDuration - Class in org.drip.sample.treasuryfuturesapi
KeyRateDuration demonstrates the Invocation and Examination of the Key Rate Duration Computation for the specified Treasury Futures.
KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesapi.KeyRateDuration
 
KeyRateDuration(String, int, int, double, int, String, String, int, String, int[], int[], double[], double[], String, double) - Static method in class org.drip.service.product.FixedBondAPI
Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
KeyRateDuration(String, int[], int[], double[], double[], int, int[], int[], double[], double[], String, double[]) - Static method in class org.drip.service.product.TreasuryFuturesAPI
Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
KeyValueListFromStringArray(List<Double>, List<Double>, String, String, String) - Static method in class org.drip.quant.common.StringUtil
Split the string array into pairs of key-value doubles and returns them
Khammam - Class in org.drip.sample.bondswap
Khammam demonstrates the Analytics Calculation/Reconciliation for the OTC Fix-Float Index Based Bond Khammam.
Khammam() - Constructor for class org.drip.sample.bondswap.Khammam
 
KKTNecessarySufficientConditions - Class in org.drip.sample.optimizer
KKTNecessarySufficientConditions carries out the Zero and the First Order Necessary and the Second Order Sufficiency Checks for a Constrained KKT Optimization Problem.
KKTNecessarySufficientConditions() - Constructor for class org.drip.sample.optimizer.KKTNecessarySufficientConditions
 
KKTRegularityConditions - Class in org.drip.sample.optimizer
KKTRegularityConditions carries out the Regularity Checks satisfied by the Optimizing Variate for a Constrained KKT Optimization Problem.
KKTRegularityConditions() - Constructor for class org.drip.sample.optimizer.KKTRegularityConditions
 
KLKExponentialDiscountCurve(String, JulianDate, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the KLK Exponential Splined DF Discount Curve
KLKHyperbolicBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
Create an Instance of the KLK Hyperbolic Splined Basis Curve
KLKHyperbolicCurve(String, JulianDate, CurrencyPair, String[], double[], double, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Create an Instance of the KLK Hyperbolic Splined FX Forward Curve
KLKHyperbolicCurve(String, JulianDate, String, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Create an Instance of the KLK Hyperbolic Splined Govvie Yield Curve
KLKHyperbolicDiscountCurve(String, JulianDate, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the KLK Hyperbolic Splined DF Discount Curve
KLKHyperbolicRepoCurve(String, JulianDate, Component, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Create an Instance of the KLK Hyperbolic Splined Repo Curve
KLKHyperbolicTensionPhy - Class in org.drip.spline.tension
KLKHyperbolicTensionPhy implements the basic framework and the family of C2 Tension Splines outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
KLKHyperbolicTensionPhy(double) - Constructor for class org.drip.spline.tension.KLKHyperbolicTensionPhy
KLKHyperbolicTensionPhy constructor
KLKHyperbolicTensionPsy - Class in org.drip.spline.tension
KLKHyperbolicTensionPsy implements the basic framework and the family of C2 Tension Splines outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
KLKHyperbolicTensionPsy(double) - Constructor for class org.drip.spline.tension.KLKHyperbolicTensionPsy
KLKHyperbolicTensionPsy constructor
KLKHyperbolicTermStructure(String, JulianDate, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Deterministic Volatility Term Structure Instance based off of a KLK Hyperbolic Tension Spline
KLKHyperbolicTermStructure(String, JulianDate, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
Construct a Term Structure Instance based off of a KLK Hyperbolic Tension Spline
KLKHyperbolicWireSurface(String, JulianDate, String, double[], String[], double[][], double) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Construct a Scenario Market Surface off of KLK Hyperbolic Wire Spline and KLK Hyperbolic Surface Spline.
KLKRationalLinearBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
Create an Instance of the KLK Rational Linear Splined Basis Curve
KLKRationalLinearCurve(String, JulianDate, CurrencyPair, String[], double[], double, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Create an Instance of the KLK Rational Linear Splined FX Forward Curve
KLKRationalLinearCurve(String, JulianDate, String, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Create an Instance of the KLK Rational Linear Splined Govvie Yield Curve
KLKRationalLinearDiscountCurve(String, JulianDate, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the KLK Linear Rational Splined DF Discount Curve
KLKRationalLinearRepoCurve(String, JulianDate, Component, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Create an Instance of the KLK Rational Linear Splined Repo Curve
KLKRationalLinearTermStructure(String, JulianDate, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Linear Tension Spline
KLKRationalLinearTermStructure(String, JulianDate, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
Construct a Term Structure Instance based off of a KLK Rational Linear Tension Spline
KLKRationalLinearWireSurface(String, JulianDate, String, double[], String[], double[][], double) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Construct a Scenario Market Surface off of KLK Rational Linear Wire Spline and KLK Rational Linear Surface Spline.
KLKRationalQuadraticBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
Create an Instance of the KLK Rational Quadratic Splined Basis Curve
KLKRationalQuadraticCurve(String, JulianDate, CurrencyPair, String[], double[], double, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Create an Instance of the KLK Rational Quadratic Splined FX Forward Curve
KLKRationalQuadraticCurve(String, JulianDate, String, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Create an Instance of the KLK Rational Quadratic Splined Govvie Yield Curve
KLKRationalQuadraticDiscountCurve(String, JulianDate, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the KLK Quadratic Rational Splined DF Discount Curve
KLKRationalQuadraticRepoCurve(String, JulianDate, Component, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Create an Instance of the KLK Rational Quadratic Splined Repo Curve
KLKRationalQuadraticTermStructure(String, JulianDate, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Deterministic Volatility Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
KLKRationalQuadraticTermStructure(String, JulianDate, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
Construct a Term Structure Instance based off of a KLK Rational Quadratic Tension Spline
KLKRationalQuadraticWireSurface(String, JulianDate, String, double[], String[], double[][], double) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Construct a Scenario Market Surface off of KLK Rational Quadratic Wire Spline and KLK Rational Quadratic Surface Spline.
KnotInsertionPolynomialEstimator - Class in org.drip.sample.stretch
KnotInsertionPolynomialEstimator demonstrates the Stretch builder and usage API.
KnotInsertionPolynomialEstimator() - Constructor for class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
 
KnotInsertionSequenceAdjuster - Class in org.drip.sample.stretch
KnotInsertionSequenceAdjuster demonstrates the Stretch Manipulation and Adjustment API.
KnotInsertionSequenceAdjuster() - Constructor for class org.drip.sample.stretch.KnotInsertionSequenceAdjuster
 
KnotInsertionTensionEstimator - Class in org.drip.sample.stretch
KnotInsertionTensionEstimator demonstrates the Stretch builder and usage API.
KnotInsertionTensionEstimator() - Constructor for class org.drip.sample.stretch.KnotInsertionTensionEstimator
 
knotPosition(double) - Method in class org.drip.spline.params.SegmentResponseValueConstraint
Get the Position of the Predictor Knot relative to the Constraints
KnottedRegressionSplineEstimator - Class in org.drip.sample.stretch
KnottedRegressionSplineEstimator shows the sample construction and usage of Knot-based Regression Splines.
KnottedRegressionSplineEstimator() - Constructor for class org.drip.sample.stretch.KnottedRegressionSplineEstimator
 
Kochi - Class in org.drip.sample.bondmetrics
Kochi generates the Full Suite of Replication Metrics for Bond Kochi.
Kochi() - Constructor for class org.drip.sample.bondmetrics.Kochi
 
KochLycheKvasovBasis - Class in org.drip.spline.tension
This class implements the basic framework and the family of C2 Tension Splines outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
KochLycheKvasovBasis() - Constructor for class org.drip.spline.tension.KochLycheKvasovBasis
 
KochLycheKvasovFamily - Class in org.drip.spline.tension
This class implements the basic framework and the family of C2 Tension Splines outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
KochLycheKvasovFamily() - Constructor for class org.drip.spline.tension.KochLycheKvasovFamily
 
Kolhapur - Class in org.drip.sample.bondmetrics
Kolhapur demonstrates the Analytics Calculation/Reconciliation for the Bond Kolhapur.
Kolhapur() - Constructor for class org.drip.sample.bondmetrics.Kolhapur
 
Kolkata - Class in org.drip.sample.bondmetrics
Kolkata generates the Full Suite of Replication Metrics for Bond Kolkata.
Kolkata() - Constructor for class org.drip.sample.bondmetrics.Kolkata
 
Kollam - Class in org.drip.sample.loan
Kollam demonstrates the Analytics Calculation/Reconciliation for the Loan Kollam.
Kollam() - Constructor for class org.drip.sample.loan.Kollam
 
Korba - Class in org.drip.sample.securitysuite
Korba generates the Full Suite of Replication Metrics for Bond Korba.
Korba() - Constructor for class org.drip.sample.securitysuite.Korba
 
Kota - Class in org.drip.sample.bondeos
Kota demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Kota.
Kota() - Constructor for class org.drip.sample.bondeos.Kota
 
Kottayam - Class in org.drip.sample.bondmetrics
Kottayam generates the Full Suite of Replication Metrics for Bond Kottayam.
Kottayam() - Constructor for class org.drip.sample.bondmetrics.Kottayam
 
Kozhikode - Class in org.drip.sample.municipal
Kozhikode demonstrates EOS Fixed/Float Coupon Multi-flavor Pricing and Relative Value Measure Generation for Kozhikode.
Kozhikode() - Constructor for class org.drip.sample.municipal.Kozhikode
 
KPWHoliday - Class in org.drip.analytics.holset
 
KPWHoliday() - Constructor for class org.drip.analytics.holset.KPWHoliday
 
krdMap() - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Retrieve the KRD Map
KrugerC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Kruger C1 Array from the specified Array of Predictor Ordinates and the Response Values.
KRW - Class in org.drip.template.irs
KRW contains a Templated Pricing of the OTC Fix-Float KRW IRS Instrument.
KRW() - Constructor for class org.drip.template.irs.KRW
 
KRWHoliday - Class in org.drip.analytics.holset
 
KRWHoliday() - Constructor for class org.drip.analytics.holset.KRWHoliday
 
Kulti - Class in org.drip.sample.loan
Kulti demonstrates the Analytics Calculation/Reconciliation for the Loan Kulti.
Kulti() - Constructor for class org.drip.sample.loan.Kulti
 
Kunming - Class in org.drip.sample.bondeos
Kunming demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Kunming.
Kunming() - Constructor for class org.drip.sample.bondeos.Kunming
 
Kurnool - Class in org.drip.sample.municipal
Kurnool demonstrates EOS Fixed/Float Coupon Multi-flavor Pricing and Relative Value Measure Generation for Kurnool.
Kurnool() - Constructor for class org.drip.sample.municipal.Kurnool
 
KWDHoliday - Class in org.drip.analytics.holset
 
KWDHoliday() - Constructor for class org.drip.analytics.holset.KWDHoliday
 
KYDHoliday - Class in org.drip.analytics.holset
 
KYDHoliday() - Constructor for class org.drip.analytics.holset.KYDHoliday
 
KZTHoliday - Class in org.drip.analytics.holset
 
KZTHoliday() - Constructor for class org.drip.analytics.holset.KZTHoliday
 

L

L1Attribution - Class in org.drip.sample.forwardratefuturespnl
L1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the L1 Series.
L1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.L1Attribution
 
L1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
L1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted L1 Closes Feed.
L1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.L1ClosesReconstitutor
 
L1LossLearner - Class in org.drip.learning.rxtor1
L1LossLearner implements the Learner Class that holds the Space of Normed R^x To Normed R^1 Learning Functions that employs L1 Empirical Loss Routine.
L1LossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, MeasureConcentrationExpectationBound) - Constructor for class org.drip.learning.rxtor1.L1LossLearner
L1LossLearner Constructor
L1R1CoveringBounds - Class in org.drip.spaces.cover
L1R1CoveringBounds implements the Lower/Upper Bounds for the Class of Non-decreasing R^1 To L1 R^1 Functions that are: - Absolutely Bounded - Have Bounded Variation.
L1R1CoveringBounds(double, double, double) - Constructor for class org.drip.spaces.cover.L1R1CoveringBounds
L1R1CoveringBounds Constructor
label() - Method in interface org.drip.analytics.definition.Curve
Get the Curve Latent State Identifier Label
label() - Method in class org.drip.analytics.definition.MarketSurface
 
label() - Method in class org.drip.analytics.definition.NodeStructure
 
label() - Method in class org.drip.exposure.evolver.TerminalLatentState
Retrieve the Latent State Label
label() - Method in class org.drip.state.basis.BasisCurve
 
label() - Method in class org.drip.state.credit.CreditCurve
 
label() - Method in class org.drip.state.curve.DerivedZeroRate
 
label() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
label() - Method in class org.drip.state.forward.ForwardCurve
 
label() - Method in class org.drip.state.fx.FXCurve
 
label() - Method in class org.drip.state.govvie.GovvieCurve
 
label() - Method in class org.drip.state.repo.RepoCurve
 
label() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Retrieve the Latent State Label
label() - Method in class org.drip.state.representation.LatentStateSpecification
Retrieve the Latent State Label
LabelCorrelation - Class in org.drip.measure.stochastic
LabelCorrelation holds the Correlations between any Stochastic Variates identified by their Labels.
LabelCorrelation(List<String>, double[][]) - Constructor for class org.drip.measure.stochastic.LabelCorrelation
LabelCorrelation Constructor
labelCorrelation() - Method in class org.drip.simm.estimator.ProductClassSettings
Retrieve the Cross Risk Class Label Correlation
labelExists(LatentStateLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Label exists
labelList() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the List of all Loaded Labels
labelList() - Method in class org.drip.measure.stochastic.LabelCorrelation
Retrieve the Label List
LabelMatch(LatentStateLabel, LatentStateLabel) - Static method in class org.drip.analytics.support.Helper
Do the Left and the Right Labels Match?
lag() - Method in class org.drip.analytics.eventday.DateInMonth
Retrieve the Date Lag
lag() - Method in class org.drip.param.valuation.CashSettleParams
Retrieve the Settle Lag
LagrangePolynomialStretchRegressor - Class in org.drip.regression.spline
LagrangePolynomialStretchRegressor implements the local control basis spline regressor for the given basis spline.
LagrangePolynomialStretchRegressor(String, String) - Constructor for class org.drip.regression.spline.LagrangePolynomialStretchRegressor
 
LagrangianMultivariate - Class in org.drip.function.rdtor1
LagrangianMultivariate implements an R^d To R^1 Multivariate Function along with the specified Set of Equality Constraints.
LagrangianMultivariate(RdToR1, RdToR1[]) - Constructor for class org.drip.function.rdtor1.LagrangianMultivariate
LagrangianMultivariate Constructor
Laiwu - Class in org.drip.sample.bondeos
Laiwu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Laiwu.
Laiwu() - Constructor for class org.drip.sample.bondeos.Laiwu
 
lambda() - Method in class org.drip.learning.regularization.RegularizationFunction
Retrieve the Regularization Constant Lambda
lambda() - Method in class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
 
lambda() - Method in class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
 
lambda() - Method in interface org.drip.learning.regularization.RegularizerR1ToR1
Retrieve the Regularization Constant Lambda
lambda() - Method in class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
 
lambda() - Method in class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
 
lambda() - Method in interface org.drip.learning.regularization.RegularizerRdToR1
Retrieve the Regularization Constant Lambda
lambda() - Method in class org.drip.measure.discrete.PoissonDistribution
Retrieve Lambda
lambda() - Method in class org.drip.param.pricer.HestonOptionPricerParams
Retrieve Lambda
lambda() - Method in class org.drip.sequence.random.Poisson
Retrieve Lambda
lambda(double, double) - Method in interface org.drip.simm.foundation.CurvatureResponse
Compute the Lambda from the Curvature Sensitivities
lambda(double, double) - Method in class org.drip.simm.foundation.CurvatureResponseCornishFischer
Compute the Lambda from the Curvature Sensitivities
lambdaPlateauPeak() - Method in class org.drip.simm.foundation.CurvatureResponseCornishFischer
Retrieve the Lambda Plateau Peak
Langfeng - Class in org.drip.sample.bondeos
Langfeng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Langfeng.
Langfeng() - Constructor for class org.drip.sample.bondeos.Langfeng
 
Lanzhou - Class in org.drip.sample.bondeos
Lanzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Lanzhou.
Lanzhou() - Constructor for class org.drip.sample.bondeos.Lanzhou
 
LARGE - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
The "Large" Market Capitalization
LARGE_MARKET_CAPITALIZATION_CUTOFF - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
Cutoff for the Large Market Capitalization
LastFlowDates - Class in org.drip.exposure.csatimeline
LastFlowDates holds the Last Client/Dealer Margin Flow and Trade Flow Dates using the Parameterization laid out in Andersen, Pykhtin, and Sokol (2017).
LastFlowDates(JulianDate, JulianDate, JulianDate, JulianDate, JulianDate, JulianDate, JulianDate, JulianDate) - Constructor for class org.drip.exposure.csatimeline.LastFlowDates
LastFlowDates Constructor
lastFlowDates() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Last Flow Dates
lastPeriod() - Method in class org.drip.product.params.BondStream
Returns the final Coupon period
lastTradeExerciseLag() - Method in class org.drip.product.params.LastTradingDateSetting
Retrieve the Lag between the Last Trading and Exercise Date
lastTrading() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
Retrieve the Last Trading Date
lastTradingDate() - Method in class org.drip.product.params.LastTradingDateSetting
Retrieve the Last Trading Date
lastTradingDate(int, String) - Method in class org.drip.product.params.LastTradingDateSetting
Compute the Last Trading Date
lastTradingDateSetting() - Method in class org.drip.product.option.OptionComponent
Retrieve the Option Last Trading Date Setting
LastTradingDateSetting - Class in org.drip.product.params
LastTradingDateSeting contains the Last Trading Date Generation Scheme for the given Option.
LastTradingDateSetting(int, String, int) - Constructor for class org.drip.product.params.LastTradingDateSetting
LastTradingDateSetting Constructor
lastTradingDayLag() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Last Trading Day Lag
LatamCorp - Class in org.drip.sample.cma
LatamCorp demonstrates LATAM Corporate Bond Pricing and Relative Value Measure Generation Functionality.
LatamCorp() - Constructor for class org.drip.sample.cma.LatamCorp
 
LATENT_STATE_BASIS - Static variable in class org.drip.state.basis.BasisCurve
Basis Latent State
LATENT_STATE_FORWARD - Static variable in class org.drip.analytics.definition.LatentStateStatic
Forward Latent State
LATENT_STATE_FUNDING - Static variable in class org.drip.analytics.definition.LatentStateStatic
Funding Latent State
LATENT_STATE_FX - Static variable in class org.drip.analytics.definition.LatentStateStatic
FX Latent State
LATENT_STATE_GOVVIE - Static variable in class org.drip.analytics.definition.LatentStateStatic
Govvie Latent State
LATENT_STATE_REPO - Static variable in class org.drip.state.repo.RepoCurve
Repo Latent State
LATENT_STATE_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic
Volatility Latent State
LatentMarketStateBuilder - Class in org.drip.service.template
LatentMarketStateBuilder contains static Helper API to facilitate Construction of the Latent Market States as Curves/Surfaces.
LatentMarketStateBuilder() - Constructor for class org.drip.service.template.LatentMarketStateBuilder
 
LatentState - Interface in org.drip.state.representation
LatentState exposes the functionality to manipulate the hidden Variable's Latent State.
latentState() - Method in class org.drip.state.representation.LatentStateSpecification
Retrieve the Latent State
LatentStateDynamicsContainer - Class in org.drip.exposure.evolver
LatentStateDynamicsContainer holds the Latent State Labels for a variety of Latent States and their Evolvers.
LatentStateDynamicsContainer() - Constructor for class org.drip.exposure.evolver.LatentStateDynamicsContainer
Empty LatentStateDynamicsContainer Constructor
latentStateDynamicsContainer() - Method in class org.drip.exposure.universe.MarketVertexGenerator
Retrieve the Latent State Dynamics Container
latentStateExists(LatentStateLabel) - Method in class org.drip.exposure.universe.MarketCorrelation
Check if the Latent State is available in the Correlation Matrix
LatentStateFixingsContainer - Class in org.drip.param.market
LatentStateFixingsContainer holds the explicit fixings for a specified Latent State Quantification along the date ordinate.
LatentStateFixingsContainer() - Constructor for class org.drip.param.market.LatentStateFixingsContainer
Empty LatentStateFixingsContainer Instance Constructor
LatentStateInelastic - Class in org.drip.spline.segment
This class contains the spline segment in-elastic fields - in this case the start/end ranges.
LatentStateInelastic(double, double) - Constructor for class org.drip.spline.segment.LatentStateInelastic
LatentStateInelastic constructor
latentStateLabel() - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
Retrieve the Latent State Labels
latentStateLabel() - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
Retrieve the Latent State Labels
latentStateLabel() - Method in class org.drip.dynamics.evolution.LSQMPointRecord
Retrieve the Latent State Labels
latentStateLabel() - Method in class org.drip.exposure.generator.NumeraireMPoR
Retrieve the Latent State Label
LatentStateLabel - Interface in org.drip.state.identifier
LatentStateLabel is the interface that contains the labels inside the sub-stretch of the alternate state.
latentStateLabelList() - Method in class org.drip.exposure.universe.MarketCorrelation
Retrieve the Latent State Label List
LatentStateManifestSensitivity - Class in org.drip.spline.segment
LatentStateManifestSensitivity contains the Manifest Sensitivity generation control parameters and the Manifest Sensitivity outputs related to the given Segment.
LatentStateManifestSensitivity(PreceedingManifestSensitivityControl) - Constructor for class org.drip.spline.segment.LatentStateManifestSensitivity
LatentStateManifestSensitivity constructor
LatentStateMergeSubStretch - Class in org.drip.state.representation
LatentStateMergeSubStretch implements merged stretch that is common to multiple latent states.
LatentStateMergeSubStretch(double, double, LatentStateLabel) - Constructor for class org.drip.state.representation.LatentStateMergeSubStretch
LatentStateMergeSubStretch constructor
LatentStateProcessor - Class in org.drip.service.json
LatentStateProcessor Sets Up and Executes a JSON Based In/Out Curve Processor.
LatentStateProcessor() - Constructor for class org.drip.service.json.LatentStateProcessor
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Latent State Quantification Metric
latentStateQuantificationMetric() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
latentStateQuantificationMetric() - Method in class org.drip.state.representation.LatentStateSpecification
Retrieve the Latent State Quantification Metric
LatentStateResponseModel - Class in org.drip.spline.segment
LatentStateResponseModel implements the single segment basis calibration and inference functionality.
LatentStateSegmentSpec - Class in org.drip.state.inference
LatentStateSegmentSpec carries the calibration instrument and the manifest measure set used in calibrating the segment.
LatentStateSegmentSpec(CalibratableComponent, ProductQuoteSet) - Constructor for class org.drip.state.inference.LatentStateSegmentSpec
LatentStateSegmentSpec constructor
LatentStateSequenceBuilder - Class in org.drip.state.inference
LatentStateSequenceBuilder holds the logic behind building the bootstrap segments contained in the given Stretch.
LatentStateSequenceBuilder(double, LatentStateStretchSpec, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, Span, StretchBestFitResponse, CaseInsensitiveHashMap<PreceedingManifestSensitivityControl>, StretchBestFitResponse, BoundarySettings) - Constructor for class org.drip.state.inference.LatentStateSequenceBuilder
LatentStateSequenceBuilder constructor
LatentStateShapePreservingCCIS - Class in org.drip.analytics.input
LatentStateShapePreservingCCIS contains the Parameters needed for the Curve Calibration/Estimation.
LatentStateShapePreservingCCIS(LinearLatentStateCalibrator, LatentStateStretchSpec[], ValuationParams, CreditPricerParams, ValuationCustomizationParams, CurveSurfaceQuoteContainer) - Constructor for class org.drip.analytics.input.LatentStateShapePreservingCCIS
LatentStateShapePreservingCCIS constructor
LatentStateSpecification - Class in org.drip.state.representation
LatentStateSpecification holds the fields necessary to specify a complete Latent State.
LatentStateSpecification(String, String, LatentStateLabel) - Constructor for class org.drip.state.representation.LatentStateSpecification
LatentStateSpecification constructor
LatentStateStatic - Class in org.drip.analytics.definition
LatentStateStatic contains the Analytics Latent State Static/Textual Identifiers.
LatentStateStatic() - Constructor for class org.drip.analytics.definition.LatentStateStatic
 
LatentStateStretchBuilder - Class in org.drip.state.estimator
LatentStateStretchBuilder contains the Functionality to construct the Curve Latent State Stretch for the different Latent States.
LatentStateStretchBuilder() - Constructor for class org.drip.state.estimator.LatentStateStretchBuilder
 
LatentStateStretchSpec - Class in org.drip.state.inference
LatentStateStretchSpec carries the Latent State Segment Sequence corresponding to the calibratable Stretch.
LatentStateStretchSpec(String, LatentStateSegmentSpec[]) - Constructor for class org.drip.state.inference.LatentStateStretchSpec
LatentStateStretchSpec constructor
latentStateType() - Method in class org.drip.service.api.FixFloatFundingInstrument
Retrieve the Latent State Type
latentStateValue(LatentStateLabel) - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized Value for the Latent State
LatentStateVertexContainer - Class in org.drip.exposure.evolver
LatentStateVertexContainer holds the Latent State Labels and their corresponding Vertex Realizations.
LatentStateVertexContainer() - Constructor for class org.drip.exposure.evolver.LatentStateVertexContainer
Empty LatentStateVertexContainer Constructor
LatentStateWeiner - Class in org.drip.exposure.universe
LatentStateWeiner generates the Edge Latent State Weiner Increments across Trajectory Vertexes needed for computing the Valuation Adjustment.
LatentStateWeiner() - Constructor for class org.drip.exposure.universe.LatentStateWeiner
Empty LatentStateWeiner Constructor
latentStateWeinerMap() - Method in class org.drip.exposure.universe.LatentStateWeiner
Retrieve the Latent State Weiner Increment Map
latestBuildRecord() - Static method in class org.drip.service.env.BuildManager
Retrieve the Latest Build Record
latestBuildRecord() - Static method in class org.drip.service.env.InvocationManager
Retrieve the Latest Build Record
Latur - Class in org.drip.sample.bondmetrics
Latur generates the Full Suite of Replication Metrics for a Sample Bond.
Latur() - Constructor for class org.drip.sample.bondmetrics.Latur
 
launch() - Method in class org.drip.regression.core.RegressionEngine
Launch the Regression Engine and execute the regression sets
LCGNumericalRecipesDouble - Class in org.drip.sample.rng
LCGNumericalRecipesDouble demonstrates the Construction and Invocation of Linear Congruential Generator based Random Number Double's.
LCGNumericalRecipesDouble() - Constructor for class org.drip.sample.rng.LCGNumericalRecipesDouble
 
LCGNumericalRecipesLong - Class in org.drip.sample.rng
LCGNumericalRecipesLong demonstrates the Construction and Invocation of Linear Congruential Generator based Random Number Long's.
LCGNumericalRecipesLong() - Constructor for class org.drip.sample.rng.LCGNumericalRecipesLong
 
lcq() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the LCQ Constraint Qualifier
leading() - Method in class org.drip.spline.bspline.SegmentBasisFunction
Retrieve the Leading Predictor Ordinate
LeanMaxCompositeSubMatrix(double[][], int, int) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
Use the "Lean" Method to compute the Maximum Composite Value of all the sub-matrices contained within a specified Square Matrix starting from the given Row and Column
LeapFrog(RandomNumberGenerator, int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
Generate Multiple Independent Streams using the Leap Frog Technique
LeapFrog(int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
Generate Multiple Independent Streams using the Leap Frog Technique from the Default Random Number Generator
learner() - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
Retrieve the Learning Function
leastUpperBound() - Method in class org.drip.learning.bound.LipschitzCoveringNumberBound
Retrieve the Least Covering Number Upper Bound
left() - Method in class org.drip.spline.bspline.TensionBasisHat
Retrieve the Left Predictor Ordinate
left() - Method in class org.drip.spline.grid.AggregatedSpan
 
left() - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
left() - Method in interface org.drip.spline.grid.Span
Retrieve the Left Span Edge
left() - Method in class org.drip.spline.segment.LatentStateInelastic
Retrieve the Segment Left Predictor Ordinate
LEFT_INCLUDE - Static variable in class org.drip.analytics.date.DateUtil
LEFT_INCLUDE includes the start date in the Feb29 check
LEFT_NODE_VALUE_PARAMETER_INDEX - Static variable in class org.drip.spline.segment.LatentStateResponseModel
LEFT NODE VALUE PARAMETER INDEX
LEFT_OF_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
Indicator specifying that the knot is to the left of the constraint ordinates
LEFT_TENOR_EQUALS - Static variable in class org.drip.analytics.support.Helper
Tenor Comparator - Left Tenor Matches Right
LEFT_TENOR_GREATER - Static variable in class org.drip.analytics.support.Helper
Tenor Comparator - Left Tenor Greater than Right
LEFT_TENOR_LESSER - Static variable in class org.drip.analytics.support.Helper
Tenor Comparator - Left Tenor Lesser than Right
leftChild() - Method in class org.drip.spaces.big.BinaryTree
Retrieve the Left Child BinaryTree Instance
leftDerivOrder() - Method in class org.drip.spline.stretch.BoundarySettings
Retrieve the Order of the Left Derivative
leftDimensionEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
 
leftDimensionEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
 
leftDimensionEdge() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
Retrieve the Array of the Variate Left Edges
leftEdge() - Method in class org.drip.measure.continuous.R1Multivariate
Retrieve the Left Edge Bounding Multivariate
leftEdge() - Method in class org.drip.measure.lebesgue.R1Uniform
Retrieve the Left Predictor Ordinate Edge
leftEdge() - Method in interface org.drip.spaces.tensor.GeneralizedVector
Retrieve the Left Edge
leftEdge() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
leftEdge() - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
leftEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
 
leftEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
 
leftEdgeDeriv() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
Retrieve the Array of the Left Edge Derivatives
LeftHatShapeControl - Class in org.drip.spline.bspline
LeftHatShapeControl implements the BasisHatShapeControl interface for the left hat basis set as laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
LeftHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.LeftHatShapeControl
LeftHatShapeControl constructor
leftHoldings() - Method in class org.drip.execution.discrete.Slice
Retrieve the Left-of-Slice Holdings
leftHoldingsDerivative(double, double, int) - Method in class org.drip.execution.impact.TransactionFunction
Compute the Sensitivity to the Left Holdings
LeftInfinite(R1ToR1, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Integrate the specified Function Numerically from -infinity to the specified Right Limit
LeftInfiniteRightInfinite(R1ToR1) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Integrate Numerically over [-infinity, +infinity] using a Change of Variables
leftMostChild() - Method in class org.drip.spaces.big.BinaryTree
Retrieve the Left Most Child
leftPillar() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
Retrieve the Left Pillar Vertex
leftPillar() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
Retrieve the Left Pillar Vertex
lengthDPE() - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Segment Length DPE
lengthDPE() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
lengthDPE() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Span Length DPE
lengthPenaltyControl() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
Retrieve the Length Penalty Parameters
level() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Compute the Array of the Custom Projection Induced Confidence Level
level() - Method in class org.drip.portfolioconstruction.optimizer.Scope
Retrieve the Scope Level
Lhasa - Class in org.drip.sample.bondeos
Lhasa demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Lhasa.
Lhasa() - Constructor for class org.drip.sample.bondeos.Lhasa
 
liability() - Method in class org.drip.xva.basel.BalanceSheetVertex
Retrieve the Liability Account
Lianyungang - Class in org.drip.sample.bondeos
Lianyungang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Lianyungang.
Lianyungang() - Constructor for class org.drip.sample.bondeos.Lianyungang
 
Liaocheng - Class in org.drip.sample.bondeos
Liaocheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Liaocheng.
Liaocheng() - Constructor for class org.drip.sample.bondeos.Liaocheng
 
Liaoyang - Class in org.drip.sample.bondeos
Liaoyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Liaoyang.
Liaoyang() - Constructor for class org.drip.sample.bondeos.Liaoyang
 
libor() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the LIBOR Rate
libor() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the LIBOR Rate
libor(int, int, double) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Compute the LIBOR between 2 dates given the Day Count
libor(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Compute the LIBOR between 2 dates
libor(int, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Calculate the LIBOR to the given tenor at the specified date
libor(JulianDate, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Calculate the LIBOR to the given tenor at the specified Julian Date
libor12MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the LIBOR 12M Sensitivity Margin Map
libor12MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR 12M Tenor Delta Risk Weight
libor12MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the LIBOR12M Tenor Sensitivity Margin Map
libor12MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
 
libor12MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the LIBOR 12M Tenor Risk Weight
libor12MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
 
libor12MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Retrieve the LIBOR12M Risk Factor Tenor Sensitivity
libor12MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR 12M Tenor Vega Risk Weight
libor1MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the LIBOR 1M Sensitivity Margin Map
libor1MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR 1M Tenor Delta Risk Weight
libor1MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the LIBOR1M Tenor Sensitivity Margin Map
libor1MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
 
libor1MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the LIBOR 1M Tenor Risk Weight
libor1MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
 
libor1MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Retrieve the LIBOR1M Risk Factor Tenor Sensitivity
libor1MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR1M Tenor Vega Risk Weight
libor3MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the LIBOR 3M Sensitivity Margin Map
libor3MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR 3M Tenor Delta Risk Weight
libor3MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the LIBOR3M Tenor Sensitivity Margin Map
libor3MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
 
libor3MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the LIBOR 3M Tenor Risk Weight
libor3MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
 
libor3MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Retrieve the LIBOR3M Risk Factor Tenor Sensitivity
libor3MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR3M Tenor Vega Risk Weight
libor6MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the LIBOR 6M Sensitivity Margin Map
libor6MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR 6M Tenor Delta Risk Weight
libor6MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the LIBOR6M Tenor Sensitivity Margin Map
libor6MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
 
libor6MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the LIBOR 6M Tenor Risk Weight
libor6MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
 
libor6MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Retrieve the LIBOR6M Risk Factor Tenor Sensitivity
libor6MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the LIBOR6M Tenor Vega Risk Weight
liborForwardRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the LIBOR Forward Rate
liborForwardRateIncrement(int, int, int, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Compute the LIBOR Forward Rate Increment given the Spot Date, the View Date, the Target Date, the Current LIBOR Forward Rate, and the View Time Increment
liborForwardRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the LIBOR Forward Rate Increment
liborIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the LIBOR Rate Increment
liborIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the LIBOR Rate Increment
liborRate(int, String, boolean) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
Retrieve a Realized/Expected Value of the LIBOR Rate at the Target Date
liborRateIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor LIBOR Rate Increments
liborRates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor LIBOR Rates
licq() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the LICQ Constraint Qualifier
lIFOListFromArray(double[]) - Static method in class org.drip.spaces.graph.SinglyLinkedNode
Generate a LIFO Linked List from the Value Array
Lijiang - Class in org.drip.sample.bondeos
Lijiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Lijiang.
Lijiang() - Constructor for class org.drip.sample.bondeos.Lijiang
 
LimitBudgetTerm - Class in org.drip.portfolioconstruction.constraint
LimitBudgetTerm holds the Details of a Limit Budget Constraint Term.
LimitBudgetTerm(String, String, String, Scope, Unit, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitBudgetTerm
 
LimitBudgetTermNet - Class in org.drip.portfolioconstruction.constraint
LimitBudgetTermNet holds the Details of a Limit Net Budget Constraint Term.
LimitBudgetTermNet(String, Scope, Unit, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitBudgetTermNet
LimitBudgetTermNet Constructor
LimitBudgetTermTransactionCharge - Class in org.drip.portfolioconstruction.constraint
LimitBudgetTermTransactionCharge holds the Details of a After Transaction Charge Limit Budget Constraint Term.
LimitBudgetTermTransactionCharge(String, Scope, Unit, double, double[], double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitBudgetTermTransactionCharge
LimitBudgetTermTransactionCharge Constructor
LimitChargeTermIssuer - Class in org.drip.portfolioconstruction.constraint
LimitChargeTermIssuer constrains the Limit Issuer Transaction Charge Term.
LimitChargeTermIssuer(String, String, String, Scope, Unit, double, double, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
LimitChargeTermIssuer Constructor
LimitExposureTerm - Class in org.drip.portfolioconstruction.constraint
LimitExposureTerm holds the Details of a Limit Exposure Constraint Term - Limits can be Absolute/Net etc.
LimitExposureTerm(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTerm
 
LimitExposureTermAbsolute - Class in org.drip.portfolioconstruction.constraint
LimitExposureTermAbsolute holds the Details of a Limit Absolute Exposure Constraint Term.
LimitExposureTermAbsolute(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermAbsolute
LimitExposureTermAbsolute Constructor
LimitExposureTermIssuer - Class in org.drip.portfolioconstruction.constraint
LimitExposureTermIssuer abstracts the Limit Issuer Exposure Constraint Term.
LimitExposureTermIssuer(String, String, String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuer
 
LimitExposureTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
LimitExposureTermIssuerLong holds the Details of a Limit Issuer Long Exposure Constraint Term.
LimitExposureTermIssuerLong(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerLong
LimitExposureTermIssuerLong Constructor
LimitExposureTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
LimitExposureTermIssuerNet holds the Details of a Limit Issuer Net Exposure Constraint Term.
LimitExposureTermIssuerNet(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerNet
LimitExposureTermIssuerNet Constructor
LimitExposureTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
LimitExposureTermIssuerShort holds the Details of a Limit Issuer Short Exposure Constraint Term.
LimitExposureTermIssuerShort(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerShort
LimitExposureTermIssuerShort Constructor
LimitExposureTermNet - Class in org.drip.portfolioconstruction.constraint
LimitExposureTermNet holds the Details of a Limit Net Exposure Constraint Term.
LimitExposureTermNet(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermNet
LimitExposureTermNet Constructor
LimitHoldingsTerm - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTerm holds the Details of a Limit Holdings Constraint Term - Limits can be Absolute/Net etc.
LimitHoldingsTerm(String, String, String, Scope, Unit, double, double, int) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTerm
 
LimitHoldingsTermAbsolute - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermAbsolute holds the Details of a Limit Absolute Holdings Constraint Term.
LimitHoldingsTermAbsolute(String, Scope, Unit, double, double, int) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermAbsolute
LimitHoldingsTermAbsolute Constructor
LimitHoldingsTermIssuer - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermIssuer abstracts the Limit Issuer Holdings Constraint Term.
LimitHoldingsTermIssuer(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuer
 
LimitHoldingsTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermIssuerLong holds the Details of Limit Issuer Long Holdings Constraint Term.
LimitHoldingsTermIssuerLong(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLong
LimitHoldingsTermIssuerLong Constructor
LimitHoldingsTermIssuerLongShort - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermIssuerLongShort holds the Details of Limit Issuer Long/Short Holdings Ratio Constraint Term.
LimitHoldingsTermIssuerLongShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLongShort
LimitHoldingsTermIssuerLongShort Constructor
LimitHoldingsTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermIssuerNet holds the Details of Limit Issuer Net Holdings Constraint Term.
LimitHoldingsTermIssuerNet(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerNet
LimitHoldingsTermIssuerNet Constructor
LimitHoldingsTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermIssuerShort holds the Details of Limit Issuer Short Holdings Constraint Term.
LimitHoldingsTermIssuerShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerShort
LimitHoldingsTermIssuerShort Constructor
LimitHoldingsTermIssuerWeightedAverage - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermIssuerWeightedAverage holds the Details of Weighted Average Issuer Limit Holdings Constraint Term.
LimitHoldingsTermIssuerWeightedAverage(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerWeightedAverage
LimitHoldingsTermIssuerWeightedAverage Constructor
LimitHoldingsTermMinimumPeriod - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermMinimumPeriod holds the Details of Limit Minimum Holdings Period Constraint Term.
LimitHoldingsTermMinimumPeriod(String, Scope, Unit, double, double, int, double) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermMinimumPeriod
 
LimitHoldingsTermModelDeviation - Class in org.drip.portfolioconstruction.constraint
LimitHoldingsTermModelDeviation holds the Details of a Limit Holdings Benchmark Weights Absolute Deviation Constraint Term.
LimitHoldingsTermModelDeviation(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermModelDeviation
LimitHoldingsTermModelDeviation Constructor
LimitNamesTermIssuer - Class in org.drip.portfolioconstruction.constraint
LimitNamesTermIssuer holds the Details of a Limit Count of Issuer Names Constraint Term.
LimitNamesTermIssuer(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuer
 
LimitNamesTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
LimitNamesTermIssuerLong holds the Details of Count of the Total Long Active Assets in the Holdings.
LimitNamesTermIssuerLong(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerLong
LimitNamesTermIssuerLong Constructor
LimitNamesTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
LimitNamesTermIssuerShort holds the Details of Count of the Total Short Active Assets in the Holdings.
LimitNamesTermIssuerShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerShort
LimitNamesTermIssuerShort Constructor
LimitNamesTermIssuerTotal - Class in org.drip.portfolioconstruction.constraint
LimitNamesTermIssuerTotal holds the Details of Count of the Total Active Assets in the Holdings.
LimitNamesTermIssuerTotal(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerTotal
LimitNamesTermIssuerTotal Constructor
LimitRiskTerm - Class in org.drip.portfolioconstruction.constraint
LimitRiskTerm holds the Details of a Limit Risk Constraint Term.
LimitRiskTerm(String, String, String, Scope, Unit, double, double, double[][]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitRiskTerm
 
LimitRiskTermMarginal - Class in org.drip.portfolioconstruction.constraint
LimitRiskTermMarginal holds the Details of a Relative Marginal Contribution Based Limit Risk Constraint Term.
LimitRiskTermMarginal(String, Scope, Unit, double, double, double[][], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitRiskTermMarginal
LimitRiskTermMarginal Constructor
LimitRiskTermVariance - Class in org.drip.portfolioconstruction.constraint
LimitRiskTermVariance holds the Details of a Variance Based Limit Risk Constraint Term.
LimitRiskTermVariance(String, Scope, Unit, double, double, double[][], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitRiskTermVariance
LimitRiskTermVariance Constructor
LimitTaxTerm - Class in org.drip.portfolioconstruction.constraint
LimitTaxTerm holds the Details of a Limit Tax Constraint Term.
LimitTaxTerm(String, String, String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTerm
 
LimitTaxTermGrossGains - Class in org.drip.portfolioconstruction.constraint
LimitTaxTermGrossGains holds the Details of a Limit Gross Tax Gains Constraint Term.
LimitTaxTermGrossGains(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossGains
LimitTaxTermGrossGains Constructor
LimitTaxTermGrossLoss - Class in org.drip.portfolioconstruction.constraint
LimitTaxTermGrossLoss holds the Details of a Limit Gross Tax Loss Constraint Term.
LimitTaxTermGrossLoss(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossLoss
LimitTaxTermGrossLoss Constructor
LimitTaxTermLiability - Class in org.drip.portfolioconstruction.constraint
LimitTaxTermLiability holds the Details of a Limit Tax Liability Constraint Term.
LimitTaxTermLiability(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermLiability
LimitTaxTermLiability Constructor
LimitTaxTermLongGains - Class in org.drip.portfolioconstruction.constraint
LimitTaxTermLongGains holds the Details of a Limit Long Term Tax Gains Constraint Term.
LimitTaxTermLongGains(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermLongGains
LimitTaxTermLongGains Constructor
LimitTaxTermNetGains - Class in org.drip.portfolioconstruction.constraint
LimitTaxTermNetGains holds the Details of a Limit Net Tax Gains Constraint Term.
LimitTaxTermNetGains(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermNetGains
LimitTaxTermNetGains Constructor
LimitTaxTermNetLoss - Class in org.drip.portfolioconstruction.constraint
LimitTaxTermNetLoss holds the Details of a Limit Net Tax Loss Constraint Term.
LimitTaxTermNetLoss(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermNetLoss
LimitTaxTermNetLoss Constructor
LimitThresholdTermIssuer - Class in org.drip.portfolioconstruction.constraint
LimitThresholdTermIssuer abstracts the Issuer Target Portfolio Holdings as long as they are not Zero.
LimitThresholdTermIssuer(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuer
 
LimitThresholdTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
LimitThresholdTermIssuerLong implements the Issuer Long Portfolio Holdings as long as they are not Zero.
LimitThresholdTermIssuerLong(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerLong
LimitThresholdTermIssuerLong Constructor
LimitThresholdTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
LimitThresholdTermIssuerNet implements the Issuer Net Portfolio Holdings as long as they are not Zero.
LimitThresholdTermIssuerNet(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerNet
LimitThresholdTermIssuerNet Constructor
LimitThresholdTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
LimitThresholdTermIssuerShort implements the Issuer Short Portfolio Holdings as long as they are not Zero.
LimitThresholdTermIssuerShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerShort
LimitThresholdTermIssuerShort Constructor
LimitTradesTermIssuer - Class in org.drip.portfolioconstruction.constraint
LimitTradesTermIssuer abstracts the Issuer Targets the Count of Portfolio Trades.
LimitTradesTermIssuer(String, String, String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuer
 
LimitTradesTermIssuerBuy - Class in org.drip.portfolioconstruction.constraint
LimitTradesTermIssuerBuy abstracts the Issuer Targets the Count of Total Buy Portfolio Trades.
LimitTradesTermIssuerBuy(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerBuy
LimitTradesTermIssuerBuy Constructor
LimitTradesTermIssuerSell - Class in org.drip.portfolioconstruction.constraint
LimitTradesTermIssuerSell abstracts the Issuer Targets the Count of Total Sell Portfolio Trades.
LimitTradesTermIssuerSell(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerSell
LimitTradesTermIssuerSell Constructor
LimitTradesTermIssuerTotal - Class in org.drip.portfolioconstruction.constraint
LimitTradesTermIssuerTotal abstracts the Issuer Targets the Count of Total Portfolio Trades.
LimitTradesTermIssuerTotal(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerTotal
LimitTradesTermIssuerTotal Constructor
LimitTurnoverTermIssuer - Class in org.drip.portfolioconstruction.constraint
LimitTurnoverTermIssuer abstracts the Issuer Targets the Turnover of Portfolio Trades.
LimitTurnoverTermIssuer(String, String, String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
 
LimitTurnoverTermIssuerBuy - Class in org.drip.portfolioconstruction.constraint
LimitTuroverTermIssuerBuy abstracts the Issuer Targets the Turnover of Total Buy Portfolio Trades.
LimitTurnoverTermIssuerBuy(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerBuy
LimitTurnoverTermIssuerBuy Constructor
LimitTurnoverTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
LimitTurnoverTermIssuerNet abstracts the Issuer Targets the Turnover of Total Net Portfolio Trades.
LimitTurnoverTermIssuerNet(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerNet
LimitTurnoverTermIssuerNet Constructor
LimitTurnoverTermIssuerSell - Class in org.drip.portfolioconstruction.constraint
LimitTurnoverTermIssuerSell abstracts the Issuer Targets the Turnover of Total Sell Portfolio Trades.
LimitTurnoverTermIssuerSell(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerSell
LimitTurnoverTermIssuerSell Constructor
LimitTurnoverTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
LimitTurnoverTermIssuerShort abstracts the Issuer Targets the Turnover of Total Short Portfolio Trades.
LimitTurnoverTermIssuerShort(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerShort
LimitTurnoverTermIssuerShort Constructor
Linear(double[], double, double) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectory
Construct a Linear DiscreteTradingTrajectory Instance
LINEAR_TIME - Static variable in class org.drip.xva.settings.BrokenDateScheme
Linear Time Based Broken Date Interpolation Scheme
linearAggregate(RiskMeasureSensitivitySettings, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivity
Generate the Linear Risk Measure Aggregate
linearAggregate(RiskMeasureSensitivitySettingsCR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityCR
Generate the Linear Risk Measure Aggregate
linearAggregate(RiskMeasureSensitivitySettingsIR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityIR
Generate the Linear Risk Measure Aggregate
LinearAlgebra - Class in org.drip.sample.matrix
LinearAlgebra implements Samples for Linear Algebra and Matrix Manipulations.
LinearAlgebra() - Constructor for class org.drip.sample.matrix.LinearAlgebra
 
LinearC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Vanilla C1 Array from the specified Array of Predictor Ordinates and the Response Values
linearCharge() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeLinear
Retrieve the Linear Transaction Charge
LinearChargeBuyTerm - Class in org.drip.portfolioconstruction.objective
LinearChargeBuyTerm implements the Objective Term that optimizes the Charge incurred by the Buy Trades in the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
LinearChargeBuyTerm(String, double[], TransactionChargeLinear[]) - Constructor for class org.drip.portfolioconstruction.objective.LinearChargeBuyTerm
LinearChargeBuyTerm Conastructor
LinearChargeSellTerm - Class in org.drip.portfolioconstruction.objective
LinearChargeSellTerm implements the Objective Term that optimizes the Charge incurred by the Sell Trades in the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
LinearChargeSellTerm(String, double[], TransactionChargeLinear[]) - Constructor for class org.drip.portfolioconstruction.objective.LinearChargeSellTerm
LinearChargeSellTerm Constructor
LinearChargeTerm - Class in org.drip.portfolioconstruction.objective
LinearChargeTerm implements the Objective Term that optimizes the Charge of the Buy/Sell Trades in the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
LinearChargeTerm(String, double[], TransactionChargeLinear[]) - Constructor for class org.drip.portfolioconstruction.objective.LinearChargeTerm
LinearChargeTerm Conastructor
LinearCongruentialGenerator - Class in org.drip.measure.crng
LinearCongruentialGenerator implements a RNG based on Recurrence Based on Modular Integer Arithmetic.
LinearCongruentialGenerator(long, long, long, RecursiveGenerator) - Constructor for class org.drip.measure.crng.LinearCongruentialGenerator
LinearCongruentialGenerator Contructor
LinearExpectation(ArithmeticPriceDynamicsSettings, BackgroundParticipationRateLinear, BackgroundParticipationRateLinear) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
Linear Expectation Version of LinearPermanentExpectationParameters Instance
LinearImpactBlockTrajectoryEstimator - Class in org.drip.execution.capture
LinearImpactBlockTrajectoryEstimator estimates the Price/Cost Distribution associated with the Single Block Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
LinearImpactBlockTrajectoryEstimator(MinimumVarianceTradingTrajectory) - Constructor for class org.drip.execution.capture.LinearImpactBlockTrajectoryEstimator
LinearImpactBlockTrajectoryCost Constructor
LinearImpactNoDrift - Class in org.drip.sample.execution
LinearImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified.
LinearImpactNoDrift() - Constructor for class org.drip.sample.execution.LinearImpactNoDrift
 
LinearImpactTrajectoryEstimator - Class in org.drip.execution.capture
LinearImpactTrajectoryEstimator estimates the Price/Cost Distribution associated with the Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
LinearImpactTrajectoryEstimator(DiscreteTradingTrajectory) - Constructor for class org.drip.execution.capture.LinearImpactTrajectoryEstimator
LinearImpactTrajectoryEstimator Constructor
LinearImpactUniformTrajectoryEstimator - Class in org.drip.execution.capture
LinearImpactUniformTrajectoryEstimator estimates the Price/Cost Distribution associated with the Uniform Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
LinearImpactUniformTrajectoryEstimator(MinimumImpactTradingTrajectory) - Constructor for class org.drip.execution.capture.LinearImpactUniformTrajectoryEstimator
LinearImpactUniformTrajectoryEstimator Constructor
LinearImpactWithDrift - Class in org.drip.sample.execution
LinearImpactWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified.
LinearImpactWithDrift() - Constructor for class org.drip.sample.execution.LinearImpactWithDrift
 
LinearizationOutput - Class in org.drip.quant.linearalgebra
LinearizationOutput holds the output of a sequence of linearization operations.
LinearizationOutput(double[], double[][], String) - Constructor for class org.drip.quant.linearalgebra.LinearizationOutput
LinearizationOutput constructor
LinearLatentStateCalibrator - Class in org.drip.state.inference
LinearLatentStateCalibrator calibrates/constructs the Latent State Stretch/Span from the calibration instrument details.
LinearLatentStateCalibrator(SegmentCustomBuilderControl, BoundarySettings, int, StretchBestFitResponse, StretchBestFitResponse) - Constructor for class org.drip.state.inference.LinearLatentStateCalibrator
LinearLatentStateCalibrator constructor
LinearLiquidityVolatility - Class in org.drip.sample.almgren2003
LinearLiquidityVolatility demonstrates the Dependence of the Optimal Trading Trajectory as a Function of Linear Trading Enhanced Volatilities.
LinearLiquidityVolatility() - Constructor for class org.drip.sample.almgren2003.LinearLiquidityVolatility
 
linearMargin(BucketSensitivitySettingsCR) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
Compute the Linear Margin Co-variance
linearMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear Margin Co-variance
linearMarginCovariance_LIBOR12M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR12M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR12M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR12M-PRIME Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR1M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR1M_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR1M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR1M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR1M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR1M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR1M-PRIME Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR3M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR3M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR3M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR3M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR3M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR3M-PRIME Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR6M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR6M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR6M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
linearMarginCovariance_LIBOR6M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear LIBOR6M-PRIME Sensitivity Margin Co-variance
linearMarginCovariance_MUNICIPAL_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
linearMarginCovariance_OIS_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear OIS-LIBOR12M Sensitivity Margin Co-variance
linearMarginCovariance_OIS_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear OIS-LIBOR1M Sensitivity Margin Co-variance
linearMarginCovariance_OIS_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear OIS-LIBOR3M Sensitivity Margin Co-variance
linearMarginCovariance_OIS_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear OIS-LIBOR6M Sensitivity Margin Co-variance
linearMarginCovariance_OIS_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear OIS-MUNICIPAL Sensitivity Margin Co-variance
linearMarginCovariance_OIS_OIS(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear OIS-OIS Sensitivity Margin Co-variance
linearMarginCovariance_OIS_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear OIS-PRIME Sensitivity Margin Co-variance
linearMarginCovariance_PRIME_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear PRIME-MUNICIPAL Sensitivity Margin Co-variance
linearMarginCovariance_PRIME_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Compute the Linear PRIME-PRIME Sensitivity Margin Co-variance
linearPermanentExpectation() - Method in class org.drip.execution.dynamics.LinearPermanentExpectationParameters
Retrieve the Background Participation Linear Permanent Market Impact Expectation Function
LinearPermanentExpectationParameters - Class in org.drip.execution.dynamics
LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate.
LinearPermanentExpectationParameters(ArithmeticPriceDynamicsSettings, BackgroundParticipationRateLinear, BackgroundParticipationRate) - Constructor for class org.drip.execution.dynamics.LinearPermanentExpectationParameters
LinearPermanentExpectationParameters Constructor
LinearPolyShapePreserver(String, String, String, int, CalibratableComponent[], double[], String) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis Set Builder Parameters.
LinearQuadrature(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Compute the function's integral within the specified limits using the LinearQuadrature technique.
LinearRationalShapeControl - Class in org.drip.function.r1tor1
LinearRationalShapeControl implements the deterministic rational shape control functionality on top of the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1): y = 1 / [1 + lambda * x] where is the normalized ordinate mapped as x === (x - x_i-1) / (x_i - x_i-1)
LinearRationalShapeControl(double) - Constructor for class org.drip.function.r1tor1.LinearRationalShapeControl
LinearRationalShapeControl constructor
LinearRationalTensionExponential - Class in org.drip.function.r1tor1
LinearRationalTensionExponential provides the evaluation of the Convolution of the Linear Rational and the Tension Exponential Functons and its derivatives for a specified variate.
LinearRationalTensionExponential(double, double) - Constructor for class org.drip.function.r1tor1.LinearRationalTensionExponential
Construct a LinearRationalTensionExponential instance
LinearRdDecisionFunction - Class in org.drip.learning.svm
LinearRdDecisionFunction implements the Linear R^d Decision Function-Based SVM Functionality for Classification and Regression.
LinearRdDecisionFunction(RdGeneralizedVector, RdNormed, double[], double) - Constructor for class org.drip.learning.svm.LinearRdDecisionFunction
LinearRdDecisionFunction Constructor
LinearSystemSolver - Class in org.drip.quant.linearalgebra
LinearSystemSolver implements the solver for a system of linear equations given by A * x = B, where A is the matrix, x the set of variables, and B is the result to be solved for.
LinearSystemSolver() - Constructor for class org.drip.quant.linearalgebra.LinearSystemSolver
 
LinearSystemSolver() - Static method in class org.drip.sample.matrix.LinearAlgebra
 
LinearTemporaryImpact - Class in org.drip.execution.cost
LinearTemporaryImpact computes and holds the Optimal Trajectory using the Linear Temporary Impact Function for the given set of Inputs.
LinearTemporaryImpact(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear, double, R1ToR1, double) - Constructor for class org.drip.execution.cost.LinearTemporaryImpact
 
linearTemporaryImpact() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Linear Temporary Market Impact Function
LinearThreshold(double, double) - Static method in class org.drip.execution.hjb.NonDimensionalCostSystemic
Generate a Linear Trading Systemic Non Dimensional Cost Instance
LineEvolutionVerifier - Class in org.drip.function.rdtor1descent
LineEvolutionVerifier implements the Step Length Verification Criterion used for the Inexact Line Search Increment Generation.
LineEvolutionVerifier() - Constructor for class org.drip.function.rdtor1descent.LineEvolutionVerifier
 
lineEvolutionVerifier() - Method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Line Evolution Verifier Instance
LineEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
LineEvolutionVerifierMetrics implements the Step Length Verification Criterion used for the Inexact Line Search Increment Generation.
LineEvolutionVerifierMetrics(UnitVector, double[], double, double[]) - Constructor for class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
 
LineStepEvolutionControl - Class in org.drip.function.rdtor1descent
LineStepEvolutionControl contains the Parameters required to compute the Valid a Line Step.
LineStepEvolutionControl(LineEvolutionVerifier, double, int) - Constructor for class org.drip.function.rdtor1descent.LineStepEvolutionControl
LineStepEvolutionControl Constructor
lineStepEvolutionControl() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Retrieve the Line Step Evolution Control
Linfen - Class in org.drip.sample.bondeos
Linfen demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Linfen.
Linfen() - Constructor for class org.drip.sample.bondeos.Linfen
 
Linhai - Class in org.drip.sample.bondeos
Linhai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Linhai.
Linhai() - Constructor for class org.drip.sample.bondeos.Linhai
 
Linyi - Class in org.drip.sample.bondeos
Linyi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Linyi.
Linyi() - Constructor for class org.drip.sample.bondeos.Linyi
 
LipschitzCoveringNumberBound - Class in org.drip.learning.bound
LipschitzCoveringNumberBound contains the Upper Bounds of the Covering Numbers induced by Lipschitz and approximate Lipschitz Loss Function Class.
LipschitzCoveringNumberBound(double, double) - Constructor for class org.drip.learning.bound.LipschitzCoveringNumberBound
LipschitzCoveringNumberBound Constructor
lipschitzFloor() - Method in class org.drip.learning.rxtor1.ApproximateLipschitzLossLearner
Retrieve the Lipschitz Floor
LipschitzLossLearner - Class in org.drip.learning.rxtor1
LipschitzLossLearner implements the Learner Class that holds the Space of Normed R^1 To Normed R^1 Learning Functions for the Family of Loss Functions that are Lipschitz, i.e., loss (ep) - loss (ep') Less Than C * |ep-ep'| The References are: 1) Alon, N., S.
LipschitzLossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, double) - Constructor for class org.drip.learning.rxtor1.LipschitzLossLearner
LipschitzLossLearner Constructor
lipschitzSlope() - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
Retrieve the Lipschitz Slope Bound
lipschitzSlope() - Method in class org.drip.learning.rxtor1.LpLossLearner
Retrieve the Lipschitz Slope Bound
liquidity() - Method in interface org.drip.execution.latent.MarketState
Retrieve the Realized Liquidity Market State
liquidity() - Method in class org.drip.execution.latent.MarketStateCorrelated
 
liquidity() - Method in class org.drip.execution.latent.MarketStateSystemic
 
liquidity(double) - Method in class org.drip.execution.tradingtime.CoordinatedMarketState
Retrieve the Realized Random Liquidity
liquidity(double) - Method in class org.drip.execution.tradingtime.CoordinatedVariation
Estimate the Liquidity given the Volatility
liquidityExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence
Retrieve the Liquidity Dependence Exponent
liquidityFactor() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
Retrieve the Liquidity Factor
liquidityFactor() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
Retrieve the Liquidity Factor
liquidityFunction(double) - Method in interface org.drip.execution.profiletime.BackgroundParticipationRateLinear
Compute the Liquidity Market Impact Function from the Volatility Function
liquidityFunction(double) - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
 
liquidityFunction(double) - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
 
liquidityGradient() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
Retrieve the Non Dimensional Value Liquidity Gradient
liquidityJacobian() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
Retrieve the Non Dimensional Value Liquidity Jacobian
LiquiditySettings - Class in org.drip.simm.parameters
LiquiditySettings exposes the Concentration Thresholds for each Risk Factor.
LiquiditySettings(double) - Constructor for class org.drip.simm.parameters.LiquiditySettings
 
LiquidityVaR(double) - Static method in class org.drip.execution.risk.PowerVarianceObjectiveUtility
Generate the Liquidity VaR Version of the Power Variance Utility Function
liquidityVolatilityGradient() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
Retrieve the Non Dimensional Value Liquidity/Volatility Gradient
Lishui - Class in org.drip.sample.bondeos
Lishui demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Lishui.
Lishui() - Constructor for class org.drip.sample.bondeos.Lishui
 
list() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Retrieve the List of the Interval Cost Distributions
list() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Retrieve the List of the Realized Composite Cost Increments
list() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
Retrieve the List of Objective Terms
Liuzhou - Class in org.drip.sample.bondeos
Liuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Liuzhou.
Liuzhou() - Constructor for class org.drip.sample.bondeos.Liuzhou
 
LKRHoliday - Class in org.drip.analytics.holset
 
LKRHoliday() - Constructor for class org.drip.analytics.holset.LKRHoliday
 
llv() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
Retrieve the Log-normal LIBOR Volatility Instance
LoadHolidayCalendars(String) - Static method in class org.drip.param.config.ConfigLoader
Load the map of the holiday calendars from the entries set in the XML Configuration file
LoadHolidayCalendarsFromDB(String) - Static method in class org.drip.param.config.ConfigLoader
Load the map of the holiday calendars from the database settings set in the XML Configuration file
LOCAL_SERVICES - Static variable in class org.drip.simm.credit.SectorSystemics
The Local Services Sector
LOCAL_VOLATILITY_SMOOTHING_FLOOR_BIAS - Static variable in class org.drip.exposure.regression.LocalVolatilityGenerationControl
The Local Volatility Smooth Floor Bias
LocalControlBasisSplineRegressor - Class in org.drip.regression.spline
LocalControlBasisSplineRegressor implements the local control basis spline regressor for the given basis spline.
LocalControlBasisSplineRegressor(String, String, String, FunctionSetBuilderParams, int) - Constructor for class org.drip.regression.spline.LocalControlBasisSplineRegressor
LocalControlBasisSplineRegressor constructor
LocalControlCurveParams - Class in org.drip.state.estimator
LocalControlCurveParams enhances the SmoothingCurveStretchParams to produce locally customized curve smoothing.
LocalControlCurveParams(String, String, SegmentCustomBuilderControl, int, StretchBestFitResponse, StretchBestFitResponse, boolean, boolean) - Constructor for class org.drip.state.estimator.LocalControlCurveParams
LocalControlCurveParams constructor
LocalControlStretchBuilder - Class in org.drip.spline.pchip
LocalControlStretchBuilder exports Stretch creation/calibration methods to generate customized basis splines, with customized segment behavior using the segment control.
LocalControlStretchBuilder() - Constructor for class org.drip.spline.pchip.LocalControlStretchBuilder
 
Locale - Class in org.drip.analytics.eventday
Locale contains the set of regular holidays and the weekend holidays for a location.
Locale() - Constructor for class org.drip.analytics.eventday.Locale
Construct an empty LocHolidays instance
LocalEvaluator - Interface in org.drip.measure.dynamics
LocalEvaluator exposes the Random Evolution's Local/Deterministic Evaluators.
localize(double) - Method in class org.drip.portfolioconstruction.asset.AssetBounds
Localize the Variate Value to within the Bounds
localize(double) - Method in class org.drip.spline.segment.LatentStateInelastic
Transform the Predictor Ordinate to the Local Segment Predictor Ordinate
LocalMonotoneCkGenerator - Class in org.drip.spline.pchip
LocalMonotoneCkGenerator generates customized Local Stretch by trading off Ck for local control.
LocalUniverse - Class in org.drip.portfolioconstruction.core
LocalUniverse contains all the Assets in the Local Universe.
LocalUniverse() - Constructor for class org.drip.portfolioconstruction.core.LocalUniverse
Empty LocalUniverse Constructor
localVolatility() - Method in class org.drip.exposure.regression.PykhtinPillar
Retrieve the Point Exposure Local Volatility
LocalVolatilityGenerationControl - Class in org.drip.exposure.regression
LocalVolatilityGenerationControl holds the Parameters the control the Calculation of the Local Volatility in the Pykhtin (2009) Brownian Bridge Calibration.
LocalVolatilityGenerationControl(int, double[], double[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.exposure.regression.LocalVolatilityGenerationControl
LocalVolatilityGenerationControl Constructor
localVolatilityIndexShift() - Method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
Retrieve the Local Volatility Index Shift
localVolatilityR1ToR1(LocalVolatilityGenerationControl, PykhtinPillar[]) - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
Generate a Local Volatility R^1 To R^1
localVolatilityR1ToR1(LocalVolatilityGenerationControl) - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
Generate a Local Volatility R^1 To R^1
LocalVolatilityRegressor - Class in org.drip.sample.pykhtin2009
LocalVolatilityRegressor is a Demonstration of the Exposure Regression Local Volatility Methodology of Pykhtin (2009).
LocalVolatilityRegressor() - Constructor for class org.drip.sample.pykhtin2009.LocalVolatilityRegressor
 
LocalVolatilityTermStructure - Class in org.drip.sample.option
LocalVolatilityTermStructure contains an illustration of the Calibration and Extraction of the Implied and the Local Volatility Surfaces and their eventual Strike and Maturity Anchor Term Structures.
LocalVolatilityTermStructure() - Constructor for class org.drip.sample.option.LocalVolatilityTermStructure
 
localVolatilityTrajectory() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
Retrieve the Path Sparse Vertex Local Volatility Trajectory
locate(double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
Locate the Node that contains the specified Value
LocationHoliday - Interface in org.drip.analytics.holset
LocationHoliday is an interface which is implemented by all the Location Holiday classes.
LocationHolidays(Document, String) - Static method in class org.drip.param.config.ConfigLoader
Create a LocHolidays object from the XML Document and the Location Tag
Log(int, boolean, String) - Static method in class org.drip.analytics.support.Logger
Log a specific message to the level
LOG_DIAGONAL_ENTROPY_ASYMPTOTE_EXPONENT - Static variable in class org.drip.learning.bound.DiagonalOperatorCoveringBound
Asymptote on the Log of the Diagonal Operator Entropy Number
Logarithm(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Compute Logarithm of the Complex Number
logEntropyNumberAsymptote(DiagonalScalingOperator) - Method in class org.drip.learning.svm.RdDecisionFunction
Compute the Decision Function's Asymptotic Exponent for the Entropy Number
Logger - Class in org.drip.analytics.support
The Logger class implements level-set logging, backed by either the screen or a file.
Logger() - Constructor for class org.drip.analytics.support.Logger
 
LoggerLocation(String) - Static method in class org.drip.param.config.ConfigLoader
Get the logger location from the XML Configuration file
logLowerBound(double) - Method in interface org.drip.spaces.cover.FunctionClassCoveringBounds
Log of the Lower Bound of the Function Covering Number
logLowerBound(double) - Method in class org.drip.spaces.cover.L1R1CoveringBounds
 
logLowerBound(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
 
Lognormal(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Static method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Create a Log-normal SABR Instance
LogNormal(int) - Static method in class org.drip.measure.discrete.SequenceGenerator
Generate a Sequence of Log Normal Random Numbers
logNormal() - Method in class org.drip.state.sequence.PathRd
Indicate if the Random Numbers are Gaussian/LogNormal
LognormalLIBORCurveEvolver - Class in org.drip.dynamics.lmm
LognormalLIBORCurveEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the full Curve Rates State Quantifiers traced from the Evolution of the LIBOR Forward Rate as formulated in: 1) Goldys, B., M.
LognormalLIBORCurveEvolver(FundingLabel, ForwardLabel, int, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Constructor for class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
LognormalLIBORCurveEvolver Constructor
LognormalLIBORPointEvolver - Class in org.drip.dynamics.lmm
LognormalLIBORPointEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Point Rates State Quantifiers traced from the Evolution of the LIBOR Forward Rate as formulated in: 1) Goldys, B., M.
LognormalLIBORPointEvolver(FundingLabel, ForwardLabel, LognormalLIBORVolatility, ForwardCurve, MergedDiscountForwardCurve) - Constructor for class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
LognormalLIBORPointEvolver Constructor
lognormalLIBORVolatility() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the Log-normal LIBOR Volatility Instance
lognormalLIBORVolatility() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Log-normal LIBOR Volatility
lognormalLIBORVolatility() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Log-normal LIBOR Volatility
LognormalLIBORVolatility - Class in org.drip.dynamics.lmm
LognormalLIBORVolatility implements the Multi-Factor Log-normal LIBOR Volatility as formulated in: 1) Goldys, B., M.
LognormalLIBORVolatility(int, ForwardLabel, MarketSurface[], PrincipalFactorSequenceGenerator) - Constructor for class org.drip.dynamics.lmm.LognormalLIBORVolatility
LognormalLIBORVolatility Constructor
LogNormalRandomNumberGenerator - Class in org.drip.measure.crng
LogNormalRandomNumberGenerator provides the Functionality to generate Log-normal Random Numbers.
LogNormalRandomNumberGenerator() - Constructor for class org.drip.measure.crng.LogNormalRandomNumberGenerator
Empty LogNormalRandomNumberGenerator Constructor
logUpperBound(double) - Method in interface org.drip.spaces.cover.FunctionClassCoveringBounds
Log of the Upper Bound of the Function Covering Number
logUpperBound(double) - Method in class org.drip.spaces.cover.L1R1CoveringBounds
 
logUpperBound(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
 
LONG_STUB - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Period Set Generation Customization - Long Stub (if present) belongs to the front/back end depending upon backwards/forwards generation scheme
LongestCommonSubsequence - Class in org.drip.sequence.custom
LongestCommonSubsequence contains Variance Bounds on the Critical Measures of the Longest Common Subsequence between two Strings.
LongestCommonSubsequence() - Constructor for class org.drip.sequence.custom.LongestCommonSubsequence
 
LongestCommonSubsequenceBound - Class in org.drip.sample.efronstein
LongestCommonSubsequenceBound demonstrates the Computation of the Probabilistic Bounds for the Longest Common Subsequence across each half over the Random Sequence Values using Variants of the Efron-Stein Methodology.
LongestCommonSubsequenceBound() - Constructor for class org.drip.sample.efronstein.LongestCommonSubsequenceBound
 
longestMaturity() - Method in class org.drip.market.definition.IBORIndex
Retrieve the Longest Maturity
LongFixedAggressiveTimeline - Class in org.drip.sample.mporstream
LongFixedAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
LongFixedAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedAggressiveTimeline
 
LongFixedClassicalMinusTimeline - Class in org.drip.sample.mporstream
LongFixedClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
LongFixedClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedClassicalMinusTimeline
 
LongFixedClassicalPlusTimeline - Class in org.drip.sample.mporstream
LongFixedClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
LongFixedClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedClassicalPlusTimeline
 
LongFixedConservativeTimeline - Class in org.drip.sample.mporstream
LongFixedConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
LongFixedConservativeTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedConservativeTimeline
 
LongFloatAggressiveTimeline - Class in org.drip.sample.mporstream
LongFloatAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
LongFloatAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatAggressiveTimeline
 
LongFloatClassicalMinusTimeline - Class in org.drip.sample.mporstream
LongFloatClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
LongFloatClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatClassicalMinusTimeline
 
LongFloatClassicalPlusTimeline - Class in org.drip.sample.mporstream
LongFloatClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
LongFloatClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatClassicalPlusTimeline
 
LongFloatConservativeTimeline - Class in org.drip.sample.mporstream
LongFloatConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
LongFloatConservativeTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatConservativeTimeline
 
LongOnlyMarkovitzBullet - Class in org.drip.sample.efficientfrontier
LongOnlyMarkovitzBullet demonstrates the Construction of the Efficient Frontier using the Constrained Mean Variance Optimizer for a Long-Only Portfolio.
LongOnlyMarkovitzBullet() - Constructor for class org.drip.sample.efficientfrontier.LongOnlyMarkovitzBullet
 
longOnlyMaximumReturns() - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
Retrieve the Long Only Maximum Returns Portfolio Metrics
longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
 
longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
Allocate the Long-Only Maximum Returns Portfolio
longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
 
LongTenorSwap - Class in org.drip.sample.fixfloat
LongTenorSwap demonstrates the Construction and Valuation of In-Advance and In-Arrears Long Tenor Swap.
LongTenorSwap() - Constructor for class org.drip.sample.fixfloat.LongTenorSwap
 
longTermTaxGain(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
Compute the Long Term Tax Gain
longTermTaxRate() - Method in class org.drip.portfolioconstruction.core.TaxAccountingScheme
Retrieve the Long Term Tax Rate
LongTiltTerm - Class in org.drip.portfolioconstruction.objective
LongTiltTerm holds the Details of Long Tilt Unit Objective Term.
LongTiltTerm(String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.LongTiltTerm
LongTiltTerm Constructor
Loni - Class in org.drip.sample.bondmetrics
Loni demonstrates the Analytics Calculation/Reconciliation for the Bond Loni.
Loni() - Constructor for class org.drip.sample.bondmetrics.Loni
 
loss(double) - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
Compute the Loss for the specified Variate
lossExpectationUpperBound(int) - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
Compute the Expected Loss Upper Bound between the Sample and the Population for the specified Sample Size
lossExponent() - Method in class org.drip.learning.rxtor1.LpLossLearner
Retrieve the Loss Exponent
lossFlow(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
lossFlow(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.CDSComponent
 
lossFlow(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.CreditComponent
Generate the loss flow for the credit component based on the pricer parameters
lossFlow(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.CreditComponent
Generate the loss flow for the credit component based on the pricer parameters
lossFlowFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
lossFlowFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Get the bond's loss flow from price
lossMetrics(CreditComponent, ValuationParams, CreditPricerParams, int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Create a List of Loss Period Measures
lossOnInstantaneousDefault() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Loss On Instantaneous Default
lossPayLag() - Method in class org.drip.product.params.CreditSetting
Retrieve the Loss Pay-out Lag
lossPV() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Loss PV
LossQuadratureGenerator - Class in org.drip.analytics.support
LossQuadratureGenerator generates the decomposed Integrand Quadrature for the Loss Steps.
LossQuadratureGenerator() - Constructor for class org.drip.analytics.support.LossQuadratureGenerator
 
LossQuadratureMetrics - Class in org.drip.analytics.cashflow
LossPeriodCurveFactors is an Implementation of the Period Class enhanced by the Loss Period Measures.
LossQuadratureMetrics(int, int, double, double, double, double, double, double) - Constructor for class org.drip.analytics.cashflow.LossQuadratureMetrics
LossPeriodCurveFactors Constructor
lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.ApproximateLipschitzLossLearner
 
lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Retrieve the Loss Class Sample Covering Number - L-Infinity or L-p based Based
lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.L1LossLearner
 
lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
 
lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.LpLossLearner
 
lower() - Method in class org.drip.portfolioconstruction.asset.AssetBounds
Retrieve the Lower Bound
lower() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
Retrieve the Lower Probability Bound
LOWER_AND_UPPER_TRIANGULAR - Static variable in class org.drip.quant.linearalgebra.Matrix
Lower+Upper Triangular Matrix
LOWER_TRIANGULAR - Static variable in class org.drip.quant.linearalgebra.Matrix
Lower Triangular Matrix
lowerBound(String) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
Retrieve the Lower Bound for the Specified Asset ID
lowerBound() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintRealization
Retrieve the Lower Bound
lowerBound() - Method in class org.drip.sequence.random.Bounded
Retrieve the Lower Bound
LowUrgencyTrajectoryComparison - Class in org.drip.sample.almgren2009
LowUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2012) Scheme against the Low Urgency Asymptote Version.
LowUrgencyTrajectoryComparison() - Constructor for class org.drip.sample.almgren2009.LowUrgencyTrajectoryComparison
 
LowVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Low Volatility Currency Set
LowVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Low Volatility Currency Set
LpLossLearner - Class in org.drip.learning.rxtor1
LpLossLearner implements the Learner Class that holds the Space of Normed R^x To Normed R^1 Learning Functions for the Family of Loss Functions that are Polynomial, i.e., loss (eta) = (eta ^ p) / p, for p greater than 1.
LpLossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, double) - Constructor for class org.drip.learning.rxtor1.LpLossLearner
LpLossLearner Constructor
lpUpperBound() - Method in class org.drip.learning.bound.LipschitzCoveringNumberBound
Retrieve the Lp-based Covering Number Upper Bound
LSQMCurveIncrement - Class in org.drip.dynamics.evolution
LSQMCurveIncrement contains the Increment of the Evolving Term Structure of the Latent State Quantification Metrics.
LSQMCurveIncrement() - Constructor for class org.drip.dynamics.evolution.LSQMCurveIncrement
Empty LSQMCurveIncrement Constructor
LSQMCurveSnapshot - Class in org.drip.dynamics.evolution
LSQMCurveSnapshot contains the Snapshot of the Evolving Term Structure of the Latent State Quantification Metrics.
LSQMCurveSnapshot() - Constructor for class org.drip.dynamics.evolution.LSQMCurveSnapshot
Empty LSQMCurveSnapshot Constructor
LSQMCurveUpdate - Class in org.drip.dynamics.evolution
LSQMCurveUpdate contains the Snapshot and the Increment of the Evolving Curve Latent State Quantification Metrics.
LSQMCurveUpdate(int, int, LSQMCurveSnapshot, LSQMCurveIncrement) - Constructor for class org.drip.dynamics.evolution.LSQMCurveUpdate
LSQMCurveUpdate Constructor
LSQMPointRecord - Class in org.drip.dynamics.evolution
LSQMPointRecord contains the Record of the Evolving Point Latent State Quantification Metrics.
LSQMPointRecord() - Constructor for class org.drip.dynamics.evolution.LSQMPointRecord
Empty LSQMPointRecord Constructor
LSQMPointUpdate - Class in org.drip.dynamics.evolution
LSQMPointUpdate contains the Snapshot and the Increment of the Evolving Point Latent State Quantification Metrics.
LSQMPointUpdate(int, int, int, LSQMPointRecord, LSQMPointRecord) - Constructor for class org.drip.dynamics.evolution.LSQMPointUpdate
LSQMPointUpdate Constructor
lss() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Array of Latent State Specification
LT_80PC_OVERLAP_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation20
Correlation between Sensitivities having Overlap of Less Than 80% Names Non-Residual Same Bucket
LT_80PC_OVERLAP_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation21
Correlation between Sensitivities having Overlap of Less Than 80% Names Non-Residual Same Bucket
LT_80PC_OVERLAP_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation20
Correlation between Sensitivities having Overlap of Less Than 80% Names Residual
LT_80PC_OVERLAP_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation21
Correlation between Sensitivities having Overlap of Less Than 80% Names Residual
ltds() - Method in class org.drip.market.exchange.DeliverableSwapFutures
Retrieve the Last Trading Date Setting
ltds() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
Retrieve the Array of Last Trading Date Settings
ltdsArray(String) - Method in class org.drip.market.exchange.FuturesOptions
Retrieve the LTDS Array corresponding to the Exchange
LTLHoliday - Class in org.drip.analytics.holset
 
LTLHoliday() - Constructor for class org.drip.analytics.holset.LTLHoliday
 
Luan - Class in org.drip.sample.bondeos
Luan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Luan.
Luan() - Constructor for class org.drip.sample.bondeos.Luan
 
Lucknow - Class in org.drip.sample.bondmetrics
Lucknow generates the Full Suite of Replication Metrics for Bond Lucknow.
Lucknow() - Constructor for class org.drip.sample.bondmetrics.Lucknow
 
Ludhiana - Class in org.drip.sample.bondmetrics
Ludhiana generates the Full Suite of Replication Metrics for Bond Ludhiana.
Ludhiana() - Constructor for class org.drip.sample.bondmetrics.Ludhiana
 
LUFHoliday - Class in org.drip.analytics.holset
 
LUFHoliday() - Constructor for class org.drip.analytics.holset.LUFHoliday
 
lugosiVarianceBound(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
Compute the Lugosi Data-Dependent Variance Bound from the Sample and the Classifier Class Asymptotic Behavior.
lugosiVarianceBound(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
Compute the Lugosi Data-Dependent Variance Bound from the Sample and the Classifier Class Asymptotic Behavior.
Luoyang - Class in org.drip.sample.bondeos
Luoyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Luoyang.
Luoyang() - Constructor for class org.drip.sample.bondeos.Luoyang
 
LUXHoliday - Class in org.drip.analytics.holset
 
LUXHoliday() - Constructor for class org.drip.analytics.holset.LUXHoliday
 
LVLHoliday - Class in org.drip.analytics.holset
 
LVLHoliday() - Constructor for class org.drip.analytics.holset.LVLHoliday
 

M

m() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
Retrieve M
m1() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve M1
m2() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve M2
Maanshan - Class in org.drip.sample.bondeos
Maanshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Maanshan.
Maanshan() - Constructor for class org.drip.sample.bondeos.Maanshan
 
macaulayDuration() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Macaulay Duration
macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from ASW to Work-out
macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from ASW to Maturity
macaulayDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from ASW to Optimal Exercise
macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Bond Basis to Work-out
macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Bond Basis to Maturity
macaulayDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Bond Basis to Optimal Exercise
macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Credit Basis to Work-out
macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Credit Basis to Maturity
macaulayDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Credit Basis to Optimal Exercise
macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Discount Margin to Work-out
macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Discount Margin to Maturity
macaulayDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Discount Margin to Optimal Exercise
macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from E Spread to Work-out
macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from E Spread to Maturity
macaulayDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from E Spread to Optimal Exercise
macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from G Spread to Work-out
macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from G Spread to Maturity
macaulayDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from G Spread to Optimal Exercise
macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from I Spread to Work-out
macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from I Spread to Maturity
macaulayDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from I Spread to Optimal Exercise
macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from J Spread to Work-out
macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from J Spread to Maturity
macaulayDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from J Spread to Optimal Exercise
macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from N Spread to Work-out
macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from N Spread to Maturity
macaulayDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from N Spread to Optimal Exercise
macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from OAS to Work-out
macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from OAS to Maturity
macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from PECS to Work-out
macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from PECS to Maturity
macaulayDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from PECS to Optimal Exercise
macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Price to Work-out
macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Price to Maturity
macaulayDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Price to Optimal Exercise
macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from TSY Spread to Work-out
macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from TSY Spread to Maturity
macaulayDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from TSY Spread to Optimal Exercise
macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Yield to Work-out
macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Yield to Maturity
macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Yield Spread to Work-out
macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Yield Spread to Maturity
macaulayDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Yield Spread to Optimal Exercise
macaulayDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Yield to Optimal Exercise
macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Z Spread to Work-out
macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Z Spread to Maturity
macaulayDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
macaulayDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from Z Spread to Optimal Exercise
Madurai - Class in org.drip.sample.bondmetrics
Madurai generates the Full Suite of Replication Metrics for Bond Madurai.
Madurai() - Constructor for class org.drip.sample.bondmetrics.Madurai
 
magnitude() - Method in class org.drip.function.definition.SizedVector
Retrieve the Vector Magnitude
magnitude() - Method in class org.drip.measure.dynamics.HazardJumpEvaluator
Retrieve the Magnitude
magnitude() - Method in class org.drip.portfolioconstruction.objective.TiltTerm
Retrieve the Array of Tilt Magnitudes
magnitudeEvaluator() - Method in class org.drip.measure.dynamics.SingleJumpEvaluator
Retrieve the Jump Magnitude Evaluator
Maheshtala - Class in org.drip.sample.cma
Maheshtala demonstrates Pricing and Relative Value Measure Generation Functionality for the Sinker Maheshtala.
Maheshtala() - Constructor for class org.drip.sample.cma.Maheshtala
 
main(String[]) - Static method in class org.drip.feed.loader.CDXRefData
 
main(String[]) - Static method in class org.drip.function.r1tor1.BernsteinPolynomial
 
main(String[]) - Static method in class org.drip.function.r1tor1.ExponentialTension
 
main(String[]) - Static method in class org.drip.function.r1tor1.HyperbolicTension
 
main(String[]) - Static method in class org.drip.function.r1tor1.LinearRationalTensionExponential
 
main(String[]) - Static method in class org.drip.function.r1tor1.Polynomial
 
main(String[]) - Static method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
 
main(String[]) - Static method in class org.drip.function.r1tor1.UnivariateReciprocal
 
main(String[]) - Static method in class org.drip.function.r1tor1.UnivariateReflection
 
main(String[]) - Static method in class org.drip.param.config.ConfigLoader
 
main(String[]) - Static method in class org.drip.regression.curve.CreditAnalyticsRegressionEngine
 
main(String[]) - Static method in class org.drip.regression.curvejacobian.CurveJacobianRegressionEngine
 
main(String[]) - Static method in class org.drip.regression.fixedpointfinder.FixedPointFinderRegressionEngine
 
main(String[]) - Static method in class org.drip.regression.spline.BasisSplineRegressionEngine
 
main(String[]) - Static method in class org.drip.sample.agency.FixedBullet1
 
main(String[]) - Static method in class org.drip.sample.agency.FixedBullet2
 
main(String[]) - Static method in class org.drip.sample.algo.C1ArrayTranslateShuffle
 
main(String[]) - Static method in class org.drip.sample.algo.R1ArrayInSituSort
 
main(String[]) - Static method in class org.drip.sample.algo.R2ArrayPathwiseProcessing
 
main(String[]) - Static method in class org.drip.sample.algo.SubMatrixSetExtraction
 
main(String[]) - Static method in class org.drip.sample.algo.SubStringSetExtraction
 
main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityCliffDependence
 
main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityConsumptionDependence
 
main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityDiscountDependence
 
main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityStreamEstimator
 
main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityTaxYieldDependence
 
main(String[]) - Static method in class org.drip.sample.almgren2003.ConstantLiquidityVolatility
 
main(String[]) - Static method in class org.drip.sample.almgren2003.ConstantTradingEnhancedVolatility
 
main(String[]) - Static method in class org.drip.sample.almgren2003.ContinuousTrajectoryConcaveImpact
 
main(String[]) - Static method in class org.drip.sample.almgren2003.ContinuousTrajectoryConvexImpact
 
main(String[]) - Static method in class org.drip.sample.almgren2003.ContinuousTrajectoryLinearImpact
 
main(String[]) - Static method in class org.drip.sample.almgren2003.LinearLiquidityVolatility
 
main(String[]) - Static method in class org.drip.sample.almgren2003.PowerLawOptimalTrajectory
 
main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalCostTrajectory
 
main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalHJBTrajectory
 
main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalRollingHorizonTrajectory
 
main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalStaticTrajectory
 
main(String[]) - Static method in class org.drip.sample.almgren2009.CoordinatedMarketStateTrajectory
 
main(String[]) - Static method in class org.drip.sample.almgren2009.EnhancedEulerScheme
 
main(String[]) - Static method in class org.drip.sample.almgren2009.HighUrgencyTrajectoryComparison
 
main(String[]) - Static method in class org.drip.sample.almgren2009.LowUrgencyTrajectoryComparison
 
main(String[]) - Static method in class org.drip.sample.almgren2009.StaticContinuousOptimalTrajectory
 
main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveStaticInitialHoldings
 
main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveStaticInitialTradeRate
 
main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveZeroInitialHoldings
 
main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveZeroInitialTradeRate
 
main(String[]) - Static method in class org.drip.sample.almgren2012.RollingHorizonOptimalHoldings
 
main(String[]) - Static method in class org.drip.sample.almgren2012.RollingHorizonOptimalTradeRate
 
main(String[]) - Static method in class org.drip.sample.almgren2012.StaticOptimalTrajectoryHoldings
 
main(String[]) - Static method in class org.drip.sample.almgren2012.StaticOptimalTrajectoryTradeRate
 
main(String[]) - Static method in class org.drip.sample.almgrenchriss.EfficientFrontierNoDrift
 
main(String[]) - Static method in class org.drip.sample.almgrenchriss.EfficientFrontierWithDrift
 
main(String[]) - Static method in class org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact
 
main(String[]) - Static method in class org.drip.sample.almgrenchriss.OptimalTrajectoryNoDrift
 
main(String[]) - Static method in class org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift
 
main(String[]) - Static method in class org.drip.sample.almgrenchriss.TrajectoryComparisonNoDrift
 
main(String[]) - Static method in class org.drip.sample.almgrenchriss.TrajectoryComparisonWithDrift
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.EnsembleTradeFlowAdjustment
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.EnsembleVariationMarginEstimate
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatAggressiveLong
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatAggressiveShort
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalMinusLong
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalMinusShort
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalPlusLong
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalPlusShort
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatConservativeLong
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatConservativeShort
 
main(String[]) - Static method in class org.drip.sample.andersen2017vm.PathTradeFlowAdjustment
 
main(String[]) - Static method in class org.drip.sample.assetallocation.BudgetConstrainedVarianceMinimizer
 
main(String[]) - Static method in class org.drip.sample.assetallocation.DualConstrainedVariateConvergence
 
main(String[]) - Static method in class org.drip.sample.assetallocation.ReturnsConstrainedVarianceMinimizer
 
main(String[]) - Static method in class org.drip.sample.assetallocation.RiskTolerantVarianceMinimizer
 
main(String[]) - Static method in class org.drip.sample.assetallocation.VanillaVarianceMinimizer
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler01
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler02
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler03
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler04
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler05
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler06
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler07
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler08
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler09
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler10
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler1
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler2
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler3
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler4
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler5
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler6
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler7
 
main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler8
 
main(String[]) - Static method in class org.drip.sample.assetbacked.ConstantPaymentBond
 
main(String[]) - Static method in class org.drip.sample.assetbacked.PrepayableConstantPaymentBond
 
main(String[]) - Static method in class org.drip.sample.athl.EquityMarketImpactDRI
 
main(String[]) - Static method in class org.drip.sample.athl.EquityMarketImpactIBM
 
main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryDRI
 
main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryIBM
 
main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryTradeAnalysis
 
main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryVolatilityAnalysis
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005a
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005b
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005c
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005d
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005e
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.IdzorekAndrogue2003
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.OToole2013
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.Soontornkit2010
 
main(String[]) - Static method in class org.drip.sample.blacklitterman.Yamabe2016
 
main(String[]) - Static method in class org.drip.sample.bloomberg.CDSO
 
main(String[]) - Static method in class org.drip.sample.bloomberg.CDSW
 
main(String[]) - Static method in class org.drip.sample.bloomberg.SWPM
 
main(String[]) - Static method in class org.drip.sample.bloomberg.SWPM_NEW
 
main(String[]) - Static method in class org.drip.sample.bloomberg.SWPMOIS
 
main(String[]) - Static method in class org.drip.sample.bloomberg.YAS
 
main(String[]) - Static method in class org.drip.sample.bond.BasketAggregateMeasuresGeneration
 
main(String[]) - Static method in class org.drip.sample.bond.CoreCashFlowMeasures
 
main(String[]) - Static method in class org.drip.sample.bond.CorporateIssueMetrics
 
main(String[]) - Static method in class org.drip.sample.bond.MultiCallExerciseMetrics
 
main(String[]) - Static method in class org.drip.sample.bond.MultiCallMonteCarlo
 
main(String[]) - Static method in class org.drip.sample.bond.RegressionSplineCashCurve
 
main(String[]) - Static method in class org.drip.sample.bond.RelativeValueMeasuresGeneration
 
main(String[]) - Static method in class org.drip.sample.bondapi.FixedCoupon
 
main(String[]) - Static method in class org.drip.sample.bondapi.FixedCouponKeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.bondapi.FixedCouponRVMeasures
 
main(String[]) - Static method in class org.drip.sample.bondeos.Agra
 
main(String[]) - Static method in class org.drip.sample.bondeos.Aksu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Allahabad
 
main(String[]) - Static method in class org.drip.sample.bondeos.Altay
 
main(String[]) - Static method in class org.drip.sample.bondeos.Amritsar
 
main(String[]) - Static method in class org.drip.sample.bondeos.Anqing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Anshan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Anyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Aurangabad
 
main(String[]) - Static method in class org.drip.sample.bondeos.Baoding
 
main(String[]) - Static method in class org.drip.sample.bondeos.Baoji
 
main(String[]) - Static method in class org.drip.sample.bondeos.Baotou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Bazhong
 
main(String[]) - Static method in class org.drip.sample.bondeos.Beihai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Beijing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Bengbu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Benxi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Bhopal
 
main(String[]) - Static method in class org.drip.sample.bondeos.Binzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Bozhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Canhzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Chandigarh
 
main(String[]) - Static method in class org.drip.sample.bondeos.Changchun
 
main(String[]) - Static method in class org.drip.sample.bondeos.Changde
 
main(String[]) - Static method in class org.drip.sample.bondeos.Changsha
 
main(String[]) - Static method in class org.drip.sample.bondeos.Changshu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Changzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Chaozhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Chengdu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Chifeng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Chongqing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Chuzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Cixi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dalian
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dandong
 
main(String[]) - Static method in class org.drip.sample.bondeos.Danyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Daqing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Datong
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dengzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dezhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dhanbad
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dingzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dongguan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Dongying
 
main(String[]) - Static method in class org.drip.sample.bondeos.Ezhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Faridabad
 
main(String[]) - Static method in class org.drip.sample.bondeos.Feicheng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Foshan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Fuqing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Fushun
 
main(String[]) - Static method in class org.drip.sample.bondeos.Fuxin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Fuyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Fuzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Ganzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Ghaziabad
 
main(String[]) - Static method in class org.drip.sample.bondeos.Giulin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Guangzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Guigang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Guiyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Guwahati
 
main(String[]) - Static method in class org.drip.sample.bondeos.Gwalior
 
main(String[]) - Static method in class org.drip.sample.bondeos.Haicheng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Haikou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Haimen
 
main(String[]) - Static method in class org.drip.sample.bondeos.Handan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Harbin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Hefei
 
main(String[]) - Static method in class org.drip.sample.bondeos.Hegang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Hengyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Heze
 
main(String[]) - Static method in class org.drip.sample.bondeos.Hezhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Hohhot
 
main(String[]) - Static method in class org.drip.sample.bondeos.Hongzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Howrah
 
main(String[]) - Static method in class org.drip.sample.bondeos.Huaian
 
main(String[]) - Static method in class org.drip.sample.bondeos.Huaibei
 
main(String[]) - Static method in class org.drip.sample.bondeos.Huainan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Huangshi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Huazhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Huizhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Huludao
 
main(String[]) - Static method in class org.drip.sample.bondeos.Indore
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jabalpur
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jamshedpur
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jiamusi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jiangmen
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jiangyin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jiaozuo
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jiaxing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jilin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jinan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jingjiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jingzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jinhua
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jining
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jinzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Jiujiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.KalyanDombivli
 
main(String[]) - Static method in class org.drip.sample.bondeos.Kanpur
 
main(String[]) - Static method in class org.drip.sample.bondeos.Karamay
 
main(String[]) - Static method in class org.drip.sample.bondeos.Kashgar
 
main(String[]) - Static method in class org.drip.sample.bondeos.Keifeng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Kota
 
main(String[]) - Static method in class org.drip.sample.bondeos.Kunming
 
main(String[]) - Static method in class org.drip.sample.bondeos.Laiwu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Langfeng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Lanzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Lhasa
 
main(String[]) - Static method in class org.drip.sample.bondeos.Lianyungang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Liaocheng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Liaoyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Lijiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Linfen
 
main(String[]) - Static method in class org.drip.sample.bondeos.Linhai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Linyi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Lishui
 
main(String[]) - Static method in class org.drip.sample.bondeos.Liuzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Luan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Luoyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Maanshan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Maoming
 
main(String[]) - Static method in class org.drip.sample.bondeos.Mianyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Mudanjiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nanchang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nanchong
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nanjing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nanning
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nanping
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nantong
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nanyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Nashik
 
main(String[]) - Static method in class org.drip.sample.bondeos.NaviMumbai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Neijiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Ningbo
 
main(String[]) - Static method in class org.drip.sample.bondeos.Panjin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Panzhihua
 
main(String[]) - Static method in class org.drip.sample.bondeos.Patna
 
main(String[]) - Static method in class org.drip.sample.bondeos.PimpriChinchwad
 
main(String[]) - Static method in class org.drip.sample.bondeos.Pingdingshan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Pizhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Putian
 
main(String[]) - Static method in class org.drip.sample.bondeos.Puyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Qidong
 
main(String[]) - Static method in class org.drip.sample.bondeos.Qingdao
 
main(String[]) - Static method in class org.drip.sample.bondeos.Qinghuangdao
 
main(String[]) - Static method in class org.drip.sample.bondeos.Qiqihar
 
main(String[]) - Static method in class org.drip.sample.bondeos.Quanzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Qujing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Raipur
 
main(String[]) - Static method in class org.drip.sample.bondeos.Ranchi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Rizhao
 
main(String[]) - Static method in class org.drip.sample.bondeos.Rugao
 
main(String[]) - Static method in class org.drip.sample.bondeos.Shanghai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Shantou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Shaoxing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Shaoyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Shenyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Shenzhen
 
main(String[]) - Static method in class org.drip.sample.bondeos.ShijiaZhuang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Shouguang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Solapur
 
main(String[]) - Static method in class org.drip.sample.bondeos.Srinagar
 
main(String[]) - Static method in class org.drip.sample.bondeos.Suihua
 
main(String[]) - Static method in class org.drip.sample.bondeos.Surat
 
main(String[]) - Static method in class org.drip.sample.bondeos.Suzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Taian
 
main(String[]) - Static method in class org.drip.sample.bondeos.Taixing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Taiyuan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Taizhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Tangshan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Tanjin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Tengzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Tianshui
 
main(String[]) - Static method in class org.drip.sample.bondeos.Tieling
 
main(String[]) - Static method in class org.drip.sample.bondeos.Urumqi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Vadodra
 
main(String[]) - Static method in class org.drip.sample.bondeos.Varanasi
 
main(String[]) - Static method in class org.drip.sample.bondeos.VasaiVirar
 
main(String[]) - Static method in class org.drip.sample.bondeos.Vijayawada
 
main(String[]) - Static method in class org.drip.sample.bondeos.Visakhapatnam
 
main(String[]) - Static method in class org.drip.sample.bondeos.Weifang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Weihai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Wenling
 
main(String[]) - Static method in class org.drip.sample.bondeos.Wenzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Wuchuan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Wuhan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Wuhu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Wuwei
 
main(String[]) - Static method in class org.drip.sample.bondeos.Wuxi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xiamen
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xian
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xiangcheng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xiangtan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xiangyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xianyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xingtai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xining
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xinxiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xinyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xinyi
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xuchang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Xuzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yancheng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yangjiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yangzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yantai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yibin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yichang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yinchuan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yingkou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yiwu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yixing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yueyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yulin
 
main(String[]) - Static method in class org.drip.sample.bondeos.Yuzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zaoyang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zaozhuang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhangjiagang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhangqiu
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhangzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhanjiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhaoqing
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhengzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhenjiang
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhongshan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhoukou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhoushan
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhucheng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhuhai
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhuji
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zhuzhou
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zibo
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zigong
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zoucheng
 
main(String[]) - Static method in class org.drip.sample.bondeos.Zunyi
 
main(String[]) - Static method in class org.drip.sample.bondfixed.Bareilly
 
main(String[]) - Static method in class org.drip.sample.bondfixed.BulletAgency
 
main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate1
 
main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate2
 
main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate3
 
main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate4
 
main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate5
 
main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate6
 
main(String[]) - Static method in class org.drip.sample.bondfixed.HubbaliDharwad
 
main(String[]) - Static method in class org.drip.sample.bondfixed.Moradabad
 
main(String[]) - Static method in class org.drip.sample.bondfixed.Mysore
 
main(String[]) - Static method in class org.drip.sample.bondfixed.Tiruchirapalli
 
main(String[]) - Static method in class org.drip.sample.bondfixed.Tiruppur
 
main(String[]) - Static method in class org.drip.sample.bondfloat.BulletLIBORCorporate
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Agartala
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Ahmedabad
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Aizawl
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Ajmer
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Akola
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Ambattur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Asansol
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Bally
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Belgaum
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Bellary
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Bengaluru
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Bhagalpur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Bhatpara
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Bhilai
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Bokaro
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Chennai
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Coimbatore
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Darbhanga
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Delhi
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Dewas
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Dumdum
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Durgapur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Erode
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Gaya
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Goa
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Gopalpur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Gulbarga
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Hyderabad
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Jaipur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Jalgaon
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Jammu
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Jamnagar
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Jhansi
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Jullundar
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Kochi
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Kolhapur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Kolkata
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Kottayam
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Latur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Loni
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Lucknow
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Ludhiana
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Madurai
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Malegaon
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Mangalore
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Mumbai
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Muzaffarnagar
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Muzaffarpur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Nanded
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Noida
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Panihati
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Panipat
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Parbhani
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Patiala
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Puducherry
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Pune
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Rajahmundry
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Rajkot
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.RajpurSonarpur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Call
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Fixed
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Float
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Sink
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Rourkela
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.SangliMirajKhupwad
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Siliguri
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Thane
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Thiruvananthapuram
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Tirunelveli
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Tumkur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Udaipur
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Ujjain
 
main(String[]) - Static method in class org.drip.sample.bondmetrics.Ulhasnagar
 
main(String[]) - Static method in class org.drip.sample.bondsink.Aligarh
 
main(String[]) - Static method in class org.drip.sample.bondsink.Amaravati
 
main(String[]) - Static method in class org.drip.sample.bondsink.Bhavnagar
 
main(String[]) - Static method in class org.drip.sample.bondsink.Bhiwandi
 
main(String[]) - Static method in class org.drip.sample.bondsink.Bhubaneswar
 
main(String[]) - Static method in class org.drip.sample.bondsink.Bikaner
 
main(String[]) - Static method in class org.drip.sample.bondsink.Cuttack
 
main(String[]) - Static method in class org.drip.sample.bondsink.Dehradun
 
main(String[]) - Static method in class org.drip.sample.bondsink.Firozabad
 
main(String[]) - Static method in class org.drip.sample.bondsink.Gorakhpur
 
main(String[]) - Static method in class org.drip.sample.bondsink.Guntur
 
main(String[]) - Static method in class org.drip.sample.bondsink.Ichalkaranji
 
main(String[]) - Static method in class org.drip.sample.bondsink.MiraBhayander
 
main(String[]) - Static method in class org.drip.sample.bondsink.Nellore
 
main(String[]) - Static method in class org.drip.sample.bondsink.Saharanpur
 
main(String[]) - Static method in class org.drip.sample.bondsink.Salem
 
main(String[]) - Static method in class org.drip.sample.bondsink.Warangal
 
main(String[]) - Static method in class org.drip.sample.bondswap.BiharSharif
 
main(String[]) - Static method in class org.drip.sample.bondswap.Khammam
 
main(String[]) - Static method in class org.drip.sample.bondswap.Ozhukarai
 
main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAAttribution
 
main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAExplain
 
main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAGreeks
 
main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAReplicationPortfolio
 
main(String[]) - Static method in class org.drip.sample.burgard2011.XVAExplain
 
main(String[]) - Static method in class org.drip.sample.burgard2011.XVAGreeks
 
main(String[]) - Static method in class org.drip.sample.burgard2011.XVAMarketGeneration
 
main(String[]) - Static method in class org.drip.sample.burgard2011.XVAReplicationPortfolio
 
main(String[]) - Static method in class org.drip.sample.burgard2012.CounterPartyHazardHigh
 
main(String[]) - Static method in class org.drip.sample.burgard2012.CounterPartyHazardLow
 
main(String[]) - Static method in class org.drip.sample.burgard2012.CounterPartyHazardMedium
 
main(String[]) - Static method in class org.drip.sample.burgard2012.EulerTrajectoryEvolutionScheme
 
main(String[]) - Static method in class org.drip.sample.burgard2012.FixFloatVABank
 
main(String[]) - Static method in class org.drip.sample.burgard2012.FixFloatVACounterParty
 
main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSACollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSACollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationCollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationCollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffCollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffCollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffUncollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffUncollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffZeroThresholdFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffZeroThresholdFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSACollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSACollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAUncollateralizedFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAUncollateralizedFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAZeroThresholdFunding
 
main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAZeroThresholdFundingStochastic
 
main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapFloor
 
main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapFloorAnalysis
 
main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapModels
 
main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapMonteCarlo
 
main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapSequence
 
main(String[]) - Static method in class org.drip.sample.cashflow.AmortizingBondPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.DepositPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.EOSBondPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FixedCouponBondPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInAdvanceIMMPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInAdvancePeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInArrearsIMMPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInArrearsPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FloatingCouponBondPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.ForwardRateFuturePeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FRAMarketPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.FRAStandardPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.InAdvanceLongTenorPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.InAdvanceShortTenorPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.InArrearsLongTenorPeriods
 
main(String[]) - Static method in class org.drip.sample.cashflow.InArrearsShortTenorPeriods
 
main(String[]) - Static method in class org.drip.sample.classifier.BinaryClassifierSupremumBound
 
main(String[]) - Static method in class org.drip.sample.cma.LatamCorp
 
main(String[]) - Static method in class org.drip.sample.cma.Maheshtala
 
main(String[]) - Static method in class org.drip.sample.cms.FixFloatMetricComparison
 
main(String[]) - Static method in class org.drip.sample.cms.FixFloatVarianceAnalysis
 
main(String[]) - Static method in class org.drip.sample.cms.FloatFloatMetricComparison
 
main(String[]) - Static method in class org.drip.sample.cms.FloatFloatVarianceAnalysis
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet1
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet2
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet3
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet4
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet5
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet6
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet7
 
main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet8
 
main(String[]) - Static method in class org.drip.sample.corporate.NonFixedBullet
 
main(String[]) - Static method in class org.drip.sample.coveringnumber.BoundedFunction
 
main(String[]) - Static method in class org.drip.sample.coveringnumber.ScaleSensitiveFunction
 
main(String[]) - Static method in class org.drip.sample.credit.BuiltInCDSPortfolioDefinitions
 
main(String[]) - Static method in class org.drip.sample.credit.CDSBasketMeasures
 
main(String[]) - Static method in class org.drip.sample.credit.CDSCashFlowMeasures
 
main(String[]) - Static method in class org.drip.sample.credit.CDSValuationMetrics
 
main(String[]) - Static method in class org.drip.sample.credit.CreditIndexDefinitions
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS155YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS165YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS175YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS185YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS195YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS205YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS215YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS225YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS235YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS245YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS255YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS265YReconstitutor
 
main(String[]) - Static method in class org.drip.sample.creditfeed.USDCreditFixingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS155YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS165YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS175YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS185YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS195YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS205YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS215YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS225YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS235YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS245YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS255YMetrics
 
main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS265YMetrics
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS155YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS165YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS175YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS185YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS195YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS205YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS215YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS225YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS235YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS245YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS255YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS265YAttribution
 
main(String[]) - Static method in class org.drip.sample.creditoption.CDSPayerReceiver
 
main(String[]) - Static method in class org.drip.sample.creditoption.CDSPayerReceiverAnalysis
 
main(String[]) - Static method in class org.drip.sample.cross.CrossFixedPlainFloat
 
main(String[]) - Static method in class org.drip.sample.cross.CrossFixedPlainFloatAnalysis
 
main(String[]) - Static method in class org.drip.sample.cross.CrossFloatCrossFloat
 
main(String[]) - Static method in class org.drip.sample.cross.CrossFloatCrossFloatAnalysis
 
main(String[]) - Static method in class org.drip.sample.cross.FixFloatFixFloat
 
main(String[]) - Static method in class org.drip.sample.cross.FixFloatFixFloatAnalysis
 
main(String[]) - Static method in class org.drip.sample.cross.FloatFloatFloatFloat
 
main(String[]) - Static method in class org.drip.sample.cross.FloatFloatFloatFloatAnalysis
 
main(String[]) - Static method in class org.drip.sample.csaevents.AggressiveTimeline
 
main(String[]) - Static method in class org.drip.sample.csaevents.AndersenPykhtinSokolDates
 
main(String[]) - Static method in class org.drip.sample.csaevents.ConservativeTimeline
 
main(String[]) - Static method in class org.drip.sample.date.CalendarAPI
 
main(String[]) - Static method in class org.drip.sample.date.DateRollAPI
 
main(String[]) - Static method in class org.drip.sample.date.DayCountAPI
 
main(String[]) - Static method in class org.drip.sample.date.FliegelvanFlandernJulian
 
main(String[]) - Static method in class org.drip.sample.date.IMMRollAPI
 
main(String[]) - Static method in class org.drip.sample.descentverifier.ArmijoEvolutionMetrics
 
main(String[]) - Static method in class org.drip.sample.descentverifier.StrongCurvatureEvolutionMetrics
 
main(String[]) - Static method in class org.drip.sample.descentverifier.StrongWolfeEvolutionMetrics
 
main(String[]) - Static method in class org.drip.sample.descentverifier.WeakCurvatureEvolutionMetrics
 
main(String[]) - Static method in class org.drip.sample.descentverifier.WeakWolfeEvolutionMetrics
 
main(String[]) - Static method in class org.drip.sample.dual.CAD3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.CHF3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.DKK3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.EUR3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.GBP3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.JPY3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.NOK3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.PLN3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.dual.SEK3M6MUSD3M6M
 
main(String[]) - Static method in class org.drip.sample.efficientfrontier.BoundedMarkovitzBullet
 
main(String[]) - Static method in class org.drip.sample.efficientfrontier.LongOnlyMarkovitzBullet
 
main(String[]) - Static method in class org.drip.sample.efficientfrontier.UnboundedMarkovitzBullet
 
main(String[]) - Static method in class org.drip.sample.efficientfrontier.UnboundedMarkovitzBulletExplicit
 
main(String[]) - Static method in class org.drip.sample.efronstein.BinaryVariateSumBound
 
main(String[]) - Static method in class org.drip.sample.efronstein.BoundedVariateSumBound
 
main(String[]) - Static method in class org.drip.sample.efronstein.GlivenkoCantelliSupremumBound
 
main(String[]) - Static method in class org.drip.sample.efronstein.GlivenkoCantelliUniformBound
 
main(String[]) - Static method in class org.drip.sample.efronstein.KernelDensityL1Bound
 
main(String[]) - Static method in class org.drip.sample.efronstein.LongestCommonSubsequenceBound
 
main(String[]) - Static method in class org.drip.sample.efronstein.MinimumBinPackingBound
 
main(String[]) - Static method in class org.drip.sample.efronstein.OrientedPassageTimeBound
 
main(String[]) - Static method in class org.drip.sample.env.CacheManagerAPI
 
main(String[]) - Static method in class org.drip.sample.execution.AlmgrenConstantTradingEnhanced
 
main(String[]) - Static method in class org.drip.sample.execution.AlmgrenLinearTradingEnhanced
 
main(String[]) - Static method in class org.drip.sample.execution.ConcaveImpactNoDrift
 
main(String[]) - Static method in class org.drip.sample.execution.LinearImpactNoDrift
 
main(String[]) - Static method in class org.drip.sample.execution.LinearImpactWithDrift
 
main(String[]) - Static method in class org.drip.sample.fedfund.CompositeFedFundLIBORSwap
 
main(String[]) - Static method in class org.drip.sample.fedfund.FedFundOvernightCompounding
 
main(String[]) - Static method in class org.drip.sample.fedfund.OvernightFedFundLIBORSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.AmortizingCapitalizingAccruingSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.CustomFixFloatSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.InAdvanceIMMSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.InAdvanceSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.InArrearsSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.JurisdictionOTCIndexDefinitions
 
main(String[]) - Static method in class org.drip.sample.fixfloat.JurisdictionOTCIndexSwaps
 
main(String[]) - Static method in class org.drip.sample.fixfloat.LongTenorSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.RollerCoasterSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.ShortTenorSwap
 
main(String[]) - Static method in class org.drip.sample.fixfloat.StepUpStepDown
 
main(String[]) - Static method in class org.drip.sample.fixfloatoption.MultiCurvePayerReceiver
 
main(String[]) - Static method in class org.drip.sample.fixfloatoption.MultiCurvePayerReceiverAnalysis
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.AUDIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.CADIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.CHFIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.CZKIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.DKKIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.EURIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.GBPIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.HKDIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.HUFIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.ILSIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.JPYIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.MXNIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.NOKIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.NZDIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.PLNIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.SEKIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.SGDIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.TRYIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.fixfloatpnl.USDIRSAttribution
 
main(String[]) - Static method in class org.drip.sample.floatfloat.JurisdictionOTCIndexDefinitions
 
main(String[]) - Static method in class org.drip.sample.floatfloat.JurisdictionOTCIndexSwaps
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR12MCubicKLKHyperbolic
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR12MCubicPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR12MQuarticPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR1MCubicKLKHyperbolic
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR1MCubicPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR1MQuarticPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR3MCubicKLKHyperbolic
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR3MCubicPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR3MQuarticPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR6MCubicKLKHyperbolic
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR6MCubicPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.IBOR6MQuarticPolyVanilla
 
main(String[]) - Static method in class org.drip.sample.forward.JurisdictionIBORIndexDefinition
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.DIFutures
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.EONIAFutures
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.FedFundFutures
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionIRSFuturesDefinition
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionIRSFuturesValuation
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionVenueOptionDetails
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionVenueOptionValuation
 
main(String[]) - Static method in class org.drip.sample.forwardratefutures.ShortTermFuturesDefinition
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.BA1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.ED1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.EF1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.ER1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.ES1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.IR1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.L1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.YE1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.BA1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.ED1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.EF1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.ER1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.ES1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.IR1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.L1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.YE1Attribution
 
main(String[]) - Static method in class org.drip.sample.forwardvolatility.CustomFRAVolatilityCurve
 
main(String[]) - Static method in class org.drip.sample.fra.FRAStandardOption
 
main(String[]) - Static method in class org.drip.sample.fra.FRAStandardOptionAnalysis
 
main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAMarket
 
main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAMarketAnalysis
 
main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAStandard
 
main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAStandardAnalysis
 
main(String[]) - Static method in class org.drip.sample.funding.CustomFundingCurveBuilder
 
main(String[]) - Static method in class org.drip.sample.funding.CustomFundingCurveReconciler
 
main(String[]) - Static method in class org.drip.sample.funding.HaganWestForwardInterpolator
 
main(String[]) - Static method in class org.drip.sample.funding.MultiStreamSwapMeasures
 
main(String[]) - Static method in class org.drip.sample.funding.NonlinearCurveMeasures
 
main(String[]) - Static method in class org.drip.sample.funding.ShapePreservingZeroSmooth
 
main(String[]) - Static method in class org.drip.sample.funding.ShapeZeroLocalSmooth
 
main(String[]) - Static method in class org.drip.sample.funding.TemplatedFundingCurveBuilder
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.AUDShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.AUDSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.CADShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.CADSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.CHFShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.CHFSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.CZKShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.DKKShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.EURShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.EURSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.GBPShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.GBPSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.HKDShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.HUFShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.ILSShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.JPYShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.JPYSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.MXNShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.NOKShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.NOKSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.NZDShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.NZDSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.PLNShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.SEKShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.SEKSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.SGDShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.TRYShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.UnifiedShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.USDShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.USDSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundingfeed.ZARShapePreservingReconstitutor
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.AUDShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.AUDShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.AUDSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.CADShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.CADShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.CADSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.CHFShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.CHFShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.CHFSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.CZKShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.DKKShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.EURShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.EURShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.EURSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.GBPShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.GBPShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.GBPSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.HKDShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.HUFShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.ILSShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.JPYShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.JPYShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.JPYSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.MXNShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.NOKShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.NOKShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.NOKSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.NZDShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.NZDShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.NZDSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.PLNShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.SEKShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.SEKShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.SEKSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.SGDShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.TRYShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.USDShapePreserving1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.USDShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.USDSmooth1YForward
 
main(String[]) - Static method in class org.drip.sample.fundinghistorical.ZARShapePreserving1YStart
 
main(String[]) - Static method in class org.drip.sample.fx.CustomFXCurveBuilder
 
main(String[]) - Static method in class org.drip.sample.fx.FXCurrencyPairConventions
 
main(String[]) - Static method in class org.drip.sample.govvie.NonlinearGovvieCurve
 
main(String[]) - Static method in class org.drip.sample.govvie.SplineGovvieCurve
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathDateForwardCurves
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathExerciseIndicator
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathForwardPrice
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathForwardRealization
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexExerciseIndicator
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexExerciseMetrics
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexExerciseOptimal
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardCurves
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardPrice
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardRealization
 
main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardState
 
main(String[]) - Static method in class org.drip.sample.graph.BellmanFord
 
main(String[]) - Static method in class org.drip.sample.graph.Dijkstra
 
main(String[]) - Static method in class org.drip.sample.graph.TopographyMap
 
main(String[]) - Static method in class org.drip.sample.helitterman.Table4DetailedBlowout
 
main(String[]) - Static method in class org.drip.sample.helitterman.Table4Reconciler
 
main(String[]) - Static method in class org.drip.sample.helitterman.Table5Reconciler
 
main(String[]) - Static method in class org.drip.sample.helitterman.Table6Reconciler
 
main(String[]) - Static method in class org.drip.sample.helitterman.Table7Reconciler
 
main(String[]) - Static method in class org.drip.sample.helitterman.Table8Reconciler
 
main(String[]) - Static method in class org.drip.sample.hjm.G2PlusPlusDynamics
 
main(String[]) - Static method in class org.drip.sample.hjm.MultiFactorDynamics
 
main(String[]) - Static method in class org.drip.sample.hjm.MultiFactorQMDynamics
 
main(String[]) - Static method in class org.drip.sample.hjm.PrincipalComponentDynamics
 
main(String[]) - Static method in class org.drip.sample.hjm.PrincipalComponentQMDynamics
 
main(String[]) - Static method in class org.drip.sample.hullwhite.EvolutionMetrics
 
main(String[]) - Static method in class org.drip.sample.hullwhite.ShortRateDynamics
 
main(String[]) - Static method in class org.drip.sample.hullwhite.TrinomialTreeCalibration
 
main(String[]) - Static method in class org.drip.sample.hullwhite.TrinomialTreeEvolution
 
main(String[]) - Static method in class org.drip.sample.idzorek.ExpectedExcessReturnsWeights
 
main(String[]) - Static method in class org.drip.sample.idzorek.PortfolioAndBenchmarkMetrics
 
main(String[]) - Static method in class org.drip.sample.idzorek.PriorPosteriorMetricsComparison
 
main(String[]) - Static method in class org.drip.sample.idzorek.ProjectionImpliedConfidenceLevel
 
main(String[]) - Static method in class org.drip.sample.idzorek.ProjectionImpliedConfidenceTilt
 
main(String[]) - Static method in class org.drip.sample.idzorek.UserConfidenceProjectionCalibration
 
main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateGovvieSpot
 
main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateLIBOREUR
 
main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateLIBORSpot
 
main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateLIBORUSD
 
main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateOISRate
 
main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateSwapRate
 
main(String[]) - Static method in class org.drip.sample.intexfeed.ForwardGovvieYield
 
main(String[]) - Static method in class org.drip.sample.intexfeed.ForwardSwapRate
 
main(String[]) - Static method in class org.drip.sample.json.Test
 
main(String[]) - Static method in class org.drip.sample.json.YylexTest
 
main(String[]) - Static method in class org.drip.sample.lmm.ContinuousForwardRateVolatility
 
main(String[]) - Static method in class org.drip.sample.lmm.FixFloatMonteCarloEvolver
 
main(String[]) - Static method in class org.drip.sample.lmm.MultiFactorCurveDynamics
 
main(String[]) - Static method in class org.drip.sample.lmm.MultiFactorLIBORCurveEvolver
 
main(String[]) - Static method in class org.drip.sample.lmm.MultiFactorLIBORMonteCarlo
 
main(String[]) - Static method in class org.drip.sample.lmm.PointAncillaryMetricsDynamics
 
main(String[]) - Static method in class org.drip.sample.lmm.PointCoreMetricsDynamics
 
main(String[]) - Static method in class org.drip.sample.lmm.TwoFactorLIBORVolatility
 
main(String[]) - Static method in class org.drip.sample.loan.Alwar
 
main(String[]) - Static method in class org.drip.sample.loan.Avadi
 
main(String[]) - Static method in class org.drip.sample.loan.Bardhaman
 
main(String[]) - Static method in class org.drip.sample.loan.Bijapur
 
main(String[]) - Static method in class org.drip.sample.loan.Bilaspur
 
main(String[]) - Static method in class org.drip.sample.loan.Chandrapur
 
main(String[]) - Static method in class org.drip.sample.loan.Junagadh
 
main(String[]) - Static method in class org.drip.sample.loan.Kadapa
 
main(String[]) - Static method in class org.drip.sample.loan.Kakinada
 
main(String[]) - Static method in class org.drip.sample.loan.Kollam
 
main(String[]) - Static method in class org.drip.sample.loan.Kulti
 
main(String[]) - Static method in class org.drip.sample.loan.Nizamabad
 
main(String[]) - Static method in class org.drip.sample.loan.Rampur
 
main(String[]) - Static method in class org.drip.sample.loan.Sambalpur
 
main(String[]) - Static method in class org.drip.sample.loan.Satara
 
main(String[]) - Static method in class org.drip.sample.loan.Shahjahanpur
 
main(String[]) - Static method in class org.drip.sample.loan.Shivamogga
 
main(String[]) - Static method in class org.drip.sample.loan.Thrissur
 
main(String[]) - Static method in class org.drip.sample.lvar.OptimalTrajectoryNoDrift
 
main(String[]) - Static method in class org.drip.sample.lvar.OptimalTrajectoryWithDrift
 
main(String[]) - Static method in class org.drip.sample.matrix.CholeskyFactorization
 
main(String[]) - Static method in class org.drip.sample.matrix.Eigenization
 
main(String[]) - Static method in class org.drip.sample.matrix.GrahamSchmidtProcess
 
main(String[]) - Static method in class org.drip.sample.matrix.LinearAlgebra
 
main(String[]) - Static method in class org.drip.sample.matrix.MultivariateRandom
 
main(String[]) - Static method in class org.drip.sample.matrix.PrincipalComponent
 
main(String[]) - Static method in class org.drip.sample.matrix.QRDecomposition
 
main(String[]) - Static method in class org.drip.sample.matrix.RayleighQuotient
 
main(String[]) - Static method in class org.drip.sample.measure.BrownianBridgeConcave
 
main(String[]) - Static method in class org.drip.sample.measure.BrownianBridgeConvex
 
main(String[]) - Static method in class org.drip.sample.measure.BrownianBridgeLinear
 
main(String[]) - Static method in class org.drip.sample.measure.GaussianSequence
 
main(String[]) - Static method in class org.drip.sample.measure.PiecewiseDisplacedLebesgue
 
main(String[]) - Static method in class org.drip.sample.measure.PiecewiseLinearLebesgue
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerAggressiveTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerClassicalMinusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerClassicalPlusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerConservativeTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverAggressiveTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverClassicalMinusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverClassicalPlusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverConservativeTimeline
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAAggressive
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalMinus
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalPlus
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAConservative
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAAggressive
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalMinus
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalPlus
 
main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAConservative
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedAggressiveTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedClassicalMinusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedClassicalPlusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedConservativeTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatAggressiveTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatClassicalMinusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatClassicalPlusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatConservativeTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedAggressiveTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedClassicalMinusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedClassicalPlusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedConservativeTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatAggressiveTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatClassicalMinusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatClassicalPlusTimeline
 
main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatConservativeTimeline
 
main(String[]) - Static method in class org.drip.sample.multicurve.CustomBasisCurveBuilder
 
main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatForwardCurve
 
main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatSwap
 
main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatSwapAnalysis
 
main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatSwapIMM
 
main(String[]) - Static method in class org.drip.sample.multicurve.FloatFloatForwardCurve
 
main(String[]) - Static method in class org.drip.sample.multicurve.FundingNativeForwardReconciler
 
main(String[]) - Static method in class org.drip.sample.multicurve.OTCSwapOptionSettlements
 
main(String[]) - Static method in class org.drip.sample.municipal.Davanagere
 
main(String[]) - Static method in class org.drip.sample.municipal.Kozhikode
 
main(String[]) - Static method in class org.drip.sample.municipal.Kurnool
 
main(String[]) - Static method in class org.drip.sample.municipal.MunicipalFixedBullet1
 
main(String[]) - Static method in class org.drip.sample.municipal.MunicipalFixedBullet2
 
main(String[]) - Static method in class org.drip.sample.municipal.MunicipalFixedBullet3
 
main(String[]) - Static method in class org.drip.sample.netting.PortfolioGroupRun
 
main(String[]) - Static method in class org.drip.sample.netting.PortfolioGroupSimulation
 
main(String[]) - Static method in class org.drip.sample.netting.PortfolioPathAggregationCorrelated
 
main(String[]) - Static method in class org.drip.sample.netting.PortfolioPathAggregationDeterministic
 
main(String[]) - Static method in class org.drip.sample.netting.PortfolioPathAggregationUncorrelated
 
main(String[]) - Static method in class org.drip.sample.numeraire.R1JointDiffusion
 
main(String[]) - Static method in class org.drip.sample.numeraire.R1JointJumpDiffusion
 
main(String[]) - Static method in class org.drip.sample.numeraire.R1Jump
 
main(String[]) - Static method in class org.drip.sample.numerical.FixedPointSearch
 
main(String[]) - Static method in class org.drip.sample.numerical.IntegrandQuadrature
 
main(String[]) - Static method in class org.drip.sample.numerical.PhaseTrackerComparison
 
main(String[]) - Static method in class org.drip.sample.ois.CrossOvernightFloatingStream
 
main(String[]) - Static method in class org.drip.sample.ois.IndexFundCurvesReconciliation
 
main(String[]) - Static method in class org.drip.sample.ois.JurisdictionOTCInstrumentDefinitions
 
main(String[]) - Static method in class org.drip.sample.ois.JurisdictionOTCInstrumentMeasures
 
main(String[]) - Static method in class org.drip.sample.ois.OvernightArithmeticCompoundingConvexity
 
main(String[]) - Static method in class org.drip.sample.ois.OvernightJurisdictionIndexDefinition
 
main(String[]) - Static method in class org.drip.sample.oisapi.CustomSwapMeasures
 
main(String[]) - Static method in class org.drip.sample.optimizer.KKTNecessarySufficientConditions
 
main(String[]) - Static method in class org.drip.sample.optimizer.KKTRegularityConditions
 
main(String[]) - Static method in class org.drip.sample.optimizer.NSphereSurfaceExtremization
 
main(String[]) - Static method in class org.drip.sample.optimizer.VariateSumExtremization
 
main(String[]) - Static method in class org.drip.sample.option.ATMTermStructureSpline
 
main(String[]) - Static method in class org.drip.sample.option.BlackHestonForwardOption
 
main(String[]) - Static method in class org.drip.sample.option.BrokenDateVolSurface
 
main(String[]) - Static method in class org.drip.sample.option.CustomVolSurfaceBuilder
 
main(String[]) - Static method in class org.drip.sample.option.DeterministicVolBlackScholes
 
main(String[]) - Static method in class org.drip.sample.option.DeterministicVolTermStructure
 
main(String[]) - Static method in class org.drip.sample.option.LocalVolatilityTermStructure
 
main(String[]) - Static method in class org.drip.sample.option.MarketSurfaceTermStructure
 
main(String[]) - Static method in class org.drip.sample.option.VanillaBlackNormalPricing
 
main(String[]) - Static method in class org.drip.sample.option.VanillaBlackScholesPricing
 
main(String[]) - Static method in class org.drip.sample.overnight.CustomOvernightCurveReconciler
 
main(String[]) - Static method in class org.drip.sample.overnight.MultiStretchCurveBuilder
 
main(String[]) - Static method in class org.drip.sample.overnight.ShapeOvernightZeroLocalSmooth
 
main(String[]) - Static method in class org.drip.sample.overnight.ShapePreservingOvernightZeroSmooth
 
main(String[]) - Static method in class org.drip.sample.overnight.SingleStretchCurveBuilder
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.AUDOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.CADOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.CHFOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.EUROISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.GBPOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.JPYOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.NZDOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.SEKOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnightfeed.USDOISSmoothReconstitutor
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.AUDSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.CADSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.CHFSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.EURSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.GBPSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.JPYSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.NZDSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.SEKSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.overnighthistorical.USDSmooth1MForward
 
main(String[]) - Static method in class org.drip.sample.piterbarg2010.CSAFundingAbsoluteForward
 
main(String[]) - Static method in class org.drip.sample.piterbarg2010.CSAFundingRelativeForward
 
main(String[]) - Static method in class org.drip.sample.piterbarg2010.CSAImpliedMeasureDifference
 
main(String[]) - Static method in class org.drip.sample.piterbarg2010.ForwardContract
 
main(String[]) - Static method in class org.drip.sample.piterbarg2010.ZeroStrikeCallOption
 
main(String[]) - Static method in class org.drip.sample.piterbarg2012.DeterministicCollateralChoiceZeroCoupon
 
main(String[]) - Static method in class org.drip.sample.piterbarg2012.DomesticCollateralForeignForex
 
main(String[]) - Static method in class org.drip.sample.piterbarg2012.DomesticCollateralForeignForexAnalysis
 
main(String[]) - Static method in class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForex
 
main(String[]) - Static method in class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForexAnalysis
 
main(String[]) - Static method in class org.drip.sample.piterbarg2012.ForeignCollateralizedZeroCoupon
 
main(String[]) - Static method in class org.drip.sample.preferred.PreferredFixedBullet
 
main(String[]) - Static method in class org.drip.sample.principal.ImpactExponentAnalysis
 
main(String[]) - Static method in class org.drip.sample.principal.InformationRatioAnalysis
 
main(String[]) - Static method in class org.drip.sample.principal.OptimalMeasuresConstantExponent
 
main(String[]) - Static method in class org.drip.sample.principal.OptimalMeasuresDiscountDependence
 
main(String[]) - Static method in class org.drip.sample.principal.OptimalMeasuresReconciler
 
main(String[]) - Static method in class org.drip.sample.principal.OptimalTrajectoryMeasures
 
main(String[]) - Static method in class org.drip.sample.pykhtin2009.ExposurePathBrownianBridge
 
main(String[]) - Static method in class org.drip.sample.pykhtin2009.ExposurePathFixFloat
 
main(String[]) - Static method in class org.drip.sample.pykhtin2009.ExposurePathLocalVolatility
 
main(String[]) - Static method in class org.drip.sample.pykhtin2009.LocalVolatilityRegressor
 
main(String[]) - Static method in class org.drip.sample.rdtor1.ConstrainedCovarianceEllipsoid
 
main(String[]) - Static method in class org.drip.sample.rdtor1.UnconstrainedCovarianceEllipsoid
 
main(String[]) - Static method in class org.drip.sample.rng.LCGNumericalRecipesDouble
 
main(String[]) - Static method in class org.drip.sample.rng.LCGNumericalRecipesLong
 
main(String[]) - Static method in class org.drip.sample.rng.MRG32k3a
 
main(String[]) - Static method in class org.drip.sample.rng.RdMultiPath
 
main(String[]) - Static method in class org.drip.sample.rng.RdMultiPathAntithetic
 
main(String[]) - Static method in class org.drip.sample.rng.RdMultiPathQR
 
main(String[]) - Static method in class org.drip.sample.rng.RdMultiPathQRUnbiased
 
main(String[]) - Static method in class org.drip.sample.rng.ShiftRegisterDouble
 
main(String[]) - Static method in class org.drip.sample.rng.ShiftRegisterLong
 
main(String[]) - Static method in class org.drip.sample.sabr.BlackVolatility
 
main(String[]) - Static method in class org.drip.sample.sabr.ForwardRateEvolution
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Ahmednagar
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Berhampur
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Bhilwara
 
main(String[]) - Static method in class org.drip.sample.securitysuite.CMEFixFloat
 
main(String[]) - Static method in class org.drip.sample.securitysuite.CreditDefaultSwapIndex
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Dhule
 
main(String[]) - Static method in class org.drip.sample.securitysuite.FXSwap
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Kamarhati
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Korba
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Mathura
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Repo
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Rohtak
 
main(String[]) - Static method in class org.drip.sample.securitysuite.Tirupati
 
main(String[]) - Static method in class org.drip.sample.semidefinite.DualConstrainedEllipsoidVariance
 
main(String[]) - Static method in class org.drip.sample.semidefinite.TwoVariateConstrainedVariance
 
main(String[]) - Static method in class org.drip.sample.semidefinite.WeightConstrainedEllipsoidVariance
 
main(String[]) - Static method in class org.drip.sample.sensitivity.ForwardDerivedBasisSensitivity
 
main(String[]) - Static method in class org.drip.sample.sensitivity.ForwardReferenceBasisSensitivity
 
main(String[]) - Static method in class org.drip.sample.sensitivity.FundingCurveQuoteSensitivity
 
main(String[]) - Static method in class org.drip.sample.sensitivity.OISCurveQuoteSensitivity
 
main(String[]) - Static method in class org.drip.sample.sequence.DualRandomSequenceBound
 
main(String[]) - Static method in class org.drip.sample.sequence.IIDSequenceSumBound
 
main(String[]) - Static method in class org.drip.sample.sequence.IntegerRandomSequenceBound
 
main(String[]) - Static method in class org.drip.sample.sequence.PoissonRandomSequenceBound
 
main(String[]) - Static method in class org.drip.sample.sequence.SingleRandomSequenceBound
 
main(String[]) - Static method in class org.drip.sample.sequence.UnitRandomSequenceBound
 
main(String[]) - Static method in class org.drip.sample.service.BlackLittermanBayesianClient
 
main(String[]) - Static method in class org.drip.sample.service.BondClientCashFlow
 
main(String[]) - Static method in class org.drip.sample.service.BondClientCurve
 
main(String[]) - Static method in class org.drip.sample.service.BondClientSecular
 
main(String[]) - Static method in class org.drip.sample.service.BudgetConstrainedAllocationClient
 
main(String[]) - Static method in class org.drip.sample.service.CreditDefaultSwapClient
 
main(String[]) - Static method in class org.drip.sample.service.CreditStateClient
 
main(String[]) - Static method in class org.drip.sample.service.DateManipulationClient
 
main(String[]) - Static method in class org.drip.sample.service.DepositClient
 
main(String[]) - Static method in class org.drip.sample.service.FixedAssetBackedClient
 
main(String[]) - Static method in class org.drip.sample.service.FixFloatClient
 
main(String[]) - Static method in class org.drip.sample.service.ForwardRateFuturesClient
 
main(String[]) - Static method in class org.drip.sample.service.FundingStateClient
 
main(String[]) - Static method in class org.drip.sample.service.PrepayAssetBackedClient
 
main(String[]) - Static method in class org.drip.sample.service.ReturnsConstrainedAllocationClient
 
main(String[]) - Static method in class org.drip.sample.service.TreasuryBondClient
 
main(String[]) - Static method in class org.drip.sample.simm.ProductMargin20
 
main(String[]) - Static method in class org.drip.sample.simm.ProductMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingClassMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingClassMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityClassMargin20
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityClassMargin21
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmct.CommodityVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityClassMargin20
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityClassMargin21
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmeq.EquityVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXClassMargin20
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXClassMargin21
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmfx.FXVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesClassMargin20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesClassMargin21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurvatureMargin20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesCurvatureMargin21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesDeltaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesDeltaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesVegaMargin20
 
main(String[]) - Static method in class org.drip.sample.simmir.RatesVegaMargin21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityParameters20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityParameters21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CreditNonQualifyingParameters20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CreditNonQualifyingParameters21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CreditQualifyingParameters20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CreditQualifyingParameters21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.Equity20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.Equity21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.FX20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.FX21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRate20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRate21
 
main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRateConcentrationThreshold20
 
main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRateConcentrationThreshold21
 
main(String[]) - Static method in class org.drip.sample.simmvariance.CRNQMarginComparison
 
main(String[]) - Static method in class org.drip.sample.simmvariance.CrossGroupPrincipalCovariance
 
main(String[]) - Static method in class org.drip.sample.simmvariance.CRQMarginComparison
 
main(String[]) - Static method in class org.drip.sample.simmvariance.CTCrossBucketPrincipal
 
main(String[]) - Static method in class org.drip.sample.simmvariance.CTMarginComparison
 
main(String[]) - Static method in class org.drip.sample.simmvariance.EQCrossBucketPrincipal
 
main(String[]) - Static method in class org.drip.sample.simmvariance.EQMarginComparison
 
main(String[]) - Static method in class org.drip.sample.simmvariance.FXCrossGroupPrincipal
 
main(String[]) - Static method in class org.drip.sample.simmvariance.FXMarginComparison
 
main(String[]) - Static method in class org.drip.sample.simmvariance.IRCrossCurvePrincipal
 
main(String[]) - Static method in class org.drip.sample.simmvariance.IRMarginComparison
 
main(String[]) - Static method in class org.drip.sample.sovereign.SovereignFixedBullet
 
main(String[]) - Static method in class org.drip.sample.sovereign.ZeroCouponBullet1
 
main(String[]) - Static method in class org.drip.sample.sovereign.ZeroCouponBullet2
 
main(String[]) - Static method in class org.drip.sample.sovereign.ZeroCouponBullet3
 
main(String[]) - Static method in class org.drip.sample.spline.BasisBSplineSet
 
main(String[]) - Static method in class org.drip.sample.spline.BasisMonicBSpline
 
main(String[]) - Static method in class org.drip.sample.spline.BasisMonicHatComparison
 
main(String[]) - Static method in class org.drip.sample.spline.BasisMulticBSpline
 
main(String[]) - Static method in class org.drip.sample.spline.BasisSplineSet
 
main(String[]) - Static method in class org.drip.sample.spline.BasisTensionSplineSet
 
main(String[]) - Static method in class org.drip.sample.spline.BSplineSequence
 
main(String[]) - Static method in class org.drip.sample.spline.PolynomialBasisSpline
 
main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequence
 
main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequenceAntithetic
 
main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequenceQR
 
main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequenceQRUnbiased
 
main(String[]) - Static method in class org.drip.sample.statistics.MultivariateSequence
 
main(String[]) - Static method in class org.drip.sample.statistics.UnivariateSequence
 
main(String[]) - Static method in class org.drip.sample.stochasticvolatility.AlbrecherMayerSchoutensTistaert
 
main(String[]) - Static method in class org.drip.sample.stochasticvolatility.CallPriceSplineSurface
 
main(String[]) - Static method in class org.drip.sample.stochasticvolatility.CallVolSplineSurface
 
main(String[]) - Static method in class org.drip.sample.stochasticvolatility.HestonAMSTPayoffTransform
 
main(String[]) - Static method in class org.drip.sample.stochasticvolatility.StandardHestonPricingMeasures
 
main(String[]) - Static method in class org.drip.sample.stretch.ATMTTESurface2D
 
main(String[]) - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
 
main(String[]) - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
 
main(String[]) - Static method in class org.drip.sample.stretch.CustomDiscountCurveBuilder
 
main(String[]) - Static method in class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
 
main(String[]) - Static method in class org.drip.sample.stretch.KnotInsertionSequenceAdjuster
 
main(String[]) - Static method in class org.drip.sample.stretch.KnotInsertionTensionEstimator
 
main(String[]) - Static method in class org.drip.sample.stretch.KnottedRegressionSplineEstimator
 
main(String[]) - Static method in class org.drip.sample.stretch.MultiSpanAggregationEstimator
 
main(String[]) - Static method in class org.drip.sample.treasury.GovvieBondDefinitions
 
main(String[]) - Static method in class org.drip.sample.treasury.TreasuryFixedBullet
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_BTPS
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_CAN
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_DBR
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_FRTR
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_GGB
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_GILT
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_JGB
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_MBONO
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_SPGB
 
main(String[]) - Static method in class org.drip.sample.treasury.YAS_UST
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.AGBReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.CANReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.DBRReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.DGBReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.GILTReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.GSWISSReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.JGBReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.NGBReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.NZGBReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.SGBReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfeed.USTReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.ContractDefinitions
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.ContractEligibilitySettlementDefinitions
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.ExchangeTradedOptionDefinitions
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.ExpiryDeliveryTradingDates
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST02Y
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST05Y
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST10Y
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST30Y
 
main(String[]) - Static method in class org.drip.sample.treasuryfutures.USTULTRA
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.CN1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.DU1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.FBB1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.FV1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.G1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.IK1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.JB1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.OAT1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.OE1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.RX1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.TU1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.TY1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.UB1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.ULTRA
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.US1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.YM1
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.CN1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.DU1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.FBB1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.FV1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.IK1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.JB1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.OAT1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.OE1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.RX1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.TU1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.TY1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.UB1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.US1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.WN1ClosesReconstitutor
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.CN1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.DU1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.FBB1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.FV1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.IK1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.JB1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.OAT1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.OE1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.RX1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.TU1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.TY1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.UB1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.US1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.WN1Attribution
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.CN1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.DU1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.FBB1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.FV1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.IK1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.JB1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.OAT1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.OE1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.RX1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.TU1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.TY1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.UB1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.US1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.WN1KeyRateDuration
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.AGBBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.CANBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.DBRBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.DGBBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.GILTBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.GSWISSBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.JGBBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.NGBBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.NZGBBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.SGBBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.treasurypnl.USTBenchmarkAttribution
 
main(String[]) - Static method in class org.drip.sample.trend.BayesianDriftTrajectoryDependence
 
main(String[]) - Static method in class org.drip.sample.trend.BayesianDriftTransactionDependence
 
main(String[]) - Static method in class org.drip.sample.trend.BayesianGain
 
main(String[]) - Static method in class org.drip.sample.trend.BayesianPriceProcess
 
main(String[]) - Static method in class org.drip.sample.trend.FixedDriftTrajectoryComparator
 
main(String[]) - Static method in class org.drip.sample.trend.VariableDriftTrajectoryComparator
 
main(String[]) - Static method in class org.drip.sample.xccy.OTCCrossCurrencyDefinitions
 
main(String[]) - Static method in class org.drip.sample.xccy.OTCCrossCurrencySwaps
 
main(String[]) - Static method in class org.drip.sample.xva.CollateralizedCollateralGroup
 
main(String[]) - Static method in class org.drip.sample.xva.CollateralizedCollateralGroupCorrelated
 
main(String[]) - Static method in class org.drip.sample.xva.PortfolioCollateralEstimate
 
main(String[]) - Static method in class org.drip.sample.xva.UncollateralizedCollateralGroup
 
main(String[]) - Static method in class org.drip.sample.xva.UncollateralizedCollateralGroupCorrelated
 
main(String[]) - Static method in class org.drip.sample.xva.ZeroThresholdCollateralGroup
 
main(String[]) - Static method in class org.drip.sample.xva.ZeroThresholdCollateralGroupCorrelated
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingNeutral
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingNeutralStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingPayable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingPayableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingReceivable
 
main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingReceivableStochastic
 
main(String[]) - Static method in class org.drip.sample.xvadigest.CPGACollateralized
 
main(String[]) - Static method in class org.drip.sample.xvadigest.CPGACollateralizedCorrelated
 
main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAUncollateralized
 
main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAUncollateralizedCorrelated
 
main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAZeroThreshold
 
main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAZeroThresholdCorrelated
 
main(String[]) - Static method in class org.drip.sample.xvafixfloat.AlbaneseAndersenBaselProxy
 
main(String[]) - Static method in class org.drip.sample.xvafixfloat.GoldPlatedBaselProxy
 
main(String[]) - Static method in class org.drip.sample.xvafixfloat.HedgeErrorBaselProxy
 
main(String[]) - Static method in class org.drip.sample.xvafixfloat.OneWayBaselProxy
 
main(String[]) - Static method in class org.drip.sample.xvafixfloat.SemiReplicationBaselProxy
 
main(String[]) - Static method in class org.drip.sample.xvafixfloat.SetOffBaselProxy
 
main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupBilateralCSA
 
main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupHedgeError
 
main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupPerfectReplication
 
main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupSemiReplication
 
main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupSetOff
 
main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupUnilateralCSA
 
main(String[]) - Static method in class org.drip.sample.xvatopology.BookGroupLayout
 
main(String[]) - Static method in class org.drip.sample.xvatopology.BookLatentStateMap
 
main(String[]) - Static method in class org.drip.service.engine.ComputeClient
 
main(String[]) - Static method in class org.drip.service.engine.ComputeServer
 
main(String[]) - Static method in class org.drip.service.env.StandardCDXManager
 
main(String[]) - Static method in class org.drip.spline.basis.FunctionSetBuilder
 
main(String[]) - Static method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
 
main(String[]) - Static method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
 
main(String[]) - Static method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
 
main(String[]) - Static method in class org.drip.template.forwardratefutures.AUDBBSW3M
 
main(String[]) - Static method in class org.drip.template.forwardratefutures.CADCDOR3M
 
main(String[]) - Static method in class org.drip.template.forwardratefutures.CHFLIBOR3M
 
main(String[]) - Static method in class org.drip.template.forwardratefutures.EURIBOR3M
 
main(String[]) - Static method in class org.drip.template.forwardratefutures.EuroDollar
 
main(String[]) - Static method in class org.drip.template.forwardratefutures.GBPLIBOR3M
 
main(String[]) - Static method in class org.drip.template.forwardratefutures.JPYLIBOR3M
 
main(String[]) - Static method in class org.drip.template.irs.AUD
 
main(String[]) - Static method in class org.drip.template.irs.CAD
 
main(String[]) - Static method in class org.drip.template.irs.CHF
 
main(String[]) - Static method in class org.drip.template.irs.CNY
 
main(String[]) - Static method in class org.drip.template.irs.DKK
 
main(String[]) - Static method in class org.drip.template.irs.EUR
 
main(String[]) - Static method in class org.drip.template.irs.GBP
 
main(String[]) - Static method in class org.drip.template.irs.HKD
 
main(String[]) - Static method in class org.drip.template.irs.INR
 
main(String[]) - Static method in class org.drip.template.irs.JPYLIBOR
 
main(String[]) - Static method in class org.drip.template.irs.JPYTIBOR
 
main(String[]) - Static method in class org.drip.template.irs.KRW
 
main(String[]) - Static method in class org.drip.template.irs.MYR
 
main(String[]) - Static method in class org.drip.template.irs.NOK
 
main(String[]) - Static method in class org.drip.template.irs.NZD
 
main(String[]) - Static method in class org.drip.template.irs.PLN
 
main(String[]) - Static method in class org.drip.template.irs.SEK
 
main(String[]) - Static method in class org.drip.template.irs.SGD
 
main(String[]) - Static method in class org.drip.template.irs.THB
 
main(String[]) - Static method in class org.drip.template.irs.TWD
 
main(String[]) - Static method in class org.drip.template.irs.USD
 
main(String[]) - Static method in class org.drip.template.irs.ZAR
 
main(String[]) - Static method in class org.drip.template.state.DerivedForwardState
 
main(String[]) - Static method in class org.drip.template.state.ForwardVolatilityState
 
main(String[]) - Static method in class org.drip.template.state.FundingState
 
main(String[]) - Static method in class org.drip.template.state.FXState
 
main(String[]) - Static method in class org.drip.template.state.GovvieState
 
main(String[]) - Static method in class org.drip.template.state.OvernightState
 
main(String[]) - Static method in class org.drip.template.state.ReferenceForwardState
 
main(String[]) - Static method in class org.drip.template.state.SurvivalRecoveryState
 
main(String[]) - Static method in class org.drip.template.statebump.DerivedForwardStateShifted
 
main(String[]) - Static method in class org.drip.template.statebump.ForwardVolatilityStateShifted
 
main(String[]) - Static method in class org.drip.template.statebump.FundingStateShifted
 
main(String[]) - Static method in class org.drip.template.statebump.FXStateShifted
 
main(String[]) - Static method in class org.drip.template.statebump.GovvieStateShifted
 
main(String[]) - Static method in class org.drip.template.statebump.OvernightStateShifted
 
main(String[]) - Static method in class org.drip.template.statebump.ReferenceForwardStateShifted
 
main(String[]) - Static method in class org.drip.template.statebump.SurvivalRecoveryStateShifted
 
main(String[]) - Static method in class org.drip.template.ust.FV1_05Y
 
main(String[]) - Static method in class org.drip.template.ust.TU1_02Y
 
main(String[]) - Static method in class org.drip.template.ust.TY1_10Y
 
main(String[]) - Static method in class org.drip.template.ust.US1_30Y
 
main(String[]) - Static method in class org.drip.template.ust.WN1_ULTRA
 
Make3MForward(String, String, JulianDate, MergedDiscountForwardCurve, ForwardCurve, SegmentCustomBuilderControl, boolean) - Static method in class org.drip.sample.forward.IBOR3MCubicPolyVanilla
 
Make6MForward(JulianDate, String, String) - Static method in class org.drip.sample.forward.IBOR6MCubicKLKHyperbolic
 
Make6MForward(JulianDate, String, String, boolean) - Static method in class org.drip.sample.forward.IBOR6MCubicPolyVanilla
 
Make6MForward(JulianDate, String, String) - Static method in class org.drip.sample.forward.IBOR6MQuarticPolyVanilla
 
MakeBasketDefaultSwap(Component[]) - Static method in class org.drip.product.creator.CDSBasketBuilder
Create the basket default swap from an array of the credit components.
MakeC2DesignInelasticControl() - Static method in class org.drip.spline.params.SegmentInelasticDesignControl
Create the C2 Inelastic Design Params
MakeCDX(JulianDate, JulianDate, double, String, String[], double[], String) - Static method in class org.drip.product.creator.CDSBasketBuilder
Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and their weights.
MakeCDX(JulianDate, JulianDate, double, String, String[], String) - Static method in class org.drip.product.creator.CDSBasketBuilder
Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.
makeConvergenceVariate() - Method in class org.drip.function.r1tor1solver.BracketingOutput
Make a ConvergenceOutput for the Open Method from the bracketing output
MakeDC(String, JulianDate, int[], double[], String[], double[], String[], String[], double[], String[], double[], SegmentCustomBuilderControl, FloaterIndex) - Static method in class org.drip.sample.forward.OvernightIndexCurve
 
MakeDC(JulianDate, String) - Static method in class org.drip.sample.forward.OvernightIndexCurve
Construct an elaborate EONIA Discount Curve
MakeDefaultPeriod(int, int, double, double, double, MergedDiscountForwardCurve, CreditCurve, int) - Static method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the Curve Measures
MakeDefaultPeriod(int, int, double, double, MergedDiscountForwardCurve, CreditCurve, int) - Static method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Create a LossPeriodCurveFactors Instance from the Period Dates and the Curve Measures
MakeDEOMA(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
Construct a DateEOMAdjustment Instance for all other Day Counts
MakeDEOMA30_360(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
Construct a DateEOMAdjustment Instance for the 30/360 Day Count
MakeDEOMA30_365(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
Construct a DateEOMAdjustment Instance for the 30/365 Day Count
MakeDEOMA30E_360(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
Construct a DateEOMAdjustment Instance for the 30E/360 Day Count
MakeDEOMA30E_360_ISDA(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
Construct a DateEOMAdjustment Instance for the 30E/360 ISDA Day Count
MakeDEOMA30EPLUS_360_ISDA(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
Construct a DateEOMAdjustment Instance for the 30E+/360 ISDA Day Count
MakeDiscountCurve(String, String, JulianDate, MergedDiscountForwardCurve, ForwardCurve, ForwardCurve, double, SegmentCustomBuilderControl, String[], double[], double[], boolean) - Static method in class org.drip.sample.dual.CCBSDiscountCurve
 
MakeDoubleArrayFromStringTokenizer(StringTokenizer) - Static method in class org.drip.quant.common.StringUtil
Make an array of double from a string tokenizer
MakeFixFloat(Stream, Stream, CashSettleParams) - Static method in class org.drip.product.creator.DualStreamComponentBuilder
Make the FixFloatComponent Instance from the Reference Fixed and the Derived Floating Streams
MakeFloatFloat(Stream, Stream, CashSettleParams) - Static method in class org.drip.product.creator.DualStreamComponentBuilder
Make the FloatFloatComponent Instance from the Reference and the Derived Floating Streams
MakeForwardCurve(JulianDate, MergedDiscountForwardCurve, String) - Static method in class org.drip.sample.bloomberg.SWPM_NEW
 
MakeIntegerArrayFromStringTokenizer(StringTokenizer) - Static method in class org.drip.quant.common.StringUtil
Make an array of Integers from a string tokenizer
MakeJulianDateFromBBGDate(String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from Bloomberg date string
MakeJulianFromDDMMMYY(String, String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from the DD MMM YY
MakeJulianFromRSEntry(Date) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from the java Date
MakeJulianFromYYYYMMDD(String, String) - Static method in class org.drip.analytics.date.DateUtil
Create a JulianDate from the YYYY MM DD
MakeOracleDateFromBBGDate(String) - Static method in class org.drip.analytics.date.DateUtil
Create an Oracle date trigram from a Bloomberg date string
MakeOracleDateFromYYYYMMDD(String) - Static method in class org.drip.analytics.date.DateUtil
Create an Oracle Date Trigram from a YYYYMMDD String
MakePolynomialSBP(int) - Static method in class org.drip.sample.stretch.CustomDiscountCurveBuilder
 
makeSQLDelete() - Method in class org.drip.product.creator.BondProductBuilder
Create an SQL Delete statement from the object's state
makeSQLDelete() - Method in class org.drip.product.creator.BondRefDataBuilder
Create an SQL Delete string for the given object
makeSQLInsert() - Method in class org.drip.product.creator.BondProductBuilder
Create an SQL Insert statement from the object's state
makeSQLInsert() - Method in class org.drip.product.creator.BondRefDataBuilder
Create an SQL Insert string for the given object
MakeSquareDiagonal(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Make a Square Diagonal Matrix from a Row
MakeStandardCDX(String, int, String) - Static method in class org.drip.service.env.StandardCDXManager
Create a standard CDX from the index code, the index series, and the tenor.
MakeStringArg(String) - Static method in class org.drip.quant.common.StringUtil
Format the given string parameter into an argument
Malegaon - Class in org.drip.sample.bondmetrics
Malegaon generates the Full Suite of Replication Metrics for Bond Malegaon.
Malegaon() - Constructor for class org.drip.sample.bondmetrics.Malegaon
 
Mangalore - Class in org.drip.sample.bondmetrics
Mangalore demonstrates the Analytics Calculation/Reconciliation for the Bond Mangalore.
Mangalore() - Constructor for class org.drip.sample.bondmetrics.Mangalore
 
manifestMeasure(String) - Method in interface org.drip.analytics.definition.Curve
Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
manifestMeasure(String) - Method in class org.drip.analytics.definition.MarketSurface
 
manifestMeasure(String) - Method in class org.drip.analytics.definition.NodeStructure
 
manifestMeasure() - Method in class org.drip.product.option.OptionComponent
Retrieve the Manifest Measure on which the Option's Strike is quoted
manifestMeasure(String) - Method in class org.drip.state.basis.BasisCurve
 
manifestMeasure(String) - Method in class org.drip.state.credit.CreditCurve
 
manifestMeasure(String) - Method in class org.drip.state.curve.DerivedZeroRate
 
manifestMeasure(String) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
manifestMeasure(String) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
manifestMeasure(String) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
manifestMeasure(String) - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
 
manifestMeasure(String) - Method in class org.drip.state.forward.ForwardCurve
 
manifestMeasure(String) - Method in class org.drip.state.fx.FXCurve
 
manifestMeasure(String) - Method in class org.drip.state.govvie.ExplicitBootGovvieCurve
 
manifestMeasure(String) - Method in class org.drip.state.govvie.GovvieCurve
 
manifestMeasure(String) - Method in class org.drip.state.repo.RepoCurve
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CalibratableComponent
Compute the micro-Jacobian of the given measure to the DF
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.OptionComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
 
manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream
Generate the micro-Jacobian of the Manifest Measure to the Discount Factor
manifestMeasures() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Set of Manifest Measures
manifestMeasures() - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Set of Manifest Measures
manifestMeasures() - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
Return the Set of Available Manifest Measures (if any)
manifestMeasures() - Method in class org.drip.state.inference.LatentStateSegmentSpec
Retrieve the Calibration Manifest Measure Quote Set
manifestMeasureSensitivity(String) - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
Retrieve the SRVC Instance Specified by the Manifest Measure
manifestMeasureSensitivity(LatentStateResponseModel, String, SegmentResponseValueConstraint, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Preceeding Segment, the Local Response Value, the Local Response Value Manifest Measure Sensitivity, and the Local Best Fit Response Sensitivity
manifestMeasureSensitivity(LatentStateResponseModel, String, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Preceeding Segments, the Local Response Value Sensitivity at the Right Predictor Ordinate, and the Local Best Fit Response Sensitivity
manifestMeasureSensitivity(String, double, double, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Local Response Value Sensitivity at the Left/Right Predictor Ordinate, the Local Left Response Value Sensitivity Slope, and the Local Best Fit Response Sensitivity.
manifestMeasureSensitivity(String, SegmentResponseValueConstraint, SegmentResponseValueConstraint, double, SegmentResponseValueConstraint, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Local Response Value/Sensitivity Constraints at the Left/Right Predictor Ordinate, the Local Left Response Value Sensitivity Slope, and the Local Best Fit Response Sensitivity
manifestMeasureSensitivity(double) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
 
manifestMeasureSensitivity(double) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
Compute the Stretch Manifest Measure Sensitivity Sequence
manifestMeasureSensitivity(double) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
 
manifestMeasureSnap(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Snapshot associated with the specified Manifest Measure
ManifestMeasureTweak - Class in org.drip.param.definition
ManifestMeasureTweak contains the place holder for the scenario tweak parameters, for either a specific curve node, or the entire curve (flat).
ManifestMeasureTweak(int, boolean, double) - Constructor for class org.drip.param.definition.ManifestMeasureTweak
ManifestMeasureTweak constructor
Maoming - Class in org.drip.sample.bondeos
Maoming demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Maoming.
Maoming() - Constructor for class org.drip.sample.bondeos.Maoming
 
map() - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
Retrieve the Map of Transaction Charge
MARCH - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - March
margin(double, double, double) - Method in interface org.drip.simm.foundation.CurvatureEstimator
Compute the SBA Margin from the Curvature Sensitivities
margin(double, double, double) - Method in class org.drip.simm.foundation.CurvatureEstimatorISDADelta
 
margin(double, double, double) - Method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
 
margin() - Method in class org.drip.simm.margin.RiskClassAggregate
Compute the SBA Margin
margin() - Method in class org.drip.simm.margin.RiskClassAggregateCR
Compute the SBA Margin
margin() - Method in class org.drip.simm.margin.RiskClassAggregateIR
Compute the SBA Margin
MARGIN_FREQUENCY_DAILY - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
Daily Margining Frequency
marginal() - Method in class org.drip.measure.joint.Edge
Retrieve the Array of the Marginal Level Realizations
marginCallFrequency() - Method in class org.drip.exposure.mpor.MarginPeriodOfRisk
Retrieve the MPoR Margin Call Frequency
marginCovariance_LIBOR12M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR12M - LIBOR12M Margin Co-variance
marginCovariance_LIBOR12M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR12M - MUNICIPAL Margin Co-variance
marginCovariance_LIBOR12M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR12M - PRIME Margin Co-variance
marginCovariance_LIBOR1M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR1M - LIBOR12M Margin Co-variance
marginCovariance_LIBOR1M_LIBOR1M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR1M - LIBOR1M Margin Co-variance
marginCovariance_LIBOR1M_LIBOR3M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR1M - LIBOR3M Margin Co-variance
marginCovariance_LIBOR1M_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR1M - LIBOR6M Margin Co-variance
marginCovariance_LIBOR1M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR1M - MUNICIPAL Margin Co-variance
marginCovariance_LIBOR1M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR1M - PRIME Margin Co-variance
marginCovariance_LIBOR3M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR3M - LIBOR12M Margin Co-variance
marginCovariance_LIBOR3M_LIBOR3M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR3M - LIBOR3M Margin Co-variance
marginCovariance_LIBOR3M_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR3M - LIBOR6M Margin Co-variance
marginCovariance_LIBOR3M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR3M - MUNICIPAL Margin Co-variance
marginCovariance_LIBOR3M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR3M - PRIME Margin Co-variance
marginCovariance_LIBOR6M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR6M - LIBOR12M Margin Co-variance
marginCovariance_LIBOR6M_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR6M - LIBOR6M Margin Co-variance
marginCovariance_LIBOR6M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR6M - MUNICIPAL Margin Co-variance
marginCovariance_LIBOR6M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the LIBOR6M - PRIME Margin Co-variance
marginCovariance_MUNICIPAL_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the MUNICIPAL - MUNICIPAL Margin Co-variance
marginCovariance_OIS_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the OIS - LIBOR12M Margin Co-variance
marginCovariance_OIS_LIBOR1M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the OIS - LIBOR1M Margin Co-variance
marginCovariance_OIS_LIBOR3M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the OIS - LIBOR3M Margin Co-variance
marginCovariance_OIS_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the OIS - LIBOR6M Margin Co-variance
marginCovariance_OIS_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the OIS - MUNICIPAL Margin Co-variance
marginCovariance_OIS_OIS() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the OIS - OIS Margin Co-variance
marginCovariance_OIS_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the OIS - PRIME Margin Co-variance
marginCovariance_PRIME_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the PRIME - MUNICIPAL Margin Co-variance
marginCovariance_PRIME_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
Retrieve the PRIME - PRIME Margin Co-variance
marginDuration() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Margin Duration
MarginEstimationSettings - Class in org.drip.simm.parameters
MarginEstimationSettings exposes the Customization Settings used in the Margin Estimation.
MarginEstimationSettings(String, CurvatureEstimator) - Constructor for class org.drip.simm.parameters.MarginEstimationSettings
MarginEstimationSettings Constructor
marginFrequency() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the CSA Margin Frequency
marginPeriodEnd() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Margin Period End Date
MarginPeriodOfRisk - Class in org.drip.exposure.mpor
MarginPeriodOfRisk contains the Margining Information associated with the Client Exposure.
MarginPeriodOfRisk(int, int) - Constructor for class org.drip.exposure.mpor.MarginPeriodOfRisk
MarginPeriodOfRisk Constructor
marginPeriodStart() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Margin Period Start Date
marginTradePaymentGenerator() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
Retrieve the Path-wise Variation Margin/Trade Payment Generator
marginTradePaymentGenerator() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Retrieve the Path-wise Variation Margin/Trade Payment Generator
Market(MarketVertex) - Static method in class org.drip.xva.definition.CloseOutBilateral
Generate the Close Out Bilateral Instance from the Market Vertex
MarketCapitalizationSystemics - Class in org.drip.simm.equity
MarketCapitalizationSystemics contains the Systemic Settings that contain the Market Capitalization Classification.
MarketCapitalizationSystemics() - Constructor for class org.drip.simm.equity.MarketCapitalizationSystemics
 
marketConvention() - Method in class org.drip.product.credit.BondComponent
 
marketConvention() - Method in interface org.drip.product.definition.BondProduct
Retrieve the Bond's Market Convention
MarketCorrelation - Class in org.drip.exposure.universe
MarketCorrelation holds the Cross Latent State Correlations needed for computing the Valuation Adjustment.
MarketCorrelation(List<LatentStateLabel>, double[][]) - Constructor for class org.drip.exposure.universe.MarketCorrelation
MarketCorrelation Constructor
marketDynamicDrift() - Method in class org.drip.execution.discrete.EvolutionIncrement
Retrieve the Change induced by Deterministic Asset Price Market Dynamic Drivers
marketDynamicExpectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
Retrieve the Market Dynamic Expectation Component
marketDynamicsExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
marketDynamicsExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
marketDynamicsExpectation(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Market Dynamics Expectation Contribution
marketDynamicsVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
marketDynamicsVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
marketDynamicsVariance(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Market Dynamics Variance Contribution
marketDynamicVariance() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
Retrieve the Market Dynamic Variance Component
marketDynamicWander() - Method in class org.drip.execution.discrete.EvolutionIncrement
Retrieve the Change induced by Stochastic Asset Price Market Dynamic Drivers
MarketEdge - Class in org.drip.exposure.universe
MarketEdge holds the Vertex Realizations of the Market States of the Reference Universe along an Evolution Edge.
MarketEdge(MarketVertex, MarketVertex) - Constructor for class org.drip.exposure.universe.MarketEdge
MarketEdge Constructor
MarketImpactChargeTerm - Class in org.drip.portfolioconstruction.objective
MarketImpactChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio under a specified Market Impact Charge from the Starting Allocation.
MarketImpactChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.MarketImpactChargeTerm
MarketImpactChargeTerm Conastructor
MarketImpactComponent - Class in org.drip.execution.evolution
MarketImpactComponent exposes the Evolution Increment Components of the Movements exhibited by an Asset's Manifest Measures owing to either Stochastic or Deterministic Factors.
MarketImpactComponent(double, double, double, double) - Constructor for class org.drip.execution.evolution.MarketImpactComponent
MarketImpactComponent Constructor
MarketImpactComposite - Class in org.drip.execution.evolution
MarketImpactComposite contains the Composite Evolution Increment Components of the Movements exhibited by an Asset's Manifest Measures owing to the Stochastic and the Deterministic Factors.
MarketImpactComposite(MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.evolution.MarketImpactComposite
 
marketMeasureName() - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Market Measure Name
marketMeasureName() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the Component Market Measure Name
MarketMeasureRollDown - Class in org.drip.historical.engine
MarketMeasureRollDown holds the Map of the Market Measure Roll Down Values for the Native as well as the Additional Horizon Tenors.
MarketMeasureRollDown(double) - Constructor for class org.drip.historical.engine.MarketMeasureRollDown
MarketMeasureRollDown Constructor
marketMeasureValue() - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Market Measure Value
marketMeasureValue() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the Component Market Measure Value
marketParameters() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
marketParameters() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Market Parameters
marketParameters() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
Retrieve the Market Parameters
marketParameters() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Retrieve the Market Parameters
marketParams() - Method in class org.drip.xva.topology.Adiabat
Generate the Adiabat Dependent Market Parameters
MarketParamsBuilder - Class in org.drip.param.creator
MarketParamsBuilder implements the various ways of constructing, de-serializing, and building the Market Parameters.
MarketParamsBuilder() - Constructor for class org.drip.param.creator.MarketParamsBuilder
 
marketPath() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
Retrieve the Path-wise Market Path
MarketPath - Class in org.drip.exposure.universe
MarketPath holds the Vertex Market Realizations at the Trajectory Vertexes along the Path of a Simulation.
MarketPath(Map<Integer, MarketVertex>) - Constructor for class org.drip.exposure.universe.MarketPath
MarketPath Constructor
marketPath() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
Retrieve the Market Path
marketPath() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Market Path
marketPath() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Market Path
marketPath() - Method in class org.drip.xva.netting.FundingGroupPath
Retrieve the Market Path
marketPathArray() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Retrieve the Array of Market Paths
marketPower() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
Retrieve the Preference-free "Market Power" Parameter
marketPower() - Method in interface org.drip.execution.optimum.EfficientTradingTrajectory
Retrieve the Intrinsic Market Power Parameter
marketPower() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
 
marketPower() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
 
marketQuote() - Method in class org.drip.param.definition.ProductQuote
Return the market quote object
marketQuote() - Method in class org.drip.param.quote.ProductMultiMeasure
 
marketQuoteField() - Method in class org.drip.param.definition.ProductQuote
Retrieve the market quote field
marketQuoteField() - Method in class org.drip.param.quote.ProductMultiMeasure
 
marketRealizationChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Full Manifest Measure Realization Position Change
marketRollDownChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Full Manifest Measure Roll-down Position Change
marketSensitivityChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Full Manifest Measure Market Sensitivity Position Change
marketState() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
Retrieve the Trajectory Time Node Market State
MarketState - Interface in org.drip.execution.latent
MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal Trajectory Generation.
MarketStateCorrelated - Class in org.drip.execution.latent
MarketStateCorrelated holds the Correlated Market State that drives the Liquidity and the Volatility Market States separately.
MarketStateCorrelated(double, double) - Constructor for class org.drip.execution.latent.MarketStateCorrelated
MarketStateCorrelated Constructor
MarketStateSystemic - Class in org.drip.execution.latent
MarketStateSystemic holds the Single Systemic Market State that drives both the Liquidity and the Volatility Market States.
MarketStateSystemic(double) - Constructor for class org.drip.execution.latent.MarketStateSystemic
MarketStateSystemic Constructor
MarketSurface - Class in org.drip.analytics.definition
MarketSurface exposes the stub that implements the market surface that holds the latent state's Evolution parameters.
MarketSurface(int, CustomLabel, String) - Constructor for class org.drip.analytics.definition.MarketSurface
 
MarketSurfaceTermStructure - Class in org.drip.sample.option
MarketSurfaceTermStructure contains an illustration of the Creation and Usage of the Strike Anchored and Maturity Anchored Term Structures extracted from the given Market Surface.
MarketSurfaceTermStructure() - Constructor for class org.drip.sample.option.MarketSurfaceTermStructure
 
marketValue() - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Position Market Value
marketVertex(int) - Method in class org.drip.exposure.universe.MarketPath
Retrieve the Market Vertex for the Specified Date
MarketVertex - Class in org.drip.exposure.universe
MarketVertex holds the Market Realizations at a Market Trajectory Vertex needed for computing the Valuation Adjustment.
MarketVertex(JulianDate, double, double, double, double, MarketVertexEntity, MarketVertexEntity, LatentStateVertexContainer) - Constructor for class org.drip.exposure.universe.MarketVertex
MarketVertex Constructor
marketVertex(MarketVertex, LatentStateWeiner) - Method in class org.drip.exposure.universe.MarketVertexGenerator
Generate the Trajectory of the Simulated Market Vertexes
marketVertexArray() - Method in class org.drip.exposure.universe.MarketPath
Retrieve the Array of the Market Vertexes
MarketVertexEntity - Class in org.drip.exposure.universe
MarketVertexEntity holds the Realizations at a Market Trajectory Vertex of the given XVA Entity (i.e., Dealer/Client).
MarketVertexEntity(double, double, double, double, double, double, double, double) - Constructor for class org.drip.exposure.universe.MarketVertexEntity
MarketVertexEntity Constructor
MarketVertexGenerator - Class in org.drip.exposure.universe
MarketVertexGenerator generates the Market Realizations at a Trajectory Vertex needed for computing the Valuation Adjustment.
MarketVertexGenerator(int, int[], EntityDynamicsContainer, PrimarySecurityDynamicsContainer, LatentStateDynamicsContainer) - Constructor for class org.drip.exposure.universe.MarketVertexGenerator
MarketVertexGenerator Constructor
marketVertexGenerator() - Method in class org.drip.xva.dynamics.PathSimulator
Retrieve the Market Vertex Generator
MarkovitzBullet - Class in org.drip.portfolioconstruction.mpt
MarkovitzBullet holds the Portfolio Performance Metrics across a Variety of Return Constraints.
MarkovitzBullet(OptimizationOutput, OptimizationOutput) - Constructor for class org.drip.portfolioconstruction.mpt.MarkovitzBullet
MarkovitzBullet Constructor
markovUpperProbabilityBound(double, R1ToR1) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Markov Upper Limiting Probability Bound for the Specified Level: - P (X gte t) lte E[f(X)] / f(t)
markSegmentBuilt(int, Set<LatentStateLabel>) - Method in class org.drip.state.estimator.CurveStretch
Mark the Range of the "built" Segments, and set the set of Merge Latent States
martingaleVarianceUpperBound() - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Multivariate Variance Upper Bound using the Martingale Differences Method
match(Array2D) - Method in class org.drip.quant.common.Array2D
Indicate if this Array2D Instance matches the "other" Entry-by-Entry
match(Cardinality) - Method in class org.drip.spaces.tensor.Cardinality
Indicate if the Current Instance matches the "Other" Cardinality Instance
match(GeneralizedVector) - Method in interface org.drip.spaces.tensor.GeneralizedVector
Compare against the "Other" Generalized Vector Space
match(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
match(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
match(GeneralizedVector) - Method in class org.drip.spaces.tensor.RdAggregate
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.CollateralLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.CSALabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.CustomLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityCDSLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityCreditLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityDesignateLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityEquityLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityFundingLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityHazardLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityRecoveryLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.FloaterLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.FundingLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.FXLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.GovvieLabel
 
match(LatentStateLabel) - Method in interface org.drip.state.identifier.LatentStateLabel
Indicate whether this Label matches the supplied.
match(LatentStateLabel) - Method in class org.drip.state.identifier.OTCFixFloatLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.OvernightLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.PaydownLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.RatingLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.RepoLabel
 
match(LatentStateLabel) - Method in class org.drip.state.identifier.VolatilityLabel
 
match(LatentStateSpecification) - Method in class org.drip.state.representation.LatentStateSpecification
Does the Specified Latent State Specification Instance match the current one?
MatchInStringArray(String, String[], boolean) - Static method in class org.drip.quant.common.StringUtil
Look for a match of the field in the input array
MatchInStringArray(String[], String[], boolean) - Static method in class org.drip.quant.common.StringUtil
Look for a match of the field in the field set to an entry in the input array
Mathura - Class in org.drip.sample.securitysuite
Mathura demonstrates the Analytics Calculation/Reconciliation for the Bond Mathura.
Mathura() - Constructor for class org.drip.sample.securitysuite.Mathura
 
matrix() - Method in class org.drip.exposure.universe.MarketCorrelation
Retrieve the Cross-Latent State Correlation Matrix
matrix() - Method in class org.drip.measure.stochastic.LabelCorrelation
Retrieve the Cross-Label Correlation Matrix
Matrix - Class in org.drip.quant.linearalgebra
Matrix implements Matrix manipulation routines.
Matrix() - Constructor for class org.drip.quant.linearalgebra.Matrix
 
Matrix() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
Matrix() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
MatrixComplementTransform - Class in org.drip.quant.linearalgebra
This class holds the results of Matrix transforms on the source and the complement, e.g., during a Matrix Inversion Operation.
MatrixComplementTransform(double[][], double[][]) - Constructor for class org.drip.quant.linearalgebra.MatrixComplementTransform
MatrixComplementTransform constructor
MatrixManipulation() - Static method in class org.drip.sample.matrix.LinearAlgebra
 
maturity() - Method in class org.drip.product.definition.BasketProduct
Return the maturity date of the basket product
maturity() - Method in class org.drip.product.option.EuropeanCallPut
Retrieve the Option Maturity
maturity() - Method in class org.drip.product.rates.Stream
Retrieve the Maturity Date
maturityAnchorTermStructure(String) - Method in class org.drip.analytics.definition.MarketSurface
Extract the Term Structure Constructed at the Maturity Anchor Tenor
maturityCeiling() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
Retrieve the Eligible Maturity Ceiling
maturityDate() - Method in class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
Retrieve the Maturity Date
maturityDate() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Maturity Date
maturityDate() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Maturity Date
maturityDate() - Method in class org.drip.product.credit.BondComponent
 
maturityDate() - Method in class org.drip.product.credit.CDSComponent
 
maturityDate() - Method in class org.drip.product.definition.Component
Get the Maturity Date
maturityDate() - Method in class org.drip.product.fx.FXForwardComponent
 
maturityDate() - Method in class org.drip.product.govvie.TreasuryFutures
 
maturityDate() - Method in class org.drip.product.option.OptionComponent
 
maturityDate() - Method in class org.drip.product.rates.FixFloatComponent
 
maturityDate() - Method in class org.drip.product.rates.FloatFloatComponent
 
maturityDate() - Method in class org.drip.product.rates.RatesBasket
 
maturityDate() - Method in class org.drip.product.rates.SingleStreamComponent
 
maturityFloor() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
Retrieve the Eligible Maturity Floor
maturityPayDate() - Method in class org.drip.product.credit.BondComponent
 
maturityPayDate() - Method in class org.drip.product.definition.Component
Get the Maturity Pay Date
maturityRollDownSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Down Swap Rate
maturityRollDownSwapRate1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Down Swap Rate PnL
maturityRollDownSwapRate1M() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1M Maturity Roll Down Swap Rate
maturityRollDownSwapRate1MPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1M Maturity Roll Down Swap Rate PnL
maturityRollDownSwapRate3M() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 3M Maturity Roll Down Swap Rate
maturityRollDownSwapRate3MPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 3M Maturity Roll Down Swap Rate PnL
maturityRollUpFairPremium1D() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Up Fair Premium
maturityRollUpFairPremium1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Up Fair Premium PnL
maturityRollUpFairPremiumWithFixing1D() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Up Fair Premium With Fixing
maturityRollUpFairPremiumWithFixing1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Up Fair Premium With Fixing PnL
maturityRollUpSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Up Swap Rate
maturityRollUpSwapRate1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Maturity Roll Up Swap Rate PnL
maturityTenor() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Maturity Tenor
maturityTenors() - Method in class org.drip.service.api.FixFloatFundingInstrument
Retrieve the Array of the Maturity Tenors
maturityType() - Method in class org.drip.product.credit.BondComponent
 
maturityType() - Method in class org.drip.product.definition.Bond
Return the bond's maturity type
maturityType() - Method in class org.drip.product.params.BondStream
Retrieve the Maturity Type
maureyConstant() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Retrieve the Maurey Constant
maureyConstant() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Retrieve the Maurey Constant
MaureyOperatorCoveringBounds - Class in org.drip.spaces.cover
MaureyOperatorCoveringBounds implements the estimate the Upper Bounds and/or Absolute Values of the Covering Number for the Hilbert R^d To Supremum R^d Operator Class.
MaureyOperatorCoveringBounds(double, int, double) - Constructor for class org.drip.spaces.cover.MaureyOperatorCoveringBounds
MaureyOperatorCoveringBounds Constructor
MaxCompositeSubMatrix(double[][], int, int) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
Compute the Maximum Composite Value of all the sub-matrices contained within a specified Square Matrix starting from the given Row and Column
maxExecutionTime() - Method in class org.drip.execution.strategy.OrderSpecification
Retrieve the Maximum Allowed Execution Time
maxima() - Method in class org.drip.function.definition.R1ToR1
Compute the Maximal Variate and the Corresponding Function Value
maxima(double, double) - Method in class org.drip.function.definition.R1ToR1
Compute the Maximum VOP within the Variate Range
maxima(double[], double[]) - Method in class org.drip.function.definition.RdToR1
Compute the Maximum VOP within the Variate Array Range Using Uniform Monte-Carlo
MAXIMA - Static variable in class org.drip.spline.segment.Monotonocity
NON MONOTONE - MAXIMA
maximizerCheck() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
Indicate if the Check is for Minimizer/Maximizer
maximizerCheck() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
Indicate if the Check is for Minimizer/Maximizer
maximizerCheck() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
Indicate if the Check is for Minimizer/Maximizer
maximizerCheck() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Indicate if the Check is for Minimizer/Maximizer
maximum() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
Retrieve the Sequence Maximum
maximum() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
Retrieve the Constraint Maximum
Maximum(double[]) - Static method in class org.drip.quant.common.NumberUtil
Retrieve the Maximum Element in the specified Array
maximumAge() - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Retrieve the Investor Maximum Age
maximumMaturity() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Maximum Maturity of the Contract
maximumPeriod() - Method in class org.drip.measure.crng.ShiftRegisterGenerator
Retrieve the Maximum Period
maxIterations() - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
Retrieve the Maximum Number of Iterations
maxIterations() - Method in class org.drip.quant.eigen.QREigenComponentExtractor
Retrieve the Maximum Number of Iterations
maxLength() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
Retrieve the Length of the Maximal Path
maxPathResponse() - Method in class org.drip.spaces.big.BigR2Array
Compute the Maximum Response Associated with all the Left/Right Adjacent Paths starting from the Top Left Node.
maxPathResponse(int, int, double) - Method in class org.drip.spaces.big.BigR2Array
Compute the Maximum Response Associated with all the Left/Right Adjacent Paths starting from the Current Node.
maxWeight() - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Asset Component with the Maximal Weight
MAY - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - May
MBONO(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Mexican Treasury MXN MBONO Bond
MDLHoliday - Class in org.drip.analytics.holset
 
MDLHoliday() - Constructor for class org.drip.analytics.holset.MDLHoliday
 
mean() - Method in class org.drip.measure.continuous.R1
Retrieve the Mean of the Distribution
mean() - Method in class org.drip.measure.continuous.R1Multivariate
Compute the Mean of the Distribution
mean() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
 
mean() - Method in class org.drip.measure.discrete.PoissonDistribution
 
mean() - Method in class org.drip.measure.gaussian.R1MultivariateNormal
 
mean() - Method in class org.drip.measure.gaussian.R1UnivariateNormal
 
mean() - Method in class org.drip.measure.lebesgue.R1Uniform
 
mean() - Method in class org.drip.measure.statistics.MultivariateDiscrete
Retrieve the Multivariate Means
mean(String) - Method in class org.drip.measure.statistics.MultivariateMoments
Retrieve the Mean of the Named Variate
mean() - Method in class org.drip.measure.statistics.UnivariateMoments
Retrieve the Series Mean
mean() - Method in class org.drip.sequence.random.BoxMullerGaussian
Retrieve the Mean of the Box-Muller Gaussian
mean() - Method in class org.drip.state.sequence.PathRd
Retrieve the Array of Means
meanCenter() - Method in class org.drip.measure.discrete.QuadraticResampler
Indicate if the Sequence is to be Mean Centered
meanMarketUrgency() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
Retrieve the Mean Market Urgency
meanReversionLevel() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion
Retrieve the Mean Reversion Level
meanReversionLevel() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
Retrieve the Mean Reversion Level
meanReversionRate() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion
Retrieve the Mean Reversion Speed
MeanVarianceObjectiveUtility - Class in org.drip.execution.risk
MeanVarianceObjectiveUtility implements the Mean-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory.
MeanVarianceObjectiveUtility(double) - Constructor for class org.drip.execution.risk.MeanVarianceObjectiveUtility
MeanVarianceObjectiveUtility Constructor
MeanVarianceOptimizer - Class in org.drip.portfolioconstruction.allocator
MeanVarianceOptimizer exposes Portfolio Construction using Mean Variance Optimization Techniques.
MeanVarianceOptimizer() - Constructor for class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
 
measure() - Method in class org.drip.param.definition.CalibrationParams
Retrieve the Calibration Measure
MEASURE_AGGREGATION_TYPE_CUMULATIVE - Static variable in class org.drip.product.definition.BasketProduct
 
MEASURE_AGGREGATION_TYPE_IGNORE - Static variable in class org.drip.product.definition.BasketProduct
 
MEASURE_AGGREGATION_TYPE_UNIT_ACCUMULATE - Static variable in class org.drip.product.definition.BasketProduct
 
MEASURE_AGGREGATION_TYPE_WEIGHTED_CUMULATIVE - Static variable in class org.drip.product.definition.BasketProduct
 
measureAggregationType(String) - Method in class org.drip.product.credit.BondBasket
 
measureAggregationType(String) - Method in class org.drip.product.credit.CDSBasket
 
measureAggregationType(String) - Method in class org.drip.product.definition.BasketProduct
Retrieve the Aggregation Type for the specified Measure
measureAggregationType(String) - Method in class org.drip.product.fx.ComponentPair
 
MeasureConcentrationExpectationBound - Class in org.drip.learning.bound
MeasureConcentrationExpectationBound provides the Upper Bound of the Expected Loss between Empirical Outcome and the Prediction of the given Learner Class using the Concentration of Measure Inequalities.
MeasureConcentrationExpectationBound(double, double) - Constructor for class org.drip.learning.bound.MeasureConcentrationExpectationBound
MeasureConcentrationExpectationBound Constructor
MeasureInterpreter - Class in org.drip.param.quoting
MeasureInterpreter is the abstract shell stub class from which all product measure quoting parameters are derived.
MeasureInterpreter() - Constructor for class org.drip.param.quoting.MeasureInterpreter
 
measureNames() - Method in class org.drip.product.credit.BondComponent
 
measureNames() - Method in class org.drip.product.credit.CDSComponent
 
measureNames() - Method in class org.drip.product.definition.Component
Retrieve the ordered set of the measure names whose values will be calculated
measureNames() - Method in class org.drip.product.fra.FRAStandardCapFloor
 
measureNames() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
 
measureNames() - Method in class org.drip.product.fra.FRAStandardComponent
 
measureNames() - Method in class org.drip.product.fx.FXForwardComponent
 
measureNames() - Method in class org.drip.product.govvie.TreasuryFutures
 
measureNames() - Method in class org.drip.product.option.CDSEuropeanOption
 
measureNames() - Method in class org.drip.product.option.FixFloatEuropeanOption
 
measureNames() - Method in class org.drip.product.rates.FixFloatComponent
 
measureNames() - Method in class org.drip.product.rates.FloatFloatComponent
 
measureNames() - Method in class org.drip.product.rates.RatesBasket
 
measureNames() - Method in class org.drip.product.rates.SingleStreamComponent
 
measures() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
measures() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Map containing the array of the Calibration Measures
measures() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
 
measures(ValuationParams, CreditPricerParams, ScenarioMarketParams, ValuationCustomizationParams) - Method in class org.drip.product.definition.BasketProduct
Generate a full list of the basket product measures for the set of scenario market parameters present in the org.drip.param.definition.MarketParams
measures(ValuationParams, CreditPricerParams, ScenarioMarketParams, ValuationCustomizationParams) - Method in class org.drip.product.definition.Component
Generate a full list of the Product's measures for the set of scenario market parameters present in the org.drip.param.definition.MarketParams
measureSpace() - Method in class org.drip.measure.lebesgue.RdUniform
Retrieve the Vector Space Underlying the Measure
measureType() - Method in class org.drip.param.definition.CreditManifestMeasureTweak
Retrieve the Tweak Measure Type
measureValue(String, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.BasketProduct
 
measureValue(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String) - Method in class org.drip.product.definition.BasketProduct
Calculate the value of the given basket product measure
measureValue(String, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.Component
 
measureValue(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String) - Method in class org.drip.product.definition.Component
Calculate the value of the given Product's measure
memberCorrelation() - Method in class org.drip.simm.commodity.CTBucket
Retrieve the SIMM Member Correlation
memberCorrelation() - Method in class org.drip.simm.equity.EQBucket
Retrieve the Correlation between the Bucket Members
memberCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettings
Retrieve the Correlation between the Basket Members
membership(String) - Method in class org.drip.portfolioconstruction.composite.BlockClassification
Retrieve the Asset's Membership
membership() - Method in class org.drip.portfolioconstruction.composite.BlockClassification
Retrieve the Map of Asset Classification
membership() - Method in class org.drip.portfolioconstruction.objective.TiltTerm
Retrieve the Array of Tilt Memberships
MercerKernel - Class in org.drip.learning.kernel
MercerKernel exposes the Functionality behind the Eigenized Kernel that is Normed R^x X Normed R^x To Supremum R^1.
MercerKernel(IntegralOperatorEigenContainer) - Constructor for class org.drip.learning.kernel.MercerKernel
MercerKernel Constructor
MergedDiscountForwardCurve - Class in org.drip.state.discount
MergedDiscountForwardCurve is the Stub for the Merged Discount and Forward Curve Functionality.
MergedDiscountForwardCurve(int, String, TurnListDiscountFactor) - Constructor for class org.drip.state.discount.MergedDiscountForwardCurve
 
mergeLabelSet() - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Return the Set of Merged Latent State Labels
MergeMaps(CaseInsensitiveTreeMap<Double>, CaseInsensitiveTreeMap<Double>) - Static method in class org.drip.quant.common.CollectionUtil
Merge two maps
MergePeriodLists(List<CompositePeriod>, List<CompositePeriod>) - Static method in class org.drip.analytics.support.Helper
Merge two lists of periods
mergeSort(int, int, int, int) - Method in class org.drip.spaces.big.BigR1Array
Merge the Sorted Sub Array Pair
mergeSort(int, int) - Method in class org.drip.spaces.big.BigR1Array
Contiguous Stretch Merge Sort
mergeSort() - Method in class org.drip.spaces.big.BigR1Array
In-place Big Array Merge Sort
MergeSubStretchManager - Class in org.drip.state.representation
MergeSubStretchManager manages the different discount-forward merge stretches.
MergeSubStretchManager() - Constructor for class org.drip.state.representation.MergeSubStretchManager
Empty MergeSubStretchManager constructor
MergeWithMain(CaseInsensitiveTreeMap<Double>, CaseInsensitiveTreeMap<Double>) - Static method in class org.drip.quant.common.CollectionUtil
Merge the secondary map onto the main map
meta() - Method in class org.drip.measure.continuous.R1Multivariate
Retrieve the Multivariate Meta Instance
meta() - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Multivariate Meta Instance around the Assets
metricRollUp() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Generate the Roll Up Version of the Quote Metric
metrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.Bullet
Compute the Metrics at the specified Valuation Date
metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
 
metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
 
metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifier
Generate the Verifier Metrics for the Specified Inputs
metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
 
metrics(double, double, DiscountRate) - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
Generate the NetLiabilityMetrics Instance
MeucciViewUncertaintyParameterization - Class in org.drip.portfolioconstruction.bayesian
MeucciViewUncertaintyParameterization demonstrates the Meucci Parameterization for the View Projection Uncertainty Matrix.
MeucciViewUncertaintyParameterization() - Constructor for class org.drip.portfolioconstruction.bayesian.MeucciViewUncertaintyParameterization
 
mfcq() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the MFCQ Constraint Qualifier
mfv() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Retrieve the Multi-factor Volatility Instance
mfv() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
Retrieve the Multi-factor Volatility Instance
Mianyang - Class in org.drip.sample.bondeos
Mianyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Mianyang.
Mianyang() - Constructor for class org.drip.sample.bondeos.Mianyang
 
MID_CURVE_OPTION - Static variable in class org.drip.product.params.LastTradingDateSetting
Generic Mid-Curve Option
MID_CURVE_OPTION_QUARTERLY - Static variable in class org.drip.product.params.LastTradingDateSetting
Quarterly Mid-Curve Option
MID_CURVE_OPTION_SERIAL - Static variable in class org.drip.product.params.LastTradingDateSetting
Serial Mid-Curve Option
MidCurveOptionString(int) - Static method in class org.drip.product.params.LastTradingDateSetting
Retrieve the String Version of the Mid Curve Option Setting
midCurveOptionType() - Method in class org.drip.product.params.LastTradingDateSetting
Retrieve the Mid-Curve Option Type
MidPoint(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Compute the function's integral within the specified limits using the Mid-point rule.
minima() - Method in class org.drip.function.definition.R1ToR1
Compute the Minimal Variate and the Corresponding Function Value
minima(double, double) - Method in class org.drip.function.definition.R1ToR1
Compute the Minimum VOP within the Variate Range
minima(double[], double[]) - Method in class org.drip.function.definition.RdToR1
Compute the Minimum VOP within the Variate Array Range Using Uniform Monte-Carlo
MINIMA - Static variable in class org.drip.spline.segment.Monotonocity
NON MONOTONE - MINIMA
MinimalQuadraticHaganWest - Class in org.drip.spline.pchip
This class implements the regime using the Hagan and West (2006) Minimal Quadratic Estimator.
minimum() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
Retrieve the Sequence Minimum
minimum() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
Retrieve the Constraint Minimum
Minimum(double[]) - Static method in class org.drip.quant.common.NumberUtil
Retrieve the Minimum Element in the specified Array
MinimumBinPackingBound - Class in org.drip.sample.efronstein
MinimumBinPackingBound demonstrates the Computation of the Probabilistic Bounds for the Minimum Number of Packing Bins over a Random Sequence Values using Variants of the Efron-Stein Methodology.
MinimumBinPackingBound() - Constructor for class org.drip.sample.efronstein.MinimumBinPackingBound
 
minimumComponentNotional() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Minimum Treasury Futures Component Notional
minimumHoldingsPeriod() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermMinimumPeriod
Retrieve the Minimum Holdings Period
MinimumImpactTradingTrajectory - Class in org.drip.execution.strategy
MinimumImpactTradingTrajectory holds the Trajectory of a Trading Block that is to be executed uniformly over Equal Intervals, the Idea being to minimize the Trading Impact.
MinimumImpactTradingTrajectory(double[], double[], double[]) - Constructor for class org.drip.execution.strategy.MinimumImpactTradingTrajectory
 
minimumMaturity() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Minimum Maturity of the Contract
MinimumNumberOfBins() - Static method in class org.drip.sequence.custom.BinPacking
 
minimumOutstandingNotional() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
Retrieve the Minimum Outstanding Notional
minimumPriceMovement() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Minimimum Price Movement - a.k.a Tick
minimumPriceMovement() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Minimum Price Movement
minimumTransferAmount() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Collateral Group Minimum Transfer Amount
minimumUpperBound() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
Retrieve the Minimum Upper Entropy Bound
MinimumVarianceTradingTrajectory - Class in org.drip.execution.strategy
MinimumVarianceTradingTrajectory holds the Trajectory of a Trading Block that is to be executed in a Single Block, the Idea being to minimize the Trading Variance.
MinimumVarianceTradingTrajectory(double, double, double, double) - Constructor for class org.drip.execution.strategy.MinimumVarianceTradingTrajectory
MinimumVarianceTradingTrajectory Constructor
minWeight() - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Asset Component with the Minimal Weight
MiraBhayander - Class in org.drip.sample.bondsink
MiraBhayander generates the Full Suite of Replication Metrics for the Sinker Bond MiraBhayander.
MiraBhayander() - Constructor for class org.drip.sample.bondsink.MiraBhayander
 
MIXHoliday - Class in org.drip.analytics.holset
 
MIXHoliday() - Constructor for class org.drip.analytics.holset.MIXHoliday
 
MKDHoliday - Class in org.drip.analytics.holset
 
MKDHoliday() - Constructor for class org.drip.analytics.holset.MKDHoliday
 
mnacaulayDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
mnacaulayDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Macaulay Duration from OAS to Optimal Exercise
modifiedDuration() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Modified Duration
modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from ASW to Work-out
modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from ASW to Maturity
modifiedDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from ASW to Optimal Exercise
modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Bond Basis to Work-out
modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Bond Basis to Maturity
modifiedDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Bond Basis to Optimal Exercise
modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Credit Basis to Work-out
modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Credit Basis to Maturity
modifiedDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Credit Basis to Optimal Exercise
modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Discount Margin to Work-out
modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Discount Margin to Maturity
modifiedDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Discount Margin to Optimal Exercise
modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from E Spread to Work-out
modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from E Spread to Maturity
modifiedDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from E Spread to Optimal Exercise
modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from G Spread to Work-out
modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from G Spread to Maturity
modifiedDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from G Spread to Optimal Exercise
modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from I Spread to Work-out
modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from I Spread to Maturity
modifiedDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from I Spread to Optimal Exercise
modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from J Spread to Work-out
modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from J Spread to Maturity
modifiedDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from J Spread to Optimal Exercise
modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from N Spread to Work-out
modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from N Spread to Maturity
modifiedDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from N Spread to Optimal Exercise
modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from OAS to Work-out
modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from OAS to Maturity
modifiedDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from OAS to Optimal Exercise
modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from PECS to Work-out
modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from PECS to Maturity
modifiedDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from PECS to Optimal Exercise
modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Price to Work-out
modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Price to Maturity
modifiedDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Price to Optimal Exercise
modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from TSY Spread to Work-out
modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from TSY Spread to Maturity
modifiedDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from TSY Spread to Optimal Exercise
modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Yield to Work-out
modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Yield to Maturity
modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Yield Spread to Work-out
modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Yield Spread to Maturity
modifiedDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Yield Spread to Optimal Exercise
modifiedDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Yield to Optimal Exercise
modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Z Spread to Work-out
modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Z Spread to Maturity
modifiedDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
modifiedDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Modified Duration from Z Spread to Optimal Exercise
modulate(double) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
 
modulate(double) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
 
modulate(double) - Method in class org.drip.execution.athl.TemporaryImpact
 
modulate(double) - Method in class org.drip.execution.impact.ParticipationRateLinear
 
modulate(double) - Method in class org.drip.execution.impact.ParticipationRatePower
 
modulate(double) - Method in class org.drip.execution.impact.TransactionFunction
Modulate/Scale the Impact Output
modulus() - Method in class org.drip.quant.fourier.ComplexNumber
Retrieve the Modulus
Modulus(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Modulus of the Input Vector
momentMap() - Method in class org.drip.measure.statistics.UnivariateMoments
Retrieve the Moments Map
MONDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Monday
Monic(String, String, double[], int, double) - Static method in class org.drip.spline.bspline.SegmentBasisFunctionGenerator
Create a Tension Monic B Spline Basis Function
MonicSequence(String, String, double[], int, double) - Static method in class org.drip.spline.bspline.SegmentBasisFunctionGenerator
Construct a Sequence of Monic Basis Functions
Mono(CreditDebtGroupPath, MarketPath) - Static method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
Generate a "Mono" AlbaneseAndersenFundingGroupPath Instance
Mono(CollateralGroupPath, MarketPath) - Static method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
Generate a "Mono" AlbaneseAndersenNettingGroupPath Instance
MonoPathExposureAdjustment - Class in org.drip.xva.gross
MonoPathExposureAdjustment aggregates the Exposures and the Adjustments across Multiple Netting/Funding Groups on a Single Path Projection Run along the Granularity of a Counter Party Group.
MonoPathExposureAdjustment(FundingGroupPath[]) - Constructor for class org.drip.xva.gross.MonoPathExposureAdjustment
MonoPathExposureAdjustment Constructor
MonotoneConvexHaganWest - Class in org.drip.spline.pchip
This class implements the regime using the Hagan and West (2006) Estimator.
monotoneType() - Method in class org.drip.spline.segment.LatentStateResponseModel
Indicate whether the given segment is monotone.
monotoneType(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
monotoneType(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
monotoneType(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Identify the Monotone Type for the Segment underlying the given Predictor Ordinate
MONOTONIC - Static variable in class org.drip.spline.segment.Monotonocity
MONOTONIC
Monotonocity - Class in org.drip.spline.segment
This class contains the monotonicity details related to the given segment.
Monotonocity(int) - Constructor for class org.drip.spline.segment.Monotonocity
Monotonocity constructor
Month(int) - Static method in class org.drip.analytics.date.DateUtil
Return the Month given the Julian Date represented by the Integer.
Month(Date) - Static method in class org.drip.analytics.date.DateUtil
Return the Month corresponding to the java.util.Date Instance.
MonthChar(int) - Static method in class org.drip.analytics.date.DateUtil
Return the English word corresponding to the input integer month
MonthFromCode(char) - Static method in class org.drip.analytics.date.DateUtil
Retrieve the Month corresponding to the Month Digit Code
MonthFromMonthChars(String) - Static method in class org.drip.analytics.date.DateUtil
Convert the month trigram/word to the corresponding month integer
MonthlyGrossIncome - Class in org.drip.assetbacked.borrower
MonthlyGrossIncome contains the Borrower's Monthly Gross Income
MonthlyGrossIncome(double) - Constructor for class org.drip.assetbacked.borrower.MonthlyGrossIncome
MonthlyGrossIncome Constructor
months() - Method in class org.drip.assetbacked.loan.Term
Retrieve the Loan Term in Months
monthsInBalance() - Method in class org.drip.assetbacked.loan.Age
Retrieve the Loan Months in Balance
MonthTrigram(int) - Static method in class org.drip.analytics.date.DateUtil
Return the Month Trigram corresponding to the Input Integer Month
Moradabad - Class in org.drip.sample.bondfixed
Moradabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Moradabad.
Moradabad() - Constructor for class org.drip.sample.bondfixed.Moradabad
 
MPOR_INTERPOLATION_BROWNIAN_BRIDGE - Static variable in class org.drip.exposure.mpor.MarginPeriodOfRisk
MPoR Interpolation Type - BROWNIAN_BRIDGE
MPOR_INTERPOLATION_LINEAR - Static variable in class org.drip.exposure.mpor.MarginPeriodOfRisk
MPoR Interpolation Type - LINEAR
MPOR_INTERPOLATION_SQRT_T - Static variable in class org.drip.exposure.mpor.MarginPeriodOfRisk
MPoR Interpolation Type - SQRT_T
mporCalendarDays() - Method in class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
Retrieve the MPoR Calendar Days
MRG32k3a(long, long, long) - Static method in class org.drip.measure.crng.LinearCongruentialGenerator
Construct an Instance of LinearCongruentialGenerator with the MRG of Type MRG32k3a
MRG32k3a() - Static method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Generate the MRG32k3a Variant of the L'Ecuyer's Multiple Recursive Generator
MRG32k3a - Class in org.drip.sample.rng
MRG32k3a demonstrates the Construction and Invocation of MRG32k3a Variant of the L'Ecuyer's Multiple Recursive Generator.
MRG32k3a() - Constructor for class org.drip.sample.rng.MRG32k3a
 
MS_COMMODITY_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
The Commodity Multiplicative Factor Default (1.0)
MS_CREDIT_NON_QUALIFYING_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
The Credit Non-Qualifying Multiplicative Factor Default (1.0)
MS_CREDIT_QUALIFYING_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
The Credit Qualifying Multiplicative Factor Default (1.0)
MS_EQUITY_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
The Equity Multiplicative Factor Default (1.0)
MS_RATESFX_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
The RatesFX Multiplicative Factor Default (1.0)
msg() - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Retrieve the Principal Factor Sequence Generator
msm() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
msm() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Merge Stretch Manager if it exists.
msm() - Method in class org.drip.state.estimator.CurveStretch
 
Mudanjiang - Class in org.drip.sample.bondeos
Mudanjiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Mudanjiang.
Mudanjiang() - Constructor for class org.drip.sample.bondeos.Mudanjiang
 
MULTI_VALUE_BRANCH_PHASE_TRACKER_NONE - Static variable in class org.drip.quant.fourier.PhaseAdjuster
No Multi-Valued Principal Branch Tracking
MULTI_VALUE_BRANCH_PHASE_TRACKER_ROTATION_COUNT - Static variable in class org.drip.quant.fourier.PhaseAdjuster
Multi-Valued Logarithm Principal Branch Tracking Using Rotating Counting
MULTI_VALUE_BRANCH_POWER_PHASE_TRACKER_KAHL_JACKEL - Static variable in class org.drip.quant.fourier.PhaseAdjuster
Multi-Valued Logarithm PLUS Power Principal Branch Tracking Using the Kahl-Jackel Algorithm
MultiCallExerciseMetrics - Class in org.drip.sample.bond
MultiCallExerciseMetrics demonstrates the Simulations of the Per-Path Callable Bond OAS Based Exercise Metrics.
MultiCallExerciseMetrics() - Constructor for class org.drip.sample.bond.MultiCallExerciseMetrics
 
MultiCallMonteCarlo - Class in org.drip.sample.bond
MultiCallMonteCarlo demonstrates the Simulations of the Path/Vertex EOS Bond Metrics.
MultiCallMonteCarlo() - Constructor for class org.drip.sample.bond.MultiCallMonteCarlo
 
MulticSequence(int, SegmentBasisFunction[]) - Static method in class org.drip.spline.bspline.SegmentBasisFunctionGenerator
Create a sequence of B Splines of the specified order from the given inputs.
MultiCurveFRAMarket - Class in org.drip.sample.fra
MultiCurveFRAMarket contains the demonstration of the Market Multi-Curve FRA Product sample.
MultiCurveFRAMarket() - Constructor for class org.drip.sample.fra.MultiCurveFRAMarket
 
MultiCurveFRAMarketAnalysis - Class in org.drip.sample.fra
MultiCurveFRAMarketAnalysis contains an analysis of the correlation and volatility impact on the Market FRA.
MultiCurveFRAMarketAnalysis() - Constructor for class org.drip.sample.fra.MultiCurveFRAMarketAnalysis
 
MultiCurveFRAStandard - Class in org.drip.sample.fra
MultiCurveFRAStandard contains the demonstration of the Standard Multi-Curve FRA product sample.
MultiCurveFRAStandard() - Constructor for class org.drip.sample.fra.MultiCurveFRAStandard
 
MultiCurveFRAStandardAnalysis - Class in org.drip.sample.fra
MultiCurveFRAStandardAnalysis contains an Analysis of the Correlation and the Volatility Impact on the Standard FRA.
MultiCurveFRAStandardAnalysis() - Constructor for class org.drip.sample.fra.MultiCurveFRAStandardAnalysis
 
MultiCurvePayerReceiver - Class in org.drip.sample.fixfloatoption
MultiCurvePayerReceiver contains the demonstration of the Multi-Curve Payer/Receiver Fix-Float IRS European Option Sample.
MultiCurvePayerReceiver() - Constructor for class org.drip.sample.fixfloatoption.MultiCurvePayerReceiver
 
MultiCurvePayerReceiverAnalysis - Class in org.drip.sample.fixfloatoption
MultiCurvePayerReceiverAnalysis contains the demonstration of the custom volatility-correlation analysis of Multi-Curve Receiver/Payer Fix-Float Swap European Option sample.
MultiCurvePayerReceiverAnalysis() - Constructor for class org.drip.sample.fixfloatoption.MultiCurvePayerReceiverAnalysis
 
MultiFactorCurveDynamics - Class in org.drip.sample.lmm
MultiFactorCurveDynamics demonstrates the Construction and Usage of the Curve LIBOR State Evolver, and the eventual Evolution of the related Discount/Forward Latent State Quantification Metrics.
MultiFactorCurveDynamics() - Constructor for class org.drip.sample.lmm.MultiFactorCurveDynamics
 
MultiFactorDynamics - Class in org.drip.sample.hjm
MultiFactorDynamics demonstrates the Construction and Usage of the Multi-Factor Gaussian Model Dynamics for the Evolution of the Instantaneous Forward Rate, the Price, and the Short Rate.
MultiFactorDynamics() - Constructor for class org.drip.sample.hjm.MultiFactorDynamics
 
MultiFactorLIBORCurveEvolver - Class in org.drip.sample.lmm
MultiFactorLIBORCurveEvolver demonstrates the Evolution Sequence of the full LIBOR Forward Curve.
MultiFactorLIBORCurveEvolver() - Constructor for class org.drip.sample.lmm.MultiFactorLIBORCurveEvolver
 
MultiFactorLIBORMonteCarlo - Class in org.drip.sample.lmm
MultiFactorLIBORMonteCarlo demonstrates the Monte-Carlo Evolution Sequence of the LIBOR Forward Curve.
MultiFactorLIBORMonteCarlo() - Constructor for class org.drip.sample.lmm.MultiFactorLIBORMonteCarlo
 
MultiFactorQMDynamics - Class in org.drip.sample.hjm
MultiFactorQMDynamics demonstrates the Construction and Usage of the 3-Factor Gaussian Model Dynamics for the Evolution of the Discount Factor Quantification Metrics - the Instantaneous Forward Rate, the LIBOR Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the Compounded Short Rate, and the Price.
MultiFactorQMDynamics() - Constructor for class org.drip.sample.hjm.MultiFactorQMDynamics
 
MultiFactorStateEvolver - Class in org.drip.dynamics.hjm
MultiFactorStateEvolver sets up and implements the Base Multi-Factor No-arbitrage Dynamics of the Rates State Quantifiers as formulated in: Heath, D., R.
MultiFactorStateEvolver(FundingLabel, ForwardLabel, MultiFactorVolatility, R1ToR1) - Constructor for class org.drip.dynamics.hjm.MultiFactorStateEvolver
MultiFactorStateEvolver Constructor
MultiFactorVolatility - Class in org.drip.dynamics.hjm
MultiFactorVolatility implements the Volatility of the Multi-factor Stochastic Evolutionary Process.
MultiFactorVolatility(MarketSurface[], PrincipalFactorSequenceGenerator) - Constructor for class org.drip.dynamics.hjm.MultiFactorVolatility
MultiFactorVolatility Constructor
MultiFunction(double, double, double, double, double, double, R1ToR1, double, FixedPointFinderOutput) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Iterate for the next variate using the multi-function method
MultilateralBasisCurve - Class in org.drip.state.csa
MultilateralBasisCurve implements the CSA Cash Rate Curve as a Basis over an Overnight Curve.
MultilateralBasisCurve() - Constructor for class org.drip.state.csa.MultilateralBasisCurve
 
MultilateralFlatForwardCurve - Class in org.drip.state.csa
MultilateralFlatForwardCurve implements the CSA Cash Rate Curve using a Flat Forward CSA Rate.
MultilateralFlatForwardCurve(JulianDate, String, int[], double[], boolean, String, int) - Constructor for class org.drip.state.csa.MultilateralFlatForwardCurve
MultilateralFlatForwardCurve Constructor
multiPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Generate Multi-Path R^d Vertex Realizations Array
MultipleRecursiveGeneratorLEcuyer - Class in org.drip.measure.crng
MultipleRecursiveGeneratorLEcuyer - L'Ecuyer's Multiple Recursive Generator - combines Multiple Recursive Sequences to produce a Large State Space with good Randomness Properties.
MultipleRecursiveGeneratorLEcuyer(long, long, long, long, long, long, long, long, long, long, long, long) - Constructor for class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
MultipleRecursiveGeneratorLEcuyer Constructor
MultiplicativeCrossVolQuanto(CurveSurfaceQuoteContainer, String, String, int, int) - Static method in class org.drip.analytics.support.OptionHelper
Compute the Multiplicative Cross Volatility Quanto Product given the corresponding volatility and the correlation Curves, and the date spans
multiplier() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
Retrieve the Constraint KKR Multiplier Array
Multiply(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Multiply the 2 Complex Numbers
MultiSegmentSequence - Interface in org.drip.spline.stretch
MultiSegmentSequence is the interface that exposes functionality that spans multiple segments.
MultiSegmentSequenceBuilder - Class in org.drip.spline.stretch
MultiSegmentSequenceBuilder exports Stretch creation/calibration methods to generate customized basis splines, with customized segment behavior using the segment control.
MultiSegmentSequenceBuilder() - Constructor for class org.drip.spline.stretch.MultiSegmentSequenceBuilder
 
MultiSegmentSequenceModifier - Class in org.drip.spline.stretch
MultiSegmentSequenceModifier exports Stretch modification/alteration methods to generate customized basis splines, with customized segment behavior using the segment control.
MultiSegmentSequenceModifier() - Constructor for class org.drip.spline.stretch.MultiSegmentSequenceModifier
 
MultiSided - Class in org.drip.param.quote
MultiSided implements the Quote interface, which contains the stubs corresponding to a product quote.
MultiSided(String, double) - Constructor for class org.drip.param.quote.MultiSided
MultiSidedQuote Constructor: Constructs a Quote object from the quote value and the side string.
MultiSided(String, double, double) - Constructor for class org.drip.param.quote.MultiSided
MultiSided Constructor: Constructs a Quote object from the quote size/value and the side string.
MultiSpanAggregationEstimator - Class in org.drip.sample.stretch
MultiSpanAggregationEstimator demonstrates the Construction and Usage of the Multiple Span Aggregation Functionality.
MultiSpanAggregationEstimator() - Constructor for class org.drip.sample.stretch.MultiSpanAggregationEstimator
 
MultiStreamGenerator - Class in org.drip.measure.crng
MultiStreamGenerator helps generate Multiple Independent (i.e., Non-Overlapping) Streams of Random Numbers.
MultiStreamGenerator() - Constructor for class org.drip.measure.crng.MultiStreamGenerator
 
MultiStreamSwapMeasures - Class in org.drip.sample.funding
 
MultiStreamSwapMeasures() - Constructor for class org.drip.sample.funding.MultiStreamSwapMeasures
 
MultiStretchCurveBuilder - Class in org.drip.sample.overnight
MultiStretchCurveBuilder contains a sample of the construction and usage of the Overnight Curve built using the Overnight Indexed Swap Product Instruments in their distinct stretches.
MultiStretchCurveBuilder() - Constructor for class org.drip.sample.overnight.MultiStretchCurveBuilder
 
MultivariateDiscrete - Class in org.drip.measure.statistics
MultivariateDiscrete analyzes and computes the Moment and Metric Statistics for the Realized Multivariate Sequence.
MultivariateDiscrete(double[][]) - Constructor for class org.drip.measure.statistics.MultivariateDiscrete
MultivariateDiscrete Constructor
MultivariateMeta - Class in org.drip.measure.continuous
MultivariateMeta holds a Group of Variable Names - each of which separately is a Valid Single R^1/R^d Variable.
MultivariateMeta(String[]) - Constructor for class org.drip.measure.continuous.MultivariateMeta
MultivariateMeta Constructor
MultivariateMoments - Class in org.drip.measure.statistics
MultivariateMoments generates and holds the Specified Multivariate Series Mean, Co-variance, and other selected Moments.
MultivariateMoments() - Constructor for class org.drip.measure.statistics.MultivariateMoments
 
MultivariateRandom - Class in org.drip.sample.matrix
MultivariateRandom demonstrates the Technique to generate Correlated Multivariate Random Variables using Cholesky Factorial Method.
MultivariateRandom() - Constructor for class org.drip.sample.matrix.MultivariateRandom
 
MultivariateRandom - Class in org.drip.sequence.functional
MultivariateRandom contains the implementation of the objective Function dependent on Multivariate Random Variables.
MultivariateRandom() - Constructor for class org.drip.sequence.functional.MultivariateRandom
 
MultivariateSequence - Class in org.drip.sample.statistics
UnivariateSequence demonstrates the Generation of the Statistical Measures for the Input Series of Univariate Sequences.
MultivariateSequence() - Constructor for class org.drip.sample.statistics.MultivariateSequence
 
MultivariateSequenceGenerator - Class in org.drip.sequence.random
MultivariateSequenceGenerator implements the Multivariate Random Sequence Generator Functionality.
MultivariateSequenceGenerator(UnivariateSequenceGenerator[], double[][]) - Constructor for class org.drip.sequence.random.MultivariateSequenceGenerator
MultivariateSequenceGenerator Constructor
Mumbai - Class in org.drip.sample.bondmetrics
Mumbai generates the Full Suite of Replication Metrics for a Sample Bond.
Mumbai() - Constructor for class org.drip.sample.bondmetrics.Mumbai
 
MunicipalFixedBullet1 - Class in org.drip.sample.municipal
MunicipalFixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
MunicipalFixedBullet1() - Constructor for class org.drip.sample.municipal.MunicipalFixedBullet1
 
MunicipalFixedBullet2 - Class in org.drip.sample.municipal
MunicipalFixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
MunicipalFixedBullet2() - Constructor for class org.drip.sample.municipal.MunicipalFixedBullet2
 
MunicipalFixedBullet3 - Class in org.drip.sample.municipal
MunicipalFixedBullet3 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation Functionality.
MunicipalFixedBullet3() - Constructor for class org.drip.sample.municipal.MunicipalFixedBullet3
 
municipalSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the MUNICIPAL Sensitivity Margin Map
municipalTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the MUNICIPAL Tenor Delta Risk Weight
municipalTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the MUNICIPAL Tenor Sensitivity Margin Map
municipalTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
 
municipalTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the MUNICIPAL Curve Tenor Risk Weight
municipalTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
 
municipalTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Retrieve the MUNICIPAL Risk Factor Tenor Sensitivity
municipalTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the MUNICIPAL Tenor Vega Risk Weight
Muzaffarnagar - Class in org.drip.sample.bondmetrics
Muzaffarnagar generates the Full Suite of Replication Metrics for a Sample Bond.
Muzaffarnagar() - Constructor for class org.drip.sample.bondmetrics.Muzaffarnagar
 
Muzaffarpur - Class in org.drip.sample.bondmetrics
Muzaffarpur demonstrates the Analytics Calculation/Reconciliation for the Bond Muzaffarpur.
Muzaffarpur() - Constructor for class org.drip.sample.bondmetrics.Muzaffarpur
 
MXCHoliday - Class in org.drip.analytics.holset
 
MXCHoliday() - Constructor for class org.drip.analytics.holset.MXCHoliday
 
MXNHoliday - Class in org.drip.analytics.holset
 
MXNHoliday() - Constructor for class org.drip.analytics.holset.MXNHoliday
 
MXNIRSAttribution - Class in org.drip.sample.fixfloatpnl
MXNIRSAttribution generates the Historical PnL Attribution for MXN IRS.
MXNIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.MXNIRSAttribution
 
MXNShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
MXNShapePreserving1YStart Generates the Historical MXN Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
MXNShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.MXNShapePreserving1YStart
 
MXNShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
MXNShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the MXN Input Marks.
MXNShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.MXNShapePreservingReconstitutor
 
MXPHoliday - Class in org.drip.analytics.holset
 
MXPHoliday() - Constructor for class org.drip.analytics.holset.MXPHoliday
 
MXVHoliday - Class in org.drip.analytics.holset
 
MXVHoliday() - Constructor for class org.drip.analytics.holset.MXVHoliday
 
MYR - Class in org.drip.template.irs
MYR contains a Templated Pricing of the OTC Fix-Float MYR IRS Instrument.
MYR() - Constructor for class org.drip.template.irs.MYR
 
MYRHoliday - Class in org.drip.analytics.holset
 
MYRHoliday() - Constructor for class org.drip.analytics.holset.MYRHoliday
 
Mysore - Class in org.drip.sample.bondfixed
Mysore demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Mysore.
Mysore() - Constructor for class org.drip.sample.bondfixed.Mysore
 

N

name() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Index Name
name() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Name
name() - Method in class org.drip.measure.statistics.UnivariateMoments
Retrieve the Series Name
name() - Method in class org.drip.portfolioconstruction.core.Block
Retrieve the Name
name() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties
Retrieve the Name of the Asset
name() - Method in class org.drip.product.credit.BondBasket
 
name() - Method in class org.drip.product.credit.BondComponent
 
name() - Method in class org.drip.product.credit.CDSBasket
 
name() - Method in class org.drip.product.credit.CDSComponent
 
name() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the component name
name() - Method in class org.drip.product.definition.BasketProduct
Return the basket name
name() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the component name
name() - Method in class org.drip.product.fx.ComponentPair
 
name() - Method in class org.drip.product.fx.FXForwardComponent
 
name() - Method in class org.drip.product.govvie.TreasuryFutures
 
name() - Method in class org.drip.product.option.OptionComponent
 
name() - Method in class org.drip.product.rates.FixFloatComponent
 
name() - Method in class org.drip.product.rates.FloatFloatComponent
 
name() - Method in class org.drip.product.rates.RatesBasket
 
name() - Method in class org.drip.product.rates.SingleStreamComponent
 
name() - Method in class org.drip.product.rates.Stream
Retrieve the Stream Name
name() - Method in class org.drip.service.api.CDXCOB
The CDX Name
name() - Method in class org.drip.service.scenario.NamedField
Retrieve the Field Name
name() - Method in class org.drip.service.scenario.NamedFieldMap
Retrieve the Field Name
name() - Method in class org.drip.simm.product.CreditEntity
Retrieve the Credit Entity Name
name() - Method in class org.drip.spaces.graph.Vertex
Retrieve the Name of the Vertex Node
name() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
name() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Stretch Name
name() - Method in class org.drip.state.inference.LatentStateStretchSpec
Retrieve the name of the LatentStateStretchSpec Instance
name() - Method in class org.drip.xva.proto.ObjectSpecification
Retrieve the Exposure Roll Up Group Name
namedField() - Method in class org.drip.service.scenario.BondReplicationRun
Retrieve the Named Field Metrics
NamedField - Class in org.drip.service.scenario
NamedField holds a Double Field Name and Value.
NamedField(String, double) - Constructor for class org.drip.service.scenario.NamedField
NamedField Constructor
namedFieldMap() - Method in class org.drip.service.scenario.BondReplicationRun
Retrieve the Named Field Map Metrics
NamedFieldMap - Class in org.drip.service.scenario
NamedFieldMap holds a Double Map of Field Values and their Name.
NamedFieldMap(String, Map<String, Double>) - Constructor for class org.drip.service.scenario.NamedFieldMap
NamedFieldMap Constructor
NamedStringGrid(String) - Static method in class org.drip.feed.loader.CSVParser
Parse the Contents of the CSV File into a List of Named String Arrays
nameIndex() - Method in class org.drip.spaces.graph.ShortestPathTree
Retrieve the Name Indexed Vertex Periphery Map
names() - Method in class org.drip.measure.continuous.MultivariateMeta
Retrieve the Array of the Variate Names
Nanchang - Class in org.drip.sample.bondeos
Nanchang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nanchang.
Nanchang() - Constructor for class org.drip.sample.bondeos.Nanchang
 
Nanchong - Class in org.drip.sample.bondeos
Nanchong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nanchong.
Nanchong() - Constructor for class org.drip.sample.bondeos.Nanchong
 
Nanded - Class in org.drip.sample.bondmetrics
Nanded demonstrates the Analytics Calculation/Reconciliation for the Bond Nanded.
Nanded() - Constructor for class org.drip.sample.bondmetrics.Nanded
 
Nanjing - Class in org.drip.sample.bondeos
Nanjing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nanjing.
Nanjing() - Constructor for class org.drip.sample.bondeos.Nanjing
 
Nanning - Class in org.drip.sample.bondeos
Nanning demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nanning.
Nanning() - Constructor for class org.drip.sample.bondeos.Nanning
 
Nanping - Class in org.drip.sample.bondeos
Nanping demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nanping.
Nanping() - Constructor for class org.drip.sample.bondeos.Nanping
 
Nantong - Class in org.drip.sample.bondeos
Nantong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nantong.
Nantong() - Constructor for class org.drip.sample.bondeos.Nantong
 
Nanyang - Class in org.drip.sample.bondeos
Nanyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nanyang.
Nanyang() - Constructor for class org.drip.sample.bondeos.Nanyang
 
Nashik - Class in org.drip.sample.bondeos
Nashik demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Nashik.
Nashik() - Constructor for class org.drip.sample.bondeos.Nashik
 
nativeForwardCurve(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Construct the Native Forward Curve for the given Tenor from the Discount Curve
nativeForwardRate(String, String) - Method in class org.drip.historical.state.FundingCurveMetrics
Retrieve the Native Forward Rate given the In/For Tenors
nativeLoading() - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
Generate Loadings Native to the Scoping Distribution
NaturalLogSeriesElement - Class in org.drip.function.r1tor1
NaturalLogSeriesElement implements an element in the natural log series expansion.
NaturalLogSeriesElement(int) - Constructor for class org.drip.function.r1tor1.NaturalLogSeriesElement
NaturalLogSeriesElement constructor
NaturalStandard() - Static method in class org.drip.spline.stretch.BoundarySettings
Return the Instance of the Standard Natural Boundary Condition
NaviMumbai - Class in org.drip.sample.bondeos
NaviMumbai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for NaviMumbai.
NaviMumbai() - Constructor for class org.drip.sample.bondeos.NaviMumbai
 
NCK(int, int) - Static method in class org.drip.quant.common.NumberUtil
This function implements N choose K.
NecessarySufficientConditions - Class in org.drip.optimization.constrained
NecessarySufficientConditions holds the Results of the Verification of the Necessary and the Sufficient Conditions at the specified (possibly) Optimal Variate and the corresponding Fritz John Multiplier Suite.
NecessarySufficientConditions(double[], FritzJohnMultipliers, boolean, ConditionQualifierPrimalFeasibility, ConditionQualifierDualFeasibility, ConditionQualifierComplementarySlackness, ConditionQualifierFONC, ConditionQualifierSOSC) - Constructor for class org.drip.optimization.constrained.NecessarySufficientConditions
NecessarySufficientConditions Constructor
necessarySufficientQualifier(FritzJohnMultipliers, double[], boolean) - Method in class org.drip.optimization.constrained.OptimizationFramework
Generate the Battery of Necessary and Sufficient Qualification Tests
NegativeOrZero(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Indicate if the Array Entries are Negative or Zero
Neijiang - Class in org.drip.sample.bondeos
Neijiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Neijiang.
Neijiang() - Constructor for class org.drip.sample.bondeos.Neijiang
 
Nellore - Class in org.drip.sample.bondsink
Nellore generates the Full Suite of Replication Metrics for the Sinker Bond Nellore.
Nellore() - Constructor for class org.drip.sample.bondsink.Nellore
 
NetLiabilityCashFlow - Class in org.drip.portfolioconstruction.alm
NetLiabilityCashFlow holds the Investor Time Snap's Singular Liability Flow Details.
NetLiabilityCashFlow(double, boolean, boolean, double, double, double, double, double, double, double, double) - Constructor for class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
NetLiabilityCashFlow Constructor
NetLiabilityCliffDependence - Class in org.drip.sample.alm
NetLiabilityAgeDependence demonstrates the Dependence of the Outstanding Value on Investor Cliff/Horizon Settings.
NetLiabilityCliffDependence() - Constructor for class org.drip.sample.alm.NetLiabilityCliffDependence
 
NetLiabilityConsumptionDependence - Class in org.drip.sample.alm
NetLiabilityConsumptionDependence demonstrates the Dependence of the Outstanding Values on the Investor Consumption Settings.
NetLiabilityConsumptionDependence() - Constructor for class org.drip.sample.alm.NetLiabilityConsumptionDependence
 
NetLiabilityDiscountDependence - Class in org.drip.sample.alm
NetLiabilityDiscountDependence demonstrates the Dependence of the Outstanding Values on the Discounting Spread Settings.
NetLiabilityDiscountDependence() - Constructor for class org.drip.sample.alm.NetLiabilityDiscountDependence
 
NetLiabilityMetrics - Class in org.drip.portfolioconstruction.alm
NetLiabilityMetrics holds the Results of the Computation of the Net Liability Cash Flows and PV Metrics.
NetLiabilityMetrics(List<NetLiabilityCashFlow>, double, double, double) - Constructor for class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
NetLiabilityMetrics Constructor
NetLiabilityStream - Class in org.drip.portfolioconstruction.alm
NetLiabilityStream holds the Investor's Horizon, Consumption, and Income Settings needed to generate and value the Net Liability Cash Flow Stream.
NetLiabilityStream(InvestorCliffSettings, ExpectedNonFinancialIncome, ExpectedBasicConsumption, double) - Constructor for class org.drip.portfolioconstruction.alm.NetLiabilityStream
NetLiabilityStream Constructor
NetLiabilityStreamEstimator - Class in org.drip.sample.alm
NetLiabilityStreamEstimator demonstrates the Generation of an ALM Net Liability Cash Flow.
NetLiabilityStreamEstimator() - Constructor for class org.drip.sample.alm.NetLiabilityStreamEstimator
 
NetLiabilityTaxYieldDependence - Class in org.drip.sample.alm
NetLiabilityTaxYieldDependence demonstrates the Dependence of the Outstanding Value on the Tax and the Discount Yield Settings.
NetLiabilityTaxYieldDependence() - Constructor for class org.drip.sample.alm.NetLiabilityTaxYieldDependence
 
NetTaxGainsTerm - Class in org.drip.portfolioconstruction.objective
NetTaxGainsTerm holds the Details of the Portfolio Net Tax Gain Objective Term.
NetTaxGainsTerm(String, double[], TaxationScheme) - Constructor for class org.drip.portfolioconstruction.objective.NetTaxGainsTerm
NetTaxGainsTerm Constructor
NetTiltTerm - Class in org.drip.portfolioconstruction.objective
NetTiltTerm holds the Details of Net Tilt Unit Objective Term.
NetTiltTerm(String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.NetTiltTerm
NetTiltTerm Constructor
newEquilibriumPrice() - Method in class org.drip.execution.discrete.PriceIncrement
Retrieve the New Equilibrium Price
newExecutionPrice() - Method in class org.drip.execution.discrete.PriceIncrement
Retrieve the New Execution Price
NewtonFixedPointFinder - Class in org.drip.function.rdtor1solver
NewtonFixedPointFinder generates the Iterators for solving R^d To R^1 Convex/Non-Convex Functions Using the Multivariate Newton Method.
NewtonFixedPointFinder(RdToR1, LineStepEvolutionControl, ConvergenceControl) - Constructor for class org.drip.function.rdtor1solver.NewtonFixedPointFinder
NewtonFixedPointFinder Constructor
next(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Iterate Over to the Next Variate-Constraint Multiplier Tuple
next(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double) - Method in class org.drip.function.rdtor1solver.InteriorFixedPointFinder
 
next(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double) - Method in class org.drip.function.rdtor1solver.NewtonFixedPointFinder
 
next() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
 
next() - Method in interface org.drip.measure.crng.RecursiveGenerator
Generate the Next Number in the Sequence
next() - Method in class org.drip.spaces.iterator.SequenceIndexIterator
Retrieve the Next Cursor
nextBondFuturesIMM(int, String) - Method in class org.drip.analytics.date.JulianDate
Generate the First Bond Futures IMM Date from this JulianDate according to the specified Calendar
nextCouponDate(JulianDate) - Method in class org.drip.product.credit.BondComponent
 
nextCouponDate(JulianDate) - Method in class org.drip.product.definition.Bond
Return the coupon date for the period subsequent to the specified date
nextCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
nextCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Return the coupon rate for the period subsequent to the specified date
nextCreditIMM(int) - Method in class org.drip.analytics.date.JulianDate
Generate the First Credit IMM roll date from this JulianDate
nextDate(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
Retrieve the Next Exercise Date, starting from the Spot
nextDouble() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
Retrieve a Random Number between -1 and 1
nextDouble01() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
 
nextDouble01() - Method in class org.drip.measure.crng.LogNormalRandomNumberGenerator
 
nextDouble01() - Method in class org.drip.measure.crng.RandomNumberGenerator
Retrieve a Random Number between 0 and 1
nextDouble01() - Method in class org.drip.measure.crng.ShiftRegisterGenerator
 
nextFactor(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
Retrieve the Exercise Factor corresponding to the Next Exercise Date, starting from the Spot
nextLong() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
Retrieve the Next Pseudo-random Long
nextLong() - Method in class org.drip.measure.crng.ShiftRegisterGenerator
Generate the Next Long in the Sequence
nextRatesFuturesIMM(int) - Method in class org.drip.analytics.date.JulianDate
Generate the First Rates Futures IMM Date from this JulianDate
nextStateIndexCursor() - Method in class org.drip.spaces.iterator.RdExhaustiveStateSpaceScan
 
nextStateIndexCursor() - Method in class org.drip.spaces.iterator.RdReceedingStateSpaceScan
 
nextStateIndexCursor() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
Move to the Subsequent Index Cursor
nextValidExerciseDateOfType(JulianDate, boolean) - Method in class org.drip.product.credit.BondComponent
 
nextValidExerciseDateOfType(JulianDate, boolean) - Method in class org.drip.product.definition.Bond
Return the next exercise info of the given exercise type (call/put) subsequent to the specified date
nextValidExerciseInfo(JulianDate) - Method in class org.drip.product.credit.BondComponent
 
nextValidExerciseInfo(JulianDate) - Method in class org.drip.product.definition.Bond
Return the next exercise info subsequent to the specified date
NextVariate(UnitVector, double[], double) - Static method in class org.drip.function.rdtor1descent.LineEvolutionVerifier
 
nextVariateFunctionJacobian() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
Retrieve the Function Jacobian at the Next Variate
nextVariateFunctionJacobian() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Retrieve the Function Jacobian at the Next Variate
nextVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
Retrieve the Function Value at the Next Variate
nextVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Retrieve the Function Value at the Next Variate
nextVariates() - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
Retrieve the Subsequent Variate Array
NGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
NGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the NGB Benchmark Bond Series.
NGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.NGBBenchmarkAttribution
 
NGBReconstitutor - Class in org.drip.sample.treasuryfeed
NGBReconstitutor demonstrates the Cleansing and Re-constitution of the NGB Yield Marks obtained from Historical Yield Curve Prints.
NGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.NGBReconstitutor
 
Ningbo - Class in org.drip.sample.bondeos
Ningbo demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Ningbo.
Ningbo() - Constructor for class org.drip.sample.bondeos.Ningbo
 
Nizamabad - Class in org.drip.sample.loan
Nizamabad demonstrates the Analytics Calculation/Reconciliation for the Loan Nizamabad.
Nizamabad() - Constructor for class org.drip.sample.loan.Nizamabad
 
NLGHoliday - Class in org.drip.analytics.holset
 
NLGHoliday() - Constructor for class org.drip.analytics.holset.NLGHoliday
 
NO_CONSTRAINT - Static variable in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
NO_CONSTRAINT - No Constraint of any Kind
NOCEDAL_WRIGHT_ARMIJO_PARAMETER - Static variable in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
The Nocedal-Wright Armijo Parameter
NOCEDAL_WRIGHT_CURVATURE_PARAMETER - Static variable in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
The Nocedal-Wright Curvature Parameter
NocedalWrightArmijo(boolean) - Static method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Nocedal-Wright-Armijo Verifier Based Standard LineStepEvolutionControl Instance
NocedalWrightStandard(boolean) - Static method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
Construct the Nocedal-Wright Armijo Evolution Verifier
NocedalWrightStandard(boolean) - Static method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
Construct the Nocedal-Wright Curvature Evolution Verifier
NocedalWrightStandard(boolean, boolean) - Static method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
Construct the Nocedal-Wright Wolfe Evolution Verifier
NocedalWrightStrongCurvature() - Static method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Nocedal-Wright-Strong Curvature Verifier Based Standard LineStepEvolutionControl Instance
NocedalWrightStrongWolfe(boolean) - Static method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Nocedal-Wright-Strong Wolfe Verifier Based Standard LineStepEvolutionControl Instance
NocedalWrightWeakCurvature() - Static method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Nocedal-Wright-Weak Curvature Verifier Based Standard LineStepEvolutionControl Instance
NocedalWrightWeakWolfe(boolean) - Static method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Nocedal-Wright-Weak Wolfe Verifier Based Standard LineStepEvolutionControl Instance
noConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator For 0% Confidence in the Projection
noCSAForward() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
Return the Value of the Forward Contract under No CSA Criterion
Nodal(JulianDate, double, double, double, double, MarketVertexEntity, MarketVertexEntity, LatentStateVertexContainer) - Static method in class org.drip.exposure.universe.MarketVertex
Construct a Nodal Market Vertex
node(double, double) - Method in class org.drip.analytics.definition.MarketSurface
Get the Market Node given the X and the Y Ordinates
node(double, String) - Method in class org.drip.analytics.definition.MarketSurface
Get the Market Node given the Strike and the Tenor
node(int) - Method in class org.drip.analytics.definition.NodeStructure
Get the Market Node at the given Predictor Ordinate
node(JulianDate) - Method in class org.drip.analytics.definition.NodeStructure
Get the Market Node at the given Maturity
node(String) - Method in class org.drip.analytics.definition.NodeStructure
Get the Market Node at the given Maturity
node() - Method in class org.drip.param.definition.ManifestMeasureTweak
Index of the Node to be tweaked
node() - Method in class org.drip.spaces.big.BinaryTree
Retrieve the BinaryTree Node Value
node(int) - Method in class org.drip.state.curve.BasisSplineDeterministicVolatility
 
node(double, double) - Method in class org.drip.state.curve.BasisSplineMarketSurface
 
node(int) - Method in class org.drip.state.curve.BasisSplineTermStructure
 
node(int) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
 
NODE_INSIDE_SEGMENT - Static variable in class org.drip.analytics.cashflow.ComposableUnitPeriod
Node is Inside the Period
NODE_LEFT_OF_SEGMENT - Static variable in class org.drip.analytics.cashflow.ComposableUnitPeriod
Node is to the Left of the Period
NODE_RIGHT_OF_SEGMENT - Static variable in class org.drip.analytics.cashflow.ComposableUnitPeriod
Node is to the Right of the Period
nodeDerivative(int, int) - Method in class org.drip.analytics.definition.NodeStructure
Get the Market Node Derivative at the given Predictor Ordinate
nodeDerivative(JulianDate, int) - Method in class org.drip.analytics.definition.NodeStructure
Get the Market Node Derivative at the given Maturity
nodeDerivative(String, int) - Method in class org.drip.analytics.definition.NodeStructure
Get the Market Node Derivative at the given Maturity
nodeDerivative(int, int) - Method in class org.drip.state.curve.BasisSplineDeterministicVolatility
 
nodeDerivative(int, int) - Method in class org.drip.state.curve.BasisSplineTermStructure
 
nodeDerivative(int, int) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
 
nodeMetrics(long, long) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the Node Metrics from the corresponding Tree Time/Space Indexes
nodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the Node Metrics Map
NodeStructure - Class in org.drip.analytics.definition
NodeStructure exposes the stub that implements the latent state's Node Structure (e.g., a Deterministic Term Structure) - by Construction, this is expected to be non-local.
NodeStructure(int, LatentStateLabel, String) - Constructor for class org.drip.analytics.definition.NodeStructure
 
nodeValues() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
Retrieve the Forward Node Values
Noida - Class in org.drip.sample.bondmetrics
Noida generates the Full Suite of Replication Metrics for Bond Noida.
Noida() - Constructor for class org.drip.sample.bondmetrics.Noida
 
NoImpact() - Static method in class org.drip.execution.impact.ParticipationRateLinear
Construct a Vanilla Zero-Impact ParticipationRateLinear Instance
NOK - Class in org.drip.template.irs
NOK contains a Templated Pricing of the OTC Fix-Float NOK IRS Instrument.
NOK() - Constructor for class org.drip.template.irs.NOK
 
NOK3M6MUSD3M6M - Class in org.drip.sample.dual
NOK3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from NOK3M6MUSD3M6M CCBS, NOK 3M, NOK 6M, and USD 6M Quotes.
NOK3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.NOK3M6MUSD3M6M
 
NOKHoliday - Class in org.drip.analytics.holset
 
NOKHoliday() - Constructor for class org.drip.analytics.holset.NOKHoliday
 
NOKIRSAttribution - Class in org.drip.sample.fixfloatpnl
NOKIRSAttribution generates the Historical PnL Attribution for NOK IRS.
NOKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.NOKIRSAttribution
 
NOKShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
NOKShapePreserving1YForward Generates the Historical NOK Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
NOKShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.NOKShapePreserving1YForward
 
NOKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
NOKShapePreserving1YStart Generates the Historical NOK Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
NOKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.NOKShapePreserving1YStart
 
NOKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
NOKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the NOK Input Marks.
NOKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.NOKShapePreservingReconstitutor
 
NOKSmooth1YForward - Class in org.drip.sample.fundinghistorical
NOKSmooth1YForward Generates the Historical NOK Smoothened Funding Curve Native 1Y Compounded Forward Rate.
NOKSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.NOKSmooth1YForward
 
NOKSmoothReconstitutor - Class in org.drip.sample.fundingfeed
NOKSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the NOK Input Marks.
NOKSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.NOKSmoothReconstitutor
 
nominal() - Method in class org.drip.market.exchange.DeliverableSwapFutures
Retrieve the Nominal
NominalYieldToPostTaxEquivalent(double, double) - Static method in class org.drip.analytics.support.Helper
Convert the Nominal Yield to the Post Tax Equivalent Yield
NON_MONOTONIC - Static variable in class org.drip.spline.segment.Monotonocity
NON-MONOTONIC
NON_RESIDUAL_TO_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation20
Correlation between Sensitivities of Non-Residual to Non-Residual
NON_RESIDUAL_TO_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation21
Correlation between Sensitivities of Non-Residual to Non-Residual
NON_TRIANGULAR - Static variable in class org.drip.quant.linearalgebra.Matrix
Non Triangular Matrix
nonAdaptive() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Generate a Static, Non-adaptive Trading Trajectory Instance
nonDimensionalCost() - Method in class org.drip.execution.adaptive.CoordinatedVariationDynamic
Retrieve the Array of the Non Dimensional Costs
nonDimensionalCost() - Method in class org.drip.execution.adaptive.CoordinatedVariationRollingHorizon
Retrieve the Array of the Non Dimensional Cost
NonDimensionalCost - Class in org.drip.execution.hjb
NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost Value Function to the Market State.
NonDimensionalCost(double, double) - Constructor for class org.drip.execution.hjb.NonDimensionalCost
NonDimensionalCost Constructor
NonDimensionalCostCorrelated - Class in org.drip.execution.hjb
NonDimensionalCostCorrelated contains the Level, the Gradient, and the Jacobian of the HJB Non-dimensional Cost Value Function to the Individual Correlated Market States.
NonDimensionalCostCorrelated(double, double, double, double, double, double, double) - Constructor for class org.drip.execution.hjb.NonDimensionalCostCorrelated
NonDimensionalCostCorrelated Constructor
NonDimensionalCostEvolver - Class in org.drip.execution.hjb
NonDimensionalCostEvolver exposes the HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Variants of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
NonDimensionalCostEvolver(OrnsteinUhlenbeck, double, boolean) - Constructor for class org.drip.execution.hjb.NonDimensionalCostEvolver
 
NonDimensionalCostEvolverCorrelated - Class in org.drip.execution.hjb
NonDimensionalCostEvolverCorrelated implements the Correlated HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Correlated Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
NonDimensionalCostEvolverCorrelated(OrnsteinUhlenbeckPair, double, boolean) - Constructor for class org.drip.execution.hjb.NonDimensionalCostEvolverCorrelated
NonDimensionalCostEvolverCorrelated Constructor
NonDimensionalCostEvolverSystemic - Class in org.drip.execution.hjb
NonDimensionalCostEvolverSystemic implements the 1D HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Systemic Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
NonDimensionalCostEvolverSystemic(OrnsteinUhlenbeck, double, boolean) - Constructor for class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
NonDimensionalCostEvolverSystemic Constructor
NonDimensionalCostSystemic - Class in org.drip.execution.hjb
NonDimensionalCostSystemic contains the Level, the Gradient, and the Jacobian of the HJB Non Dimensional Cost Value Function to the Systemic Market State.
NonDimensionalCostSystemic(double, double, double, double) - Constructor for class org.drip.execution.hjb.NonDimensionalCostSystemic
NonDimensionalCostSystemic Constructor
nonDimensionalHoldings() - Method in class org.drip.execution.adaptive.CoordinatedVariationDynamic
Retrieve the Array of the Non Dimensional Holdings
nonDimensionalHoldings() - Method in class org.drip.execution.adaptive.CoordinatedVariationRollingHorizon
Retrieve the Array of the Non Dimensional Holdings
nonDimensionalRiskAversion() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
Retrieve the Non Dimensional Risk Aversion Parameter
nonDimensionalTradeRate() - Method in class org.drip.execution.adaptive.CoordinatedVariationRollingHorizon
Retrieve the Array of the Non Dimensional Trade Rate
nonDimensionalTradeRate() - Method in class org.drip.execution.hjb.NonDimensionalCost
Retrieve the Non-dimensional Trade Rate
NonFeudal(ConstraintTerm[]) - Static method in class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
Construct a Flat Non-Feudal Instance of ConstraintHierarchy
nonFeudal() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
Indicate if the Constraint Array is non-Feudal
nonFinancialIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
Retrieve the Investor's Non-Financial Income Settings
NonFixedBullet - Class in org.drip.sample.corporate
NonFixedBullet demonstrates Non-EOS Non-Fixed Coupon (Floater, Variable) Corporate Bond Pricing and Relative Value Measure Generation Functionality.
NonFixedBullet() - Constructor for class org.drip.sample.corporate.NonFixedBullet
 
NonHonored(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Non-Honored CSA Event Date
NonHonored(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Non-Honored CSA Event Date
nonHonored() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Non Honored Event Date
NonlinearBuild(JulianDate, String, CalibratableComponent[], double[], String[], LatentStateFixingsContainer) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create Discount Curve from the Calibration Instruments
NonlinearBuild(String, JulianDate, LatentStateLabel, FRAStandardCapFloor[], double[], String[], MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer) - Static method in class org.drip.state.creator.ScenarioLocalVolatilityBuilder
Create a Volatility Curve from the Calibration Instruments
NonlinearCurveBuilder - Class in org.drip.state.nonlinear
NonlinearCurveBuilder calibrates the discount and credit/hazard curves from the components and their quotes.
NonlinearCurveBuilder() - Constructor for class org.drip.state.nonlinear.NonlinearCurveBuilder
 
NonlinearCurveMeasures - Class in org.drip.sample.funding
NonlinearCurveMeasures contains a demo of the Non-linear Rates Analytics API Usage.
NonlinearCurveMeasures() - Constructor for class org.drip.sample.funding.NonlinearCurveMeasures
 
NonlinearGovvieCurve - Class in org.drip.sample.govvie
NonlinearGovvieCurve contains a demo of construction and usage of the non-linear treasury discount curve from government bond inputs.
NonlinearGovvieCurve() - Constructor for class org.drip.sample.govvie.NonlinearGovvieCurve
 
NonQualifyingBucketSet() - Static method in class org.drip.simm.credit.CRThresholdContainer20
Retrieve the Credit Risk Non-Qualifying Threshold Bucket Set
NonQualifyingBucketSet() - Static method in class org.drip.simm.credit.CRThresholdContainer21
Retrieve the Credit Risk Non-Qualifying Threshold Bucket Set
NonQualifyingThreshold(int) - Static method in class org.drip.simm.credit.CRThresholdContainer20
Retrieve the Credit Risk Non-Qualifying Threshold Instance identified by the Bucket Number
NonQualifyingThreshold(int) - Static method in class org.drip.simm.credit.CRThresholdContainer21
Retrieve the Credit Risk Non-Qualifying Threshold Instance identified by the Bucket Number
norm() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
Compute the Metric Norm of the Operator
Normalize(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Normalize the Input Vector
normalizedCumulative(double) - Method in class org.drip.spline.bspline.SegmentBasisFunction
Evaluate the Cumulative Normalized Integrand up to the given ordinate
normalizedCumulative(double) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
 
normalizedCumulative(double) - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
 
NormalizedEqualWeightedArray(int) - Static method in class org.drip.analytics.support.Helper
Construct a Normalized, Equally Weighted Array from the Specified Number of Elements
normalizer() - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
 
normalizer() - Method in class org.drip.spline.bspline.CubicRationalRightRaw
 
normalizer() - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
 
normalizer() - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
 
normalizer() - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
 
normalizer() - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
 
normalizer() - Method in class org.drip.spline.bspline.LeftHatShapeControl
 
normalizer() - Method in class org.drip.spline.bspline.RightHatShapeControl
 
normalizer() - Method in class org.drip.spline.bspline.SegmentBasisFunction
Compute the complete Envelope Integrand - this will serve as the Envelope Normalizer.
normalizer() - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
 
normalizer() - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
 
normalizer() - Method in class org.drip.spline.bspline.TensionBasisHat
Compute the Normalizer
normalizer() - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
 
normalizeTradeSize(double, double) - Method in class org.drip.execution.parameters.AssetFlowSettings
Retrieve the Normalized Trade Size
NormalQuadrature - Class in org.drip.measure.gaussian
NormalQuadrature implements the Quadrature Metrics behind the Univariate Normal Distribution.
NormalQuadrature() - Constructor for class org.drip.measure.gaussian.NormalQuadrature
 
normedEntropyUpperBound(MaureyOperatorCoveringBounds, MaureyOperatorCoveringBounds, int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Normed Upper Entropy Convolution Product Bound across the Function Classes
NormedR1CombinatorialToR1Continuous - Class in org.drip.spaces.rxtor1
NormedR1CombinatorialToR1Continuous implements the f : Validated Normed R^1 Combinatorial To Validated Normed R^1 Continuous Function Spaces.
NormedR1CombinatorialToR1Continuous(R1Combinatorial, R1Continuous, R1ToR1) - Constructor for class org.drip.spaces.rxtor1.NormedR1CombinatorialToR1Continuous
NormedR1CombinatorialToR1Continuous Function Space Constructor
NormedR1CombinatorialToRdContinuous - Class in org.drip.spaces.rxtord
NormedRdCombinatorialToRdContinuous implements the f : Validated Normed R^d Combinatorial To Normed Validated R^d Continuous Function Spaces.
NormedR1CombinatorialToRdContinuous(R1Combinatorial, RdContinuousBanach, R1ToRd) - Constructor for class org.drip.spaces.rxtord.NormedR1CombinatorialToRdContinuous
NormedR1CombinatorialToRdContinuous Function Space Constructor
NormedR1ContinuousToR1Continuous - Class in org.drip.spaces.rxtor1
NormedR1ContinuousToR1Continuous implements the f : Validated Normed R^1 Continuous To Validated Normed R^1 Continuous Function Spaces.
NormedR1ContinuousToR1Continuous(R1Continuous, R1Continuous, R1ToR1) - Constructor for class org.drip.spaces.rxtor1.NormedR1ContinuousToR1Continuous
NormedR1ContinuousToR1Continuous Function Space Constructor
NormedR1ContinuousToRdContinuous - Class in org.drip.spaces.rxtord
NormedRdContinuousToRdContinuous implements the f : Normed, Validated R^d Continuous To Normed, Validated R^d Continuous Function Spaces.
NormedR1ContinuousToRdContinuous(R1Continuous, RdContinuousBanach, R1ToRd) - Constructor for class org.drip.spaces.rxtord.NormedR1ContinuousToRdContinuous
NormedR1ContinuousToRdContinuous Function Space Constructor
NormedR1ToL1R1Finite - Class in org.drip.spaces.functionclass
NormedR1ToL1R1Finite implements the Class f E F : Normed R^1 To L1 R^1 Spaces of Finite Functions.
NormedR1ToL1R1Finite(double, NormedR1ToNormedR1[]) - Constructor for class org.drip.spaces.functionclass.NormedR1ToL1R1Finite
 
NormedR1ToNormedR1 - Class in org.drip.spaces.rxtor1
NormedR1ToNormedR1 is the Abstract Class underlying the f : Validated Normed R^1 To Validated Normed R^1 Function Spaces.
NormedR1ToNormedR1(R1Normed, R1Normed, R1ToR1) - Constructor for class org.drip.spaces.rxtor1.NormedR1ToNormedR1
 
NormedR1ToNormedR1Finite - Class in org.drip.spaces.functionclass
NormedR1ToNormedR1Finite implements the Class F of f : Normed R^1 To Normed R^1 Spaces of Finite Functions.
NormedR1ToNormedR1Finite(double, NormedR1ToNormedR1[]) - Constructor for class org.drip.spaces.functionclass.NormedR1ToNormedR1Finite
NormedR1ToNormedR1Finite Finite Function Class Constructor
NormedR1ToNormedRd - Class in org.drip.spaces.rxtord
NormedR1ToNormedRd is the abstract class underlying the f : Validated Normed R^1 To Validated Normed R^d Function Spaces.
NormedR1ToNormedRd(R1Normed, RdNormed, R1ToRd) - Constructor for class org.drip.spaces.rxtord.NormedR1ToNormedRd
 
NormedRdCombinatorialToR1Continuous - Class in org.drip.spaces.rxtor1
NormedRdCombinatorialToR1Continuous implements the f : Validated Normed R^d Combinatorial To Validated Normed R^1 Continuous Function Spaces.
NormedRdCombinatorialToR1Continuous(RdCombinatorialBanach, R1Continuous, RdToR1) - Constructor for class org.drip.spaces.rxtor1.NormedRdCombinatorialToR1Continuous
NormedRdCombinatorialToR1Continuous Function Space Constructor
NormedRdCombinatorialToRdContinuous - Class in org.drip.spaces.rxtord
NormedRdCombinatorialToRdContinuous implements the f : Validated R^d Combinatorial To Validated R^d Continuous Normed Function Spaces.
NormedRdCombinatorialToRdContinuous(RdCombinatorialBanach, RdContinuousBanach, RdToRd) - Constructor for class org.drip.spaces.rxtord.NormedRdCombinatorialToRdContinuous
NormedRdCombinatorialToRdContinuous Function Space Constructor
NormedRdContinuousToR1Continuous - Class in org.drip.spaces.rxtor1
NormedRdContinuousToR1Continuous implements the f : Validated Normed R^d Continuous To Validated Normed R^1 Continuous Function Spaces.
NormedRdContinuousToR1Continuous(RdContinuousBanach, R1Continuous, RdToR1) - Constructor for class org.drip.spaces.rxtor1.NormedRdContinuousToR1Continuous
NormedRdContinuousToR1Continuous Function Space Constructor
NormedRdContinuousToRdContinuous - Class in org.drip.spaces.rxtord
NormedRdContinuousToRdContinuous implements the f : Validated R^d Continuous To Validated R^d Continuous Normed Function Spaces.
NormedRdContinuousToRdContinuous(RdContinuousBanach, RdContinuousBanach, RdToRd) - Constructor for class org.drip.spaces.rxtord.NormedRdContinuousToRdContinuous
NormedRdContinuousToRdContinuous Function Space Constructor
NormedRdToNormedR1 - Class in org.drip.spaces.rxtor1
NormedRdToNormedR1 is the Abstract Class underlying the f : Validated Normed R^d To Validated Normed R^1 Function Spaces.
NormedRdToNormedR1(RdNormed, R1Normed, RdToR1) - Constructor for class org.drip.spaces.rxtor1.NormedRdToNormedR1
 
NormedRdToNormedR1Finite - Class in org.drip.spaces.functionclass
NormedRdToNormedR1Finite implements the Class F of f : Normed R^d To Normed R^1 Spaces of Finite Functions.
NormedRdToNormedR1Finite(double, NormedRdToNormedR1[]) - Constructor for class org.drip.spaces.functionclass.NormedRdToNormedR1Finite
NormedRdToNormedR1Finite Function Class Constructor
NormedRdToNormedRd - Class in org.drip.spaces.rxtord
NormedRdToNormedRd is the abstract class underlying the f : Normed, Validated R^d To Normed, Validated R^d Function Spaces.
NormedRdToNormedRd(RdNormed, RdNormed, RdToRd) - Constructor for class org.drip.spaces.rxtord.NormedRdToNormedRd
 
NormedRxToNormedR1 - Class in org.drip.spaces.rxtor1
NormedRxToNormedR1 is the Abstract Class that exposes f : Normed R^x (x .gte.
NormedRxToNormedR1() - Constructor for class org.drip.spaces.rxtor1.NormedRxToNormedR1
 
NormedRxToNormedR1Finite - Class in org.drip.spaces.functionclass
NormedRxToNormedR1Finite implements the Class F with f E f : Normed R^x To Normed R^1 Space of Finite Functions.
NormedRxToNormedR1Finite(double, NormedRxToNormedR1[]) - Constructor for class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
NormedRxToNormedRd - Class in org.drip.spaces.rxtord
NormedRxToNormedRd is the abstract Class that exposes f : Normed R^x (x .gte.
NormedRxToNormedRd() - Constructor for class org.drip.spaces.rxtord.NormedRxToNormedRd
 
NormedRxToNormedRdFinite - Class in org.drip.spaces.functionclass
NormedRxToNormedRdFinite implements the Class F with f E f : Normed R^x To Normed R^d Space of Finite Functions.
NormedRxToNormedRdFinite(double, NormedRxToNormedRd[]) - Constructor for class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
NormedRxToNormedRdFinite Constructor
NormedRxToNormedRxFinite - Class in org.drip.spaces.functionclass
NormedRxToNormedRxFinite exposes the Space of Functions that are a Transform from the Normed R^x To Normed R^x Spaces.
NormedRxToNormedRxFinite(double) - Constructor for class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
 
normRadius() - Method in class org.drip.spaces.metric.R1CombinatorialBall
Retrieve the Radius Norm
normRadius() - Method in class org.drip.spaces.metric.R1ContinuousBall
Retrieve the Radius Norm
normRadius() - Method in class org.drip.spaces.metric.RdCombinatorialBall
Retrieve the Radius Norm
normRadius() - Method in class org.drip.spaces.metric.RdContinuousBall
Retrieve the Radius Norm
NotAKnotStandard(int, int) - Static method in class org.drip.spline.stretch.BoundarySettings
Return the Instance of the Standard Not-A-Knot Boundary Condition
notional(int) - Method in class org.drip.analytics.cashflow.Bullet
Notional corresponding to the specified Date
notional(int, int) - Method in class org.drip.analytics.cashflow.Bullet
Notional Aggregated over the specified Dates
notional(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Coupon Period Notional Corresponding to the specified Date
notional(int, int) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Coupon Period Notional Aggregated over the specified Dates
notional() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal Notional
notional() - Method in class org.drip.exposure.generator.FixFloatMPoR
Retrieve the Underlying Fix Float Notional
notional() - Method in class org.drip.exposure.generator.NumeraireMPoR
Retrieve the Notional
notional() - Method in class org.drip.exposure.generator.StreamMPoR
Retrieve the Underlying Stream Notional
notional() - Method in class org.drip.market.exchange.ShortTermFutures
Retrieve the Traded Notional
notional() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
Retrieve the Option Exchange Notional
notional() - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Notional of the Portfolio
notional(int) - Method in class org.drip.product.credit.BondComponent
 
notional(int, int) - Method in class org.drip.product.credit.BondComponent
 
notional(int) - Method in class org.drip.product.credit.CDSComponent
 
notional(int, int) - Method in class org.drip.product.credit.CDSComponent
 
notional(int) - Method in class org.drip.product.definition.BasketProduct
Retrieve the notional at the given date
notional(int, int) - Method in class org.drip.product.definition.BasketProduct
Retrieve the time-weighted notional between 2 given dates
notional(int) - Method in class org.drip.product.definition.Component
Get the Notional for the Product at the given date
notional(int, int) - Method in class org.drip.product.definition.Component
Get the time-weighted Notional for the Product between 2 dates
notional(int) - Method in class org.drip.product.fx.FXForwardComponent
 
notional(int, int) - Method in class org.drip.product.fx.FXForwardComponent
 
notional(int) - Method in class org.drip.product.govvie.TreasuryFutures
 
notional(int, int) - Method in class org.drip.product.govvie.TreasuryFutures
 
notional() - Method in class org.drip.product.option.OptionComponent
Retrieve the Notional
notional(int) - Method in class org.drip.product.option.OptionComponent
 
notional(int, int) - Method in class org.drip.product.option.OptionComponent
 
notional(int) - Method in class org.drip.product.rates.FixFloatComponent
 
notional(int, int) - Method in class org.drip.product.rates.FixFloatComponent
 
notional(int) - Method in class org.drip.product.rates.FloatFloatComponent
 
notional(int, int) - Method in class org.drip.product.rates.FloatFloatComponent
 
notional(int) - Method in class org.drip.product.rates.RatesBasket
 
notional(int, int) - Method in class org.drip.product.rates.RatesBasket
 
notional(int) - Method in class org.drip.product.rates.SingleStreamComponent
 
notional(int, int) - Method in class org.drip.product.rates.SingleStreamComponent
 
notional(int) - Method in class org.drip.product.rates.Stream
Retrieve the Notional corresponding to the specified Date
notional(int, int) - Method in class org.drip.product.rates.Stream
Retrieve the Notional aggregated over the Date Pairs
notionalAmount() - Method in class org.drip.product.params.NotionalSetting
Retrieve the Notional Amount
notionalSchedule() - Method in class org.drip.analytics.cashflow.Bullet
Get the Notional Schedule
notionalSchedule() - Method in class org.drip.analytics.cashflow.CompositePeriod
Get the Period Notional Schedule
notionalSchedule() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Notional Schedule
notionalSetting() - Method in class org.drip.product.credit.BondComponent
 
notionalSetting() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond notional Setting
NotionalSetting - Class in org.drip.product.params
NotionalSetting contains the product's notional schedule and the amount.
NotionalSetting(double, String, Array2D, int, boolean) - Constructor for class org.drip.product.params.NotionalSetting
Construct the NotionalSetting from the notional schedule and the amount.
notionalValue() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Notional Value
NOVEMBER - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - November
NPK(int, int) - Static method in class org.drip.quant.common.NumberUtil
This function implements N Permute K.
NSphereSurfaceExtremization - Class in org.drip.sample.optimizer
NSphereSurfaceExtremization computes the Equality-Constrained Extrema of the Specified Function along the Surface of an N-Sphere using Lagrange Multipliers.
NSphereSurfaceExtremization() - Constructor for class org.drip.sample.optimizer.NSphereSurfaceExtremization
 
nSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from ASW to Work-out
nSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from ASW to Maturity
nSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from ASW to Optimal Exercise
nSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Bond Basis to Work-out
nSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Bond Basis to Maturity
nSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Bond Basis to Optimal Exercise
nSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Credit Basis to Work-out
nSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Credit Basis to Maturity
nSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Credit Basis to Optimal Exercise
nSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Discount Margin to Work-out
nSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Discount Margin to Maturity
nSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Discount Margin to Optimal Exercise
nSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from E Spread to Work-out
nSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from E Spread to Maturity
nSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from E Spread to Optimal Exercise
nSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from G Spread to Work-out
nSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from G Spread to Maturity
nSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from G Spread to Optimal Exercise
nSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from I Spread to Work-out
nSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from I Spread to Maturity
nSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from I Spread to Optimal Exercise
nSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from J Spread to Work-out
nSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from J Spread to Maturity
nSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from J Spread to Optimal Exercise
nSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from OAS to Work-out
nSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from OAS to Maturity
nSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from OAS to Optimal Exercise
nSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from PECS to Work-out
nSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from PECS to Maturity
nSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from PECS to Optimal Exercise
nSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Price to Work-out
nSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Price to Maturity
nSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Price to Optimal Exercise
nSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from TSY Spread to Work-out
nSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from TSY Spread to Maturity
nSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from TSY Spread to Optimal Exercise
nSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Yield to Work-out
nSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Yield to Maturity
nSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Yield Spread to Work-out
nSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Yield Spread to Maturity
nSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Yield Spread to Optimal Exercise
nSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Yield to Optimal Exercise
nSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Z Spread to Work-out
nSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Z Spread to Maturity
nSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
nSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate N Spread from Z Spread to Optimal Exercise
NULL_SER_STRING - Static variable in class org.drip.quant.common.StringUtil
Null serialized string
numBasis() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the Number of Basis Functions
numBasis() - Method in class org.drip.spline.basis.FunctionSet
Retrieve the Number of Basis Functions
numBasis() - Method in class org.drip.spline.basis.PolynomialFunctionSetParams
Get the Number of Spline Basis Functions in the Set
numBasis() - Method in interface org.drip.spline.segment.BasisEvaluator
Retrieve the number of Segment's Basis Functions
numBasis() - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
number() - Method in class org.drip.simm.commodity.CTBucket
Retrieve the SIMM Bucket Number
number() - Method in class org.drip.simm.credit.CRBucket
Retrieve the SIMM 2.0 Bucket Number
number() - Method in class org.drip.simm.equity.EQBucket
Retrieve the Bucket Number
number() - Method in class org.drip.spaces.tensor.Cardinality
Retrieve the Cardinality Number
numberOfConstituents() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Number of Constituents
numberOfProjectionVariate() - Method in class org.drip.measure.bayesian.ProjectionDistributionLoading
Retrieve the Number of the Projection Variates
numberOfScopingVariate() - Method in class org.drip.measure.bayesian.ProjectionDistributionLoading
Retrieve the Number of the Scoping Variate
numberOfTrades() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
Retrieve the Number of Trades
NumberUtil - Class in org.drip.quant.common
NumberUtil implements number utility functions.
NumberUtil() - Constructor for class org.drip.quant.common.NumberUtil
 
numCcy() - Method in class org.drip.product.params.CurrencyPair
Get the numerator currency
numDecaySteps() - Method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
Retrieve the Number of Decay Steps
numDimension() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Retrieve the Number of Dimensions
numEqualityCoefficients() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
Retrieve the Number of Equality Multiplier Coefficients
numEqualityConstraint() - Method in class org.drip.optimization.constrained.OptimizationFramework
Retrieve the Number of Equality Constraints
NumeraireInducedMeasureShift - Class in org.drip.exposure.csadynamics
NumeraireInducedMeasureShift computes the Shift of the Forward Terminal Distribution between the Non-CSA and the CSA Cases.
NumeraireInducedMeasureShift(double, double, double) - Constructor for class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
NumeraireInducedMeasureShift Constructor
NumeraireMPoR - Class in org.drip.exposure.generator
NumeraireMPoR estimates the MPoR Variation Margin and the Trade Payments for the generic Numeraire off of the Realized Market Path.
NumeraireMPoR(LatentStateLabel, double) - Constructor for class org.drip.exposure.generator.NumeraireMPoR
NumeraireMPoR Constructor
NumericalRecipes(RecursiveGenerator) - Static method in class org.drip.measure.crng.LinearCongruentialGenerator
Construct a NumericalRecipes Version of LinearCongruentialGenerator
numExecutedUnit() - Method in class org.drip.execution.principal.GrossProfitExpectation
Retrieve the Number of Executed Units
numFactor() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
Retrieve the Number of Factors
NumFeb29(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
Calculate how many Leap Days exist between the 2 given Dates
numFinderSteps() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
Retrieve the Number of Finder Steps
numInequalityCoefficients() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
Retrieve the Number of Inequality Multiplier Coefficients
numInequalityConstraint() - Method in class org.drip.optimization.constrained.OptimizationFramework
Retrieve the Number of Inequality Constraints
numParameters() - Method in class org.drip.quant.calculus.WengertJacobian
Retrieve the number of Parameters
numParameters() - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Number of Parameters
numPath() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Retrieve the Number of Paths
numPath() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Retrieve the Number of Simulation Paths
numPoint() - Method in class org.drip.spline.params.SegmentBestFitResponse
Retrieve the Number of Fitness Points
numPoint() - Method in class org.drip.spline.params.StretchBestFitResponse
Retrieve the Number of Fitness Points
numSample() - Method in class org.drip.measure.statistics.UnivariateMoments
Retrieve the Number of Samples
numTotalCoefficients() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
Retrieve the Number of Total KKT Multiplier Coefficients
numVariable() - Method in class org.drip.measure.continuous.MultivariateMeta
Retrieve the Number of Variate
numVariate() - Method in class org.drip.measure.gaussian.Covariance
Retrieve the Number of Variates
numVariate() - Method in class org.drip.measure.statistics.MultivariateMoments
Retrieve the Number of Variates in the Distribution
numVariate() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
Retrieve the Number of Variates
numVertex() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Retrieve the Number of Vertexes
numWengerts() - Method in class org.drip.quant.calculus.WengertJacobian
Retrieve the number of Wengert Variables
NZD - Class in org.drip.template.irs
NZD contains a Templated Pricing of the OTC Fix-Float NZD IRS Instrument.
NZD() - Constructor for class org.drip.template.irs.NZD
 
NZDHoliday - Class in org.drip.analytics.holset
 
NZDHoliday() - Constructor for class org.drip.analytics.holset.NZDHoliday
 
NZDIRSAttribution - Class in org.drip.sample.fixfloatpnl
NZDIRSAttribution generates the Historical PnL Attribution for NZD IRS.
NZDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.NZDIRSAttribution
 
NZDOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
NZDOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the NZD Input OIS Marks.
NZDOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.NZDOISSmoothReconstitutor
 
NZDShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
NZDShapePreserving1YForward Generates the Historical NZD Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
NZDShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.NZDShapePreserving1YForward
 
NZDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
NZDShapePreserving1YStart Generates the Historical NZD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
NZDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.NZDShapePreserving1YStart
 
NZDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
NZDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the NZD Input Marks.
NZDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.NZDShapePreservingReconstitutor
 
NZDSmooth1MForward - Class in org.drip.sample.overnighthistorical
NZDSmooth1MForward Generates the Historical NZD Smoothened Overnight Curve Native 1M Compounded Forward Rate.
NZDSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.NZDSmooth1MForward
 
NZDSmooth1YForward - Class in org.drip.sample.fundinghistorical
NZDSmooth1YForward Generates the Historical NZD Smoothened Funding Curve Native 1Y Compounded Forward Rate.
NZDSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.NZDSmooth1YForward
 
NZDSmoothReconstitutor - Class in org.drip.sample.fundingfeed
NZDSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the NZD Input Marks.
NZDSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.NZDSmoothReconstitutor
 
NZGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
NZGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the NZGB Benchmark Bond Series.
NZGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.NZGBBenchmarkAttribution
 
NZGBReconstitutor - Class in org.drip.sample.treasuryfeed
NZGBReconstitutor demonstrates the Cleansing and Re-constitution of the NZGB Yield Marks obtained from Historical Yield Curve Prints.
NZGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.NZGBReconstitutor
 

O

oas() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Bond Option Adjusted Spread
oas() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the OAS
oasConvexity() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Bond Option Adjusted Spread Convexity
oasDuration() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Bond Option Adjusted Spread Duration
oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from ASW to Work-out
oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from ASW to Maturity
oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from ASW to Optimal Exercise
oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Bond Basis to Work-out
oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Bond Basis to Maturity
oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Bond Basis to Optimal Exercise
oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Credit Basis to Work-out
oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Credit Basis to Maturity
oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Credit Basis to Optimal Exercise
oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Discount Margin to Work-out
oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Discount Margin to Maturity
oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Discount Margin to Optimal Exercise
oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from E Spread to Work-out
oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from E Spread to Maturity
oasFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from E Spread to Optimal Exercise
oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from G Spread to Work-out
oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from G Spread to Maturity
oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from G Spread to Optimal Exercise
oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from I Spread to Work-out
oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from I Spread to Maturity
oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from I Spread to Optimal Exercise
oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from J Spread to Work-out
oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from J Spread to Maturity
oasFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from J Spread to Optimal Exercise
oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from N Spread to Work-out
oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from N Spread to Maturity
oasFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from N Spread to Optimal Exercise
oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from PECS to Work-out
oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from PECS to Maturity
oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from PECS to Optimal Exercise
oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Price to Work-out
oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Price to Maturity
oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Price to Optimal Exercise
oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from TSY Spread to Work-out
oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from TSY Spread to Maturity
oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from TSY Spread to Optimal Exercise
oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Yield to Work-out
oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Yield to Maturity
oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Yield Spread to Work-out
oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Yield Spread to Maturity
oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Yield Spread to Optimal Exercise
oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Yield to Optimal Exercise
oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Z Spread to Work-out
oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Z Spread to Maturity
oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate OAS from Z Spread to Optimal Exercise
oasTM() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Bond Option Adjusted Spread To Maturity
OAT1 - Class in org.drip.sample.treasuryfuturesapi
OAT1 demonstrates the Invocation and Examination of the OAT1 10Y FRTR Treasury Futures.
OAT1() - Constructor for class org.drip.sample.treasuryfuturesapi.OAT1
 
OAT1Attribution - Class in org.drip.sample.treasuryfuturespnl
OAT1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the OAT1 Series.
OAT1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OAT1Attribution
 
OAT1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
OAT1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OAT1 Closes Feed.
OAT1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OAT1ClosesReconstitutor
 
OAT1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
OAT1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OAT1 Treasury Futures.
OAT1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OAT1KeyRateDuration
 
OBJECTIVE_FUNCTION_SEQUENCE_CONVERGENCE - Static variable in class org.drip.function.rdtor1solver.ConvergenceControl
Solve Using the Convergence of the Objective Function Realization
objectiveBenchmark() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Objective Benchmark Instance
objectiveCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
Retrieve the Fritz John Objective Function Multiplier
ObjectiveConstraintVariateSet - Class in org.drip.function.rdtor1
ObjectiveConstraintVariateSet holds the R^d and R^1 Variates corresponding to the Objective Function and the Constraint Function respectively.
ObjectiveConstraintVariateSet(double[], double[]) - Constructor for class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
ObjectiveConstraintVariate Constructor
objectiveFunction() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
Retrieve the Objective R^d To R^1 Function Instance
objectiveFunction() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
Retrieve the Objective Function
objectiveFunction() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
Retrieve the Objective Function
objectiveFunction() - Method in class org.drip.optimization.constrained.OptimizationFramework
Retrieve the R^d To R^1 Objective Function
ObjectiveFunction - Class in org.drip.portfolioconstruction.optimizer
ObjectiveFunction holds the Terms composing the Objective Function and their Weights.
ObjectiveFunction() - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
Empty Objective Function Constructor
objectiveFunction() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
Retrieve the Objective Function
objectiveFunctionDimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
Retrieve the Objective Function Dimension
ObjectiveFunctionPointMetrics - Class in org.drip.function.rdtor1solver
ObjectiveFunctionPointMetrics holds the R^d Point Base and Sensitivity Metrics of the Objective Function.
ObjectiveFunctionPointMetrics(double[], double[][]) - Constructor for class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
ObjectiveFunctionPointMetrics Constructor
ObjectiveTerm - Class in org.drip.portfolioconstruction.optimizer
ObjectiveTerm holds the Details of a given Objective Term.
ObjectiveTerm(String, String, String, String, double[]) - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveTerm
 
objectiveTermRealizaton() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
Retrieve the Map of Objective Term Realizations
ObjectiveTermUnit - Class in org.drip.portfolioconstruction.optimizer
ObjectiveTermUnit holds the Details of a Single Objective Term that forms the Strategy.
ObjectiveTermUnit(ObjectiveTerm, double) - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
ObjectiveTermUnit Constructor
objectiveUtility() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Retrieve the Mean Variance Objective Utility Function
objectiveUtility() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme
Retrieve the Optimizer Objective Utility Function
ObjectiveUtility - Interface in org.drip.execution.risk
ObjectiveUtility exposes the Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory.
objectiveValue() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
Retrieve the Objective Term
objectiveVariates() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
Retrieve the Array of the Objective Function Variates
ObjectSpecification - Class in org.drip.xva.proto
ObjectSpecification contains the Specification Base of a Named Object.
ObjectSpecification(String, String) - Constructor for class org.drip.xva.proto.ObjectSpecification
ObjectSpecification Constructor
OCTOBER - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - October
OE1 - Class in org.drip.sample.treasuryfuturesapi
OE1 demonstrates the Invocation and Examination of the OE1 5Y DBR BOBL Treasury Futures.
OE1() - Constructor for class org.drip.sample.treasuryfuturesapi.OE1
 
OE1Attribution - Class in org.drip.sample.treasuryfuturespnl
OE1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the OE1 Series.
OE1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OE1Attribution
 
OE1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
OE1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OE1 Closes Feed.
OE1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OE1ClosesReconstitutor
 
OE1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
OE1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OE1 Treasury Futures.
OE1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OE1KeyRateDuration
 
offset() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
 
offset() - Method in class org.drip.execution.impact.ParticipationRateLinear
Retrieve the Offset Market Impact Parameter
offset() - Method in class org.drip.execution.impact.TransactionFunctionLinear
Retrieve the Offset Market Impact Parameter
offset() - Method in class org.drip.function.r1tor1.OffsetIdempotent
Retrieve the Offset
offset() - Method in class org.drip.learning.svm.RdDecisionFunction
Retrieve the Offset
OffsetIdempotent - Class in org.drip.function.r1tor1
OffsetIdempotent provides the Implementation of the Offset Idempotent Operator - f(x) = x - C.
OffsetIdempotent(double) - Constructor for class org.drip.function.r1tor1.OffsetIdempotent
OffsetIdempotent Constructor
OISCurveQuoteSensitivity - Class in org.drip.sample.sensitivity
OISCurveQuoteSensitivity demonstrates the calculation of the OIS discount curve sensitivity to the calibration instrument quotes.
OISCurveQuoteSensitivity() - Constructor for class org.drip.sample.sensitivity.OISCurveQuoteSensitivity
 
OISFixFloat(JulianDate, String, String, double, boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Instance of OTC OIS Fix Float Swap
OISFixFloat(JulianDate, String, String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Fix Float OIS Instances
OISFixFloatFutures(JulianDate, String, String[], String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC OIS Fix-Float Futures
OISFromLIBORSwapFedFundBasis(double, double) - Static method in class org.drip.analytics.support.Helper
Compute the uncompounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.
OISFromLIBORSwapFedFundBasis2(double, double) - Static method in class org.drip.analytics.support.Helper
Compute the Daily Compounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.
oisSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the OIS Sensitivity Margin Map
oisTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the OIS Tenor Delta Risk Weight
oisTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the OIS Tenor Sensitivity Margin Map
oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
 
oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the OIS Tenor Risk Weight
oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
 
oisTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Retrieve the OIS Risk Factor Tenor Sensitivity
oisTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the OIS Tenor Vega Risk Weight
omdHorizon() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence
Retrieve the Optimal Measure Dependence for the Time Horizon
omdInformationRatio() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence
Retrieve the Optimal Measure Dependence for the Time Horizon
OneWayBaselProxy - Class in org.drip.sample.xvafixfloat
OneWayBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer One Way CSA Vertexes.
OneWayBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.OneWayBaselProxy
 
OneWayCSA(JulianDate, double, double, MarketEdge, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
Construct a Standard Instance of BurgardKjaerVertex using One Way CSA
OpenRegressorSet - Class in org.drip.regression.fixedpointfinder
OpenRegressorSet implements the regression run for the Open (i.e., Newton) Fixed Point Search Method.
OpenRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.OpenRegressorSet
 
OperatorClassCoveringBounds - Interface in org.drip.spaces.cover
 
operatorNorm() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Retrieve the Operator Norm of Interest
operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
 
operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Operator Population Metric Norm
operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
 
operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Operator Population Supremum Norm
operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
 
operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Operator Sample Metric Norm
operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
 
operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Operator Sample Supremum Norm
optimalExerciseConvexity() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Optimal Exercise Convexity UDT
optimalExerciseDuration() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Optimal Exercise Duration UDT
optimalExerciseOAS() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Optimal Exercise OAS UDT
optimalExerciseOASGap() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Optimal Exercise OAS Gap UDT
optimalExercisePrice() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Optimal Exercise Price UDT
optimalExerciseValue() - Method in class org.drip.analytics.output.BondEOSMetrics
Retrieve the Optimal Exercise Value UDT
optimalInformationRatio(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
Compute the Optimal Information Ratio
optimalInformationRatioHorizon(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
Generate the Horizon that results in the Optimal Information Ratio
OptimalMeasureDependence - Class in org.drip.execution.principal
OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.
OptimalMeasureDependence(double, double, double, double, double) - Constructor for class org.drip.execution.principal.OptimalMeasureDependence
OptimalMeasureDependence Constructor
optimalMeasures() - Method in class org.drip.execution.principal.Almgren2003Estimator
Generate the Constant/Exponent Dependencies on the Market Parameters for the Optimal Execution Horizon / Information Ratio
OptimalMeasuresConstantExponent - Class in org.drip.sample.principal
OptimalMeasuresConstantExponent demonstrates the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.
OptimalMeasuresConstantExponent() - Constructor for class org.drip.sample.principal.OptimalMeasuresConstantExponent
 
OptimalMeasuresDiscountDependence - Class in org.drip.sample.principal
OptimalMeasuresDiscountDependence demonstrates the Dependence of the Optimal Principal Measures on the Discount.
OptimalMeasuresDiscountDependence() - Constructor for class org.drip.sample.principal.OptimalMeasuresDiscountDependence
 
OptimalMeasuresReconciler - Class in org.drip.sample.principal
OptimalMeasuresReconciler reconciles the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio with Almgren and Chriss (2003).
OptimalMeasuresReconciler() - Constructor for class org.drip.sample.principal.OptimalMeasuresReconciler
 
optimalMetrics() - Method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
Retrieve the Optimal Portfolio Metrics
optimalPortfolio() - Method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
Retrieve the Optimal Portfolio Instance
optimalPortfolios() - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
Retrieve the Map of Optimal Portfolios
OptimalSerialCorrelationAdjustment - Class in org.drip.execution.discrete
OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross Period Serial Price Correlations over the Slice Time Interval.
OptimalSerialCorrelationAdjustment(double, double) - Constructor for class org.drip.execution.discrete.OptimalSerialCorrelationAdjustment
OptimalSerialCorrelationAdjustment Constructor
OptimalSerialCorrelationImpact - Class in org.drip.sample.almgrenchriss
OptimalSerialCorrelationImpact estimates the Optimal Adjustment to the Optimal Trading Trajectory attributable to Serial Correlation in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset Drift.
OptimalSerialCorrelationImpact() - Constructor for class org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact
 
OptimalTrajectoryDRI - Class in org.drip.sample.athl
OptimalTrajectoryDRI demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for DRI.
OptimalTrajectoryDRI() - Constructor for class org.drip.sample.athl.OptimalTrajectoryDRI
 
OptimalTrajectoryIBM - Class in org.drip.sample.athl
OptimalTrajectoryIBM demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
OptimalTrajectoryIBM() - Constructor for class org.drip.sample.athl.OptimalTrajectoryIBM
 
OptimalTrajectoryMeasures - Class in org.drip.sample.principal
OptimalTrajectoryMeasures demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
OptimalTrajectoryMeasures() - Constructor for class org.drip.sample.principal.OptimalTrajectoryMeasures
 
OptimalTrajectoryNoDrift - Class in org.drip.sample.almgrenchriss
OptimalTrajectoryNoDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset Drift.
OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryNoDrift
 
OptimalTrajectoryNoDrift - Class in org.drip.sample.lvar
OptimalTrajectoryNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, exclusive of Drift.
OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryNoDrift
 
OptimalTrajectoryTradeAnalysis - Class in org.drip.sample.athl
OptimalTrajectoryTradeAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
OptimalTrajectoryTradeAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryTradeAnalysis
 
OptimalTrajectoryVolatilityAnalysis - Class in org.drip.sample.athl
OptimalTrajectoryVolatilityAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
OptimalTrajectoryVolatilityAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryVolatilityAnalysis
 
OptimalTrajectoryWithDrift - Class in org.drip.sample.almgrenchriss
OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the Asset Drift.
OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift
 
OptimalTrajectoryWithDrift - Class in org.drip.sample.lvar
OptimalTrajectoryWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, inclusive of Drift.
OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryWithDrift
 
OptimizationFramework - Class in org.drip.optimization.constrained
OptimizationFramework holds the Non Linear Objective Function and the Collection of Equality and the Inequality Constraints that correspond to the Optimization Setup.
OptimizationFramework(RdToR1, RdToR1[], RdToR1[]) - Constructor for class org.drip.optimization.constrained.OptimizationFramework
OptimizationFramework Constructor
OptimizationOutput - Class in org.drip.portfolioconstruction.allocator
OptimizationOutput holds the Output of an Optimal Portfolio Construction Run, i.e., the Optimal Asset Weights in the Portfolio and the related Portfolio Metrics.
OptimizationOutput(Portfolio, PortfolioMetrics) - Constructor for class org.drip.portfolioconstruction.allocator.OptimizationOutput
OptimizationOutput Constructor
optimize() - Method in class org.drip.portfolioconstruction.optimizer.Rebalancer
Conduct an Optimization Run to Generate the Rebalancer Analytics
optimizeClassificationHyperplane(short[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction
Optimize the Hyper-plane for the Purposes of Classification
optimizeRegressionHyperplane(double[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction
Optimize the Hyper-plane for the Purposes of Regression
optimizerSettings() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
Retrieve the Instance of the Quadratic Custom Risk Utility Settings
OptionComponent - Class in org.drip.product.option
OptionComponent extends ComponentMarketParamRef and provides the following methods: - Get the component's initial notional, notional, and coupon.
OptionComponent(String, Component, String, double, double, LastTradingDateSetting, CashSettleParams) - Constructor for class org.drip.product.option.OptionComponent
 
OptionHelper - Class in org.drip.analytics.support
OptionHelper contains the collection of the option valuation related utility functions used by the modules.
OptionHelper() - Constructor for class org.drip.analytics.support.OptionHelper
 
optionPV() - Method in class org.drip.product.calib.VolatilityProductQuoteSet
Retrieve the PV of an Option on the Product
OracleInit(String) - Static method in class org.drip.param.config.ConfigLoader
Initialize the Oracle database from the connection parameters set in the XML Configuration file
order() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Generate the Order Specification corresponding to the Trajectory Control
order() - Method in class org.drip.exposure.regression.PykhtinPillar
Retrieve the Point Exposure Order
order() - Method in class org.drip.optimization.necessary.ConditionQualifier
Retrieve the Condition Qualifier Order
order() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
Retrieve the Array of Constraint Term Order
orderedComponents(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue
orderedEigenList(EigenOutput) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
Generate the Order List of Eigenvalues for the specified Eigen-output
orderSize() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
Retrieve the Order Size
orderSpecification() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Retrieve the Order Specification
orderSpecification() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous
Retrieve the Order Specification
OrderSpecification - Class in org.drip.execution.strategy
OrderSpecification contains the Parameters that constitute an Order, namely the Size and the Execution Time.
OrderSpecification(double, double) - Constructor for class org.drip.execution.strategy.OrderSpecification
OrderSpecification Constructor
org.drip.analytics.cashflow - package org.drip.analytics.cashflow
Unit/Composite Cash Flow Periods.
org.drip.analytics.date - package org.drip.analytics.date
Date/Time Creation/Manipulation/Usage
org.drip.analytics.daycount - package org.drip.analytics.daycount
Day Count Year Fraction Utilities
org.drip.analytics.definition - package org.drip.analytics.definition
Latent State Curves, Surfaces, Turns
org.drip.analytics.eventday - package org.drip.analytics.eventday
Fixed/Variable Custom Holiday Creation
org.drip.analytics.holset - package org.drip.analytics.holset
Built in Locale Holiday Set
org.drip.analytics.input - package org.drip.analytics.input
Curve Surface Construction Customization Inputs
org.drip.analytics.output - package org.drip.analytics.output
Period Product Targeted Valuation Measures
org.drip.analytics.support - package org.drip.analytics.support
Assorted Support and Helper Utilities
org.drip.assetbacked.borrower - package org.drip.assetbacked.borrower
Asset Backed Loan Borrower Characteristics
org.drip.assetbacked.loan - package org.drip.assetbacked.loan
Asset Backed Loan Level Characteristics
org.drip.dynamics.evolution - package org.drip.dynamics.evolution
Latent State Evolution Edges/Vertexes
org.drip.dynamics.hjm - package org.drip.dynamics.hjm
HJM Based Latent State Evolution
org.drip.dynamics.hullwhite - package org.drip.dynamics.hullwhite
Hull White Latent State Evolution
org.drip.dynamics.lmm - package org.drip.dynamics.lmm
LMM Based Latent State Evolution
org.drip.dynamics.sabr - package org.drip.dynamics.sabr
SABR Based Latent State Evolution
org.drip.execution.adaptive - package org.drip.execution.adaptive
Coordinate Variation Based Adaptive Execution
org.drip.execution.athl - package org.drip.execution.athl
Almgren-Thum-Hauptmann-Li Calibration
org.drip.execution.bayesian - package org.drip.execution.bayesian
Bayesian Price Based Optimal Execution
org.drip.execution.capture - package org.drip.execution.capture
Execution Trajectory Transaction Cost Capture
org.drip.execution.cost - package org.drip.execution.cost
Linear Temporary Market Impact Cost
org.drip.execution.discrete - package org.drip.execution.discrete
Trajectory Slice Execution Cost Distribution
org.drip.execution.dynamics - package org.drip.execution.dynamics
Arithmetic Price Evolution Execution Parameters
org.drip.execution.evolution - package org.drip.execution.evolution
Execution Cost Market Impact Decomposition
org.drip.execution.hjb - package org.drip.execution.hjb
Optimal Hamilton-Jacobi-Bellman Execution
org.drip.execution.impact - package org.drip.execution.impact
Market Impact Transaction Function Implementation
org.drip.execution.latent - package org.drip.execution.latent
Correlated Latent Market State Sequence
org.drip.execution.nonadaptive - package org.drip.execution.nonadaptive
Almgren-Chriss Static Optimal Trajectory
org.drip.execution.optimum - package org.drip.execution.optimum
Almgren-Chriss Efficient Trading Trajectories
org.drip.execution.parameters - package org.drip.execution.parameters
Empirical Market Impact Coefficients Calibration
org.drip.execution.principal - package org.drip.execution.principal
Information Ratio Based Principal Trades
org.drip.execution.profiletime - package org.drip.execution.profiletime
Participation Rate Profile Time Models
org.drip.execution.risk - package org.drip.execution.risk
Optimal Execution MVO Efficient Frontier
org.drip.execution.sensitivity - package org.drip.execution.sensitivity
Trajectory Control Nodes Sensitivity Greeks
org.drip.execution.strategy - package org.drip.execution.strategy
Discrete/Continuous Trading Trajectory Schedule
org.drip.execution.tradingtime - package org.drip.execution.tradingtime
Coordinated Variation Trading Time Models
org.drip.exposure.csadynamics - package org.drip.exposure.csadynamics
CSA Numeraire Basis/Measure Dynamics
org.drip.exposure.csatimeline - package org.drip.exposure.csatimeline
Time-line of IMA/CSA Event Dates
org.drip.exposure.evolver - package org.drip.exposure.evolver
Securities and Exposure States Evolvers
org.drip.exposure.generator - package org.drip.exposure.generator
Rates Stream Margin Period Exposure
org.drip.exposure.holdings - package org.drip.exposure.holdings
Holdings Exposure - Position and Dependencies
org.drip.exposure.mpor - package org.drip.exposure.mpor
Margin Period Collateral Amount Estimation
org.drip.exposure.regression - package org.drip.exposure.regression
Regression Based Path Exposure Generation
org.drip.exposure.regressiontrade - package org.drip.exposure.regressiontrade
Exposure Regression under Margin and Trade Payments
org.drip.exposure.universe - package org.drip.exposure.universe
Exposure Generation - Market States Simulation
org.drip.feed.loader - package org.drip.feed.loader
Reference/Market Data Feed Loader
org.drip.feed.metric - package org.drip.feed.metric
Feed Horizon - PnL Explain/Attribution
org.drip.feed.transformer - package org.drip.feed.transformer
Market Data Reconstitutive Feed Transformer
org.drip.function.definition - package org.drip.function.definition
Function Execution Ancillary Support Objects
org.drip.function.r1tor1 - package org.drip.function.r1tor1
Built-in R^1 To R^1 Functions
org.drip.function.r1tor1solver - package org.drip.function.r1tor1solver
Built-in R^1 To R^1 Solvers
org.drip.function.rdtor1 - package org.drip.function.rdtor1
Built-in R^d To R^1 Functions
org.drip.function.rdtor1descent - package org.drip.function.rdtor1descent
R^d To R^1 Gradient Descent Techniques
org.drip.function.rdtor1solver - package org.drip.function.rdtor1solver
Built-in R^d To R^1 Solvers
org.drip.historical.attribution - package org.drip.historical.attribution
Position Market Change Components Attribution
org.drip.historical.engine - package org.drip.historical.engine
Product Horizon Change Explain Engine
org.drip.historical.sensitivity - package org.drip.historical.sensitivity
Product Horizon Change Tenor Sensitivity
org.drip.historical.state - package org.drip.historical.state
Historical Implied Curve Node Metrics
org.drip.json.assetallocation - package org.drip.json.assetallocation
JSON Based In/Out Service
org.drip.json.parser - package org.drip.json.parser
RFC4627 Compliant JSON Message Parser
org.drip.json.simple - package org.drip.json.simple
RFC4627 Compliant JSON Message Object
org.drip.learning.bound - package org.drip.learning.bound
Covering Numbers, Concentration, Lipschitz Bounds
org.drip.learning.kernel - package org.drip.learning.kernel
Statistical Learning Banach Mercer Kernels
org.drip.learning.regularization - package org.drip.learning.regularization
Statistical Learning Empircal Loss Regularizer
org.drip.learning.rxtor1 - package org.drip.learning.rxtor1
Statistical Learning Empirical Loss Penalizer
org.drip.learning.svm - package org.drip.learning.svm
Kernal SVM Decision Function Operator
org.drip.market.definition - package org.drip.market.definition
IBOR, FX, Overnight Index Container
org.drip.market.exchange - package org.drip.market.exchange
Deliverable Swap, STIR, Treasury Futures
org.drip.market.issue - package org.drip.market.issue
Market Issued Treasury Setting Container
org.drip.market.otc - package org.drip.market.otc
OTC Dual Stream Option Container
org.drip.measure.bayesian - package org.drip.measure.bayesian
Prior, Conditional, Posterior Theil Bayesian
org.drip.measure.bridge - package org.drip.measure.bridge
Broken Date Brownian Bridge Interpolator
org.drip.measure.continuous - package org.drip.measure.continuous
R^1 R^d Continuous Random Measure
org.drip.measure.crng - package org.drip.measure.crng
Continuous Random Number Stream Generator
org.drip.measure.discrete - package org.drip.measure.discrete
Antithetic, Quadratically Re-sampled, De-biased Distribution
org.drip.measure.dynamics - package org.drip.measure.dynamics
Jump Diffusion Evolution Evaluator Variants
org.drip.measure.gaussian - package org.drip.measure.gaussian
R^1 R^d Covariant Gaussian Quadrature
org.drip.measure.joint - package org.drip.measure.joint
R^d Vertex Edge Realization Evolution
org.drip.measure.lebesgue - package org.drip.measure.lebesgue
Uniform Piece-wise Lebesgue Measure
org.drip.measure.process - package org.drip.measure.process
Jump Diffusion Evolver Process Variants
org.drip.measure.realization - package org.drip.measure.realization
Stochastic Jump Diffusion Vertex Edge
org.drip.measure.statistics - package org.drip.measure.statistics
R^1 R^d Thin Thick Moments
org.drip.measure.stochastic - package org.drip.measure.stochastic
R^1 R^1 To R^1 Process
org.drip.optimization.constrained - package org.drip.optimization.constrained
KKT Fritz-John Constrained Optimizer
org.drip.optimization.necessary - package org.drip.optimization.necessary
Constrained Optimizer Necessary Sufficient Conditions
org.drip.optimization.regularity - package org.drip.optimization.regularity
Constrained Optimizer Regularity Qualifier Conditions
org.drip.param.config - package org.drip.param.config
Library Level Configuration Parameters Setting
org.drip.param.creator - package org.drip.param.creator
Market Curves Surfaces Quotes Builder
org.drip.param.definition - package org.drip.param.definition
Latent State Quantification Metrics Tweak
org.drip.param.market - package org.drip.param.market
Curves Surfaces Quotes Fixings Container
org.drip.param.period - package org.drip.param.period
Composite Composable Period Builder Settings
org.drip.param.pricer - package org.drip.param.pricer
Pricing Parameters Customization Settings Control
org.drip.param.quote - package org.drip.param.quote
Multi-sided Multi-Measure Ticks Quotes
org.drip.param.quoting - package org.drip.param.quoting
Quoting Convention Valuation Customization Parameters
org.drip.param.valuation - package org.drip.param.valuation
Valuation Settlement and Valuation Customization Parameters
org.drip.portfolioconstruction.allocator - package org.drip.portfolioconstruction.allocator
MVO Based Portfolio Allocation Construction
org.drip.portfolioconstruction.alm - package org.drip.portfolioconstruction.alm
Sharpe-Tint Asset Liability Manager
org.drip.portfolioconstruction.asset - package org.drip.portfolioconstruction.asset
Asset Characteristics, Bounds, Portfolio Benchmarks
org.drip.portfolioconstruction.bayesian - package org.drip.portfolioconstruction.bayesian
Black Litterman Bayesian Portfolio Construction
org.drip.portfolioconstruction.composite - package org.drip.portfolioconstruction.composite
Portfolio Construction Component Groups Suite
org.drip.portfolioconstruction.constraint - package org.drip.portfolioconstruction.constraint
Portfolio Construction Constraint Term Suite
org.drip.portfolioconstruction.core - package org.drip.portfolioconstruction.core
Core Portfolio Construction Component Suite
org.drip.portfolioconstruction.cost - package org.drip.portfolioconstruction.cost
Transaction Charge Objective Term Suite
org.drip.portfolioconstruction.mpt - package org.drip.portfolioconstruction.mpt
Security Characteristic Capital Allocation Lines
org.drip.portfolioconstruction.objective - package org.drip.portfolioconstruction.objective
Portfolio Construction Objective Term Suite
org.drip.portfolioconstruction.optimizer - package org.drip.portfolioconstruction.optimizer
Core Portfolio Construction Optimizer Suite
org.drip.portfolioconstruction.params - package org.drip.portfolioconstruction.params
Asset Universe Statistical Properties Container
org.drip.portfolioconstruction.risk - package org.drip.portfolioconstruction.risk
Portfolio Construction Risk/Covariance Component
org.drip.pricer.option - package org.drip.pricer.option
Deterministic/Stochastic Volatility Settings/Greeks
org.drip.product.calib - package org.drip.product.calib
Curve/Surface Calibration Quote Sets
org.drip.product.creator - package org.drip.product.creator
Streams and Products Construction Utilities
org.drip.product.credit - package org.drip.product.credit
Credit Products - Components and Baskets
org.drip.product.definition - package org.drip.product.definition
Fixed Income Components/Baskets Definitions
org.drip.product.fra - package org.drip.product.fra
Standard/Market FRAs - Caps/Floors
org.drip.product.fx - package org.drip.product.fx
FX Forwards, Cross Currency Swaps
org.drip.product.govvie - package org.drip.product.govvie
Treasury Bills, Notes, Bonds, Futures
org.drip.product.option - package org.drip.product.option
Options on Fixed Income Components
org.drip.product.params - package org.drip.product.params
Fixed Income Product Customization Parameters
org.drip.product.rates - package org.drip.product.rates
Fixed Income Multi-Stream Components
org.drip.quant.calculus - package org.drip.quant.calculus
R^1 To R^1 Numerical Integration Differentiation
org.drip.quant.common - package org.drip.quant.common
Primitives/Array Manipulate Format Display
org.drip.quant.eigen - package org.drip.quant.eigen
QR PICE Eigen Component Extractor
org.drip.quant.fourier - package org.drip.quant.fourier
Fourier - Rotation Counter, Phase Adjuster
org.drip.quant.linearalgebra - package org.drip.quant.linearalgebra
Linear Algebra Matrix Transform Library
org.drip.regression.core - package org.drip.regression.core
Regression Engine Core: Unit Regressors
org.drip.regression.curve - package org.drip.regression.curve
Curve Construction/Reconciliation Regression Engine
org.drip.regression.curvejacobian - package org.drip.regression.curvejacobian
Curve Jacobian Reconciliation Regression Engine
org.drip.regression.fixedpointfinder - package org.drip.regression.fixedpointfinder
Fixed Point Finder Regression Engine
org.drip.regression.spline - package org.drip.regression.spline
Custom Basis Spline Regression Engine
org.drip.sample.agency - package org.drip.sample.agency
Agency Bond Demonstration Sample
org.drip.sample.algo - package org.drip.sample.algo
C^x R^x In-Place Manipulation
org.drip.sample.alm - package org.drip.sample.alm
Sharpe-Tint-Yotsuzuka ALM Module
org.drip.sample.almgren2003 - package org.drip.sample.almgren2003
Almgren (2003) Power Law Liquidity
org.drip.sample.almgren2009 - package org.drip.sample.almgren2009
Almgren (2009) Optimal Adaptive HJB
org.drip.sample.almgren2012 - package org.drip.sample.almgren2012
Almgren (2012) Dynamic Optimal Adaptive
org.drip.sample.almgrenchriss - package org.drip.sample.almgrenchriss
Almgren Chriss Efficient Frontier Trajectories
org.drip.sample.andersen2017vm - package org.drip.sample.andersen2017vm
Andersen Pykhtin Sokol Regression VM
org.drip.sample.assetallocation - package org.drip.sample.assetallocation
MVO Based Constrained Optimal Allocator
org.drip.sample.assetallocationexcel - package org.drip.sample.assetallocationexcel
Asset-Bound Allocator Excel Reconciliation
org.drip.sample.assetbacked - package org.drip.sample.assetbacked
ABS Custom Cash Flow Bonds
org.drip.sample.athl - package org.drip.sample.athl
Almgren-Thum-Hauptmann-Li Estimator
org.drip.sample.blacklitterman - package org.drip.sample.blacklitterman
Canonical Black Litterman and Extensions
org.drip.sample.bloomberg - package org.drip.sample.bloomberg
Bloomberg CDSO CDSW SWPM YAS
org.drip.sample.bond - package org.drip.sample.bond
Bullet, EOS Bond Metrics + Curve
org.drip.sample.bondapi - package org.drip.sample.bondapi
Fixed Coupon KRD + RV Measures
org.drip.sample.bondeos - package org.drip.sample.bondeos
EOS Bond Bullet/Exercise Measures
org.drip.sample.bondfixed - package org.drip.sample.bondfixed
Fixed Coupon Agency/Corporate Bonds
org.drip.sample.bondfloat - package org.drip.sample.bondfloat
Floating Coupon Bullet Corporate Bond
org.drip.sample.bondmetrics - package org.drip.sample.bondmetrics
Bond Relative Value Replication Demonstration
org.drip.sample.bondsink - package org.drip.sample.bondsink
Sinkable Amortizing Capitalizing Bond Analytics
org.drip.sample.bondswap - package org.drip.sample.bondswap
Swap-Index Bond Analytics Metrics
org.drip.sample.burgard2011 - package org.drip.sample.burgard2011
Burgard Kjaer (2011) PDE Evolver
org.drip.sample.burgard2012 - package org.drip.sample.burgard2012
Burgard Kjaer (2012) Valuation Adjustments
org.drip.sample.burgard2013 - package org.drip.sample.burgard2013
Burgard Kjaer (2013) Valuation Adjustments
org.drip.sample.capfloor - package org.drip.sample.capfloor
FRA Standard Cap Floor Valuation
org.drip.sample.cashflow - package org.drip.sample.cashflow
Fixed Income Product Cash Flow Display
org.drip.sample.classifier - package org.drip.sample.classifier
Binary Classifier Supremum Bounds Estimator
org.drip.sample.cma - package org.drip.sample.cma
LATAM Corporate and Sovereign Bonds
org.drip.sample.cms - package org.drip.sample.cms
Dual Stream Constant Maturity Swap
org.drip.sample.corporate - package org.drip.sample.corporate
Corporate Bond RV Analytics Demonstration Sample
org.drip.sample.coveringnumber - package org.drip.sample.coveringnumber
Agnostic Function Covering Number Bounds
org.drip.sample.credit - package org.drip.sample.credit
Single Name Portfolio CDS Analytics
org.drip.sample.creditfeed - package org.drip.sample.creditfeed
CDX NA IG Series Reconstitutor
org.drip.sample.credithistorical - package org.drip.sample.credithistorical
CDX NA IG Historical Metrics
org.drip.sample.creditindexpnl - package org.drip.sample.creditindexpnl
CDX NA IG PnL Attribution
org.drip.sample.creditoption - package org.drip.sample.creditoption
CDS Single Name Index Option
org.drip.sample.cross - package org.drip.sample.cross
Single/Dual Stream XCCY Component
org.drip.sample.csaevents - package org.drip.sample.csaevents
Time-line of IMA/CSA Event Sequences
org.drip.sample.date - package org.drip.sample.date
Calendar Date Roll Day Count
org.drip.sample.descentverifier - package org.drip.sample.descentverifier
Armijo/Wolfe Strong/Weak Curvature
org.drip.sample.dual - package org.drip.sample.dual
G7 Standard Cross Currency Swap
org.drip.sample.efficientfrontier - package org.drip.sample.efficientfrontier
Efficient Frontier Markovitz Bullet Variants
org.drip.sample.efronstein - package org.drip.sample.efronstein
Efron Stein Sequence Sum Bounds
org.drip.sample.env - package org.drip.sample.env
Environment Module Loader Cache Manager
org.drip.sample.execution - package org.drip.sample.execution
Nonlinear Trading Enhanced Market Impact
org.drip.sample.fedfund - package org.drip.sample.fedfund
Overnight/Composite Fed Fund LIBOR
org.drip.sample.fixfloat - package org.drip.sample.fixfloat
Coupon, Floater, Amortizing IRS Variants
org.drip.sample.fixfloatoption - package org.drip.sample.fixfloatoption
Fix Float Payer Receiver Options
org.drip.sample.fixfloatpnl - package org.drip.sample.fixfloatpnl
Fix Float PnL Attribution Decomposition
org.drip.sample.floatfloat - package org.drip.sample.floatfloat
Float Float OTC Index Definitions
org.drip.sample.forward - package org.drip.sample.forward
IBOR Spline Forward Curve Construction
org.drip.sample.forwardratefutures - package org.drip.sample.forwardratefutures
Jurisdiction IRS Futures Options Definition
org.drip.sample.forwardratefuturesfeed - package org.drip.sample.forwardratefuturesfeed
Forward Rate Futures Feed Reconstitutor
org.drip.sample.forwardratefuturespnl - package org.drip.sample.forwardratefuturespnl
Forward Rate Futures PnL Attribution
org.drip.sample.forwardvolatility - package org.drip.sample.forwardvolatility
Custom Spline Forward Volatility Surface
org.drip.sample.fra - package org.drip.sample.fra
Multi-Curve FRA Market/Standard
org.drip.sample.funding - package org.drip.sample.funding
Shape Preserving Local Funding Curve
org.drip.sample.fundingfeed - package org.drip.sample.fundingfeed
Smooth Shape Preserving Funding Feed
org.drip.sample.fundinghistorical - package org.drip.sample.fundinghistorical
Smooth Shape Preserving Funding Historical
org.drip.sample.fx - package org.drip.sample.fx
Smooth Shape Preserving FX Curve
org.drip.sample.govvie - package org.drip.sample.govvie
Boot/Spline Govvie Curve Construction
org.drip.sample.govviemc - package org.drip.sample.govviemc
Monte Carlo Govvie Path Vertexes
org.drip.sample.graph - package org.drip.sample.graph
Graph Traversal and Navigation Algorithms
org.drip.sample.helitterman - package org.drip.sample.helitterman
He Litterman (1999) Projection Loadings
org.drip.sample.hjm - package org.drip.sample.hjm
HJM Multi-Factor Principal Dynamics
org.drip.sample.hullwhite - package org.drip.sample.hullwhite
Hull White Trinomial Tree Dynamics
org.drip.sample.idzorek - package org.drip.sample.idzorek
Idzorek (2004) User Confidence Tilt
org.drip.sample.intexfeed - package org.drip.sample.intexfeed
Custom Curve Forward Projection Metrics
org.drip.sample.json - package org.drip.sample.json
RFC4627 Compliant JSON Lexer Serializer
org.drip.sample.lmm - package org.drip.sample.lmm
LMM Multi-Factor Monte Carlo
org.drip.sample.loan - package org.drip.sample.loan
Loan Relative Value Metrics Generation
org.drip.sample.lvar - package org.drip.sample.lvar
Liquidity VaR Based Optimal Trajectory
org.drip.sample.matrix - package org.drip.sample.matrix
Cholesky Factorization, PCA, and Eigenization
org.drip.sample.measure - package org.drip.sample.measure
Lebesgue Measure Brownian Bridge Interpolation
org.drip.sample.mporfixfloat - package org.drip.sample.mporfixfloat
CSA Enforced Fix-Float MPoR
org.drip.sample.mporfixfloatxva - package org.drip.sample.mporfixfloatxva
OTC Fix-Float MPoR XVA
org.drip.sample.mporstream - package org.drip.sample.mporstream
CSA Enforced Stream Path MPoR
org.drip.sample.multicurve - package org.drip.sample.multicurve
Multi-Curve Construction and Valuation
org.drip.sample.municipal - package org.drip.sample.municipal
Municipal Bond Analytics Sample Demonstration
org.drip.sample.netting - package org.drip.sample.netting
Netting Portfolio Group Simulation Aggregation
org.drip.sample.numeraire - package org.drip.sample.numeraire
R^1 Joint Jump Diffusion Numeraire
org.drip.sample.numerical - package org.drip.sample.numerical
Search, Quadratures, Fourier Phase Tracker
org.drip.sample.ois - package org.drip.sample.ois
Index/Fund OIS Curve Reconcilation
org.drip.sample.oisapi - package org.drip.sample.oisapi
OIS Construction and Valuation API
org.drip.sample.optimizer - package org.drip.sample.optimizer
Lagrangian/KKT Necessary Sufficient Conditions
org.drip.sample.option - package org.drip.sample.option
Deterministic (Black) / Stochastic (Heston) Options
org.drip.sample.overnight - package org.drip.sample.overnight
Shape Preserving Stretch Overnight Curve
org.drip.sample.overnightfeed - package org.drip.sample.overnightfeed
G7 Smooth OIS Feed Reconstitutor
org.drip.sample.overnighthistorical - package org.drip.sample.overnighthistorical
G7 Smooth OIS 1M Forward
org.drip.sample.piterbarg2010 - package org.drip.sample.piterbarg2010
Piterbarg (2010) CSA Measure Extraction
org.drip.sample.piterbarg2012 - package org.drip.sample.piterbarg2012
Piterbarg (2012) Domestic Foreign Collateral
org.drip.sample.preferred - package org.drip.sample.preferred
Preferred Stock Analytics Sample Demonstration
org.drip.sample.principal - package org.drip.sample.principal
Information Ratio Based Principal Trading
org.drip.sample.pykhtin2009 - package org.drip.sample.pykhtin2009
Regression Based Secondary Stochastic Projection
org.drip.sample.rdtor1 - package org.drip.sample.rdtor1
Constrained/Unconstrained Covariance Ellipsoid Function
org.drip.sample.rng - package org.drip.sample.rng
QR Unbiased Antithetic Random Generator
org.drip.sample.sabr - package org.drip.sample.sabr
SABR Forward Evolution Black Volatility
org.drip.sample.securitysuite - package org.drip.sample.securitysuite
Custom Security Relative Value Demonstration
org.drip.sample.semidefinite - package org.drip.sample.semidefinite
Semi-Definite Constrained Ellipsoid Variance
org.drip.sample.sensitivity - package org.drip.sample.sensitivity
Forward Funding OIS Curve Sensitivity
org.drip.sample.sequence - package org.drip.sample.sequence
IID Dual Poisson Sequence Bound
org.drip.sample.service - package org.drip.sample.service
Curve Product Portfolio Valuation Services
org.drip.sample.simm - package org.drip.sample.simm
ISDA Product SIMM Margin Estimation
org.drip.sample.simmcrnq - package org.drip.sample.simmcrnq
ISDA SIMM Credit Non-Qualifying Estimates
org.drip.sample.simmcrq - package org.drip.sample.simmcrq
ISDA SIMM Credit Qualifying Estimates
org.drip.sample.simmct - package org.drip.sample.simmct
ISDA SIMM Commodity Estimate Runs
org.drip.sample.simmeq - package org.drip.sample.simmeq
ISDA SIMM Equity Estimate Runs
org.drip.sample.simmfx - package org.drip.sample.simmfx
ISDA SIMM FX Estimate Runs
org.drip.sample.simmir - package org.drip.sample.simmir
ISDA SIMM Rates Estimate Runs
org.drip.sample.simmsettings - package org.drip.sample.simmsettings
ISDA SIMM Calibration Parameter Settings
org.drip.sample.simmvariance - package org.drip.sample.simmvariance
Position Bucket Co-variance - ISDA SIMM vs.
org.drip.sample.sovereign - package org.drip.sample.sovereign
Sovereign Bond Analytics Sample Demonstration
org.drip.sample.spline - package org.drip.sample.spline
Basis Monic Multic Tension Spline
org.drip.sample.statistics - package org.drip.sample.statistics
Correlated R^d Random Sequence Statistics
org.drip.sample.stochasticvolatility - package org.drip.sample.stochasticvolatility
Heston AMST Stochastic Volatility Pricing
org.drip.sample.stretch - package org.drip.sample.stretch
Knot Insertion Curvature Roughness Penalty
org.drip.sample.treasury - package org.drip.sample.treasury
G20 Govvie Bond Definitions YAS
org.drip.sample.treasuryfeed - package org.drip.sample.treasuryfeed
G20 Govvie Bond Feed Reconstitution
org.drip.sample.treasuryfutures - package org.drip.sample.treasuryfutures
UST Futures Eligibility Definitions Valuation
org.drip.sample.treasuryfuturesapi - package org.drip.sample.treasuryfuturesapi
G20 Treasury Futures Valuation API
org.drip.sample.treasuryfuturesfeed - package org.drip.sample.treasuryfuturesfeed
G20 Treasury Futures Feed Reconstitutor
org.drip.sample.treasuryfuturespnl - package org.drip.sample.treasuryfuturespnl
G20 Treasury Futures PnL Attribution
org.drip.sample.treasuryfuturesrisk - package org.drip.sample.treasuryfuturesrisk
Treasury Futures Key Rate Duration
org.drip.sample.treasurypnl - package org.drip.sample.treasurypnl
G20 Benchmark Treasury PnL Attribution
org.drip.sample.trend - package org.drip.sample.trend
Fixed/Variable Bayesian Drift Gain
org.drip.sample.xccy - package org.drip.sample.xccy
OTC Cross Currency Swaps Definition
org.drip.sample.xva - package org.drip.sample.xva
XVA Collateralized Uncollateralized Zero Threshold
org.drip.sample.xvabasel - package org.drip.sample.xvabasel
Basel XVA Accounting Metrics Scheme
org.drip.sample.xvadigest - package org.drip.sample.xvadigest
Basel XVA Accounting Metrics Digest
org.drip.sample.xvafixfloat - package org.drip.sample.xvafixfloat
Cross Product XVA Simulation Digest
org.drip.sample.xvastrategy - package org.drip.sample.xvastrategy
Burgard Kjaer (2013) XVA Strategies
org.drip.sample.xvatopology - package org.drip.sample.xvatopology
Aggregation Group Based XVA Topology
org.drip.sequence.custom - package org.drip.sequence.custom
Glivenko Cantelli Supremum Deviation Bounds
org.drip.sequence.functional - package org.drip.sequence.functional
Efron Stein Functional Supremum Bounds
org.drip.sequence.metrics - package org.drip.sequence.metrics
Sequence Bounds Agnostic Metrics Estimators
org.drip.sequence.random - package org.drip.sequence.random
Correlated Multi-Factor Sequence Generator
org.drip.service.api - package org.drip.service.api
Horizon Roll Attribution Service API
org.drip.service.engine - package org.drip.service.engine
Compute Engine Request-Response Thunker
org.drip.service.env - package org.drip.service.env
Library Module Loader Environment Manager
org.drip.service.json - package org.drip.service.json
JSON Based Valuation Request Processor
org.drip.service.product - package org.drip.service.product
Product Horizon PnL Attribution Decomposition
org.drip.service.scenario - package org.drip.service.scenario
Custom Scenario Service Metric Generator
org.drip.service.state - package org.drip.service.state
Curve Based State Metric Generator
org.drip.service.template - package org.drip.service.template
Curve Construction Product Builder Templates
org.drip.simm.commodity - package org.drip.simm.commodity
Commodity Risk Factor Calibration Settings
org.drip.simm.common - package org.drip.simm.common
Common Cross Risk Factor Utilities
org.drip.simm.credit - package org.drip.simm.credit
Credit Qualifying/Non-Qualifying Risk Factor Settings
org.drip.simm.equity - package org.drip.simm.equity
Equity Risk Factor Calibration Settings
org.drip.simm.estimator - package org.drip.simm.estimator
ISDA SIMM Core + Add-On Estimator
org.drip.simm.foundation - package org.drip.simm.foundation
Foundation Utilities for ISDA SIMM
org.drip.simm.fx - package org.drip.simm.fx
FX Risk Factor Calibration Settings
org.drip.simm.margin - package org.drip.simm.margin
ISDA SIMM Risk Factor Margin Metrics
org.drip.simm.parameters - package org.drip.simm.parameters
ISDA SIMM Risk Factor Parameters
org.drip.simm.product - package org.drip.simm.product
ISDA SIMM Risk Factor Sensitivities
org.drip.simm.rates - package org.drip.simm.rates
SIMM IR Risk Factor Settings
org.drip.spaces.big - package org.drip.spaces.big
Big-date In-place Manipulator
org.drip.spaces.cover - package org.drip.spaces.cover
Vector Spaces Covering Number Estimator
org.drip.spaces.functionclass - package org.drip.spaces.functionclass
Normed Finite Spaces Function Class
org.drip.spaces.graph - package org.drip.spaces.graph
Graph Representation and Traversal Algorithms
org.drip.spaces.instance - package org.drip.spaces.instance
Validated Continuous/Combinatorial Metric Spaces
org.drip.spaces.iterator - package org.drip.spaces.iterator
Iterative/Exhaustive Vector Space Scanners
org.drip.spaces.metric - package org.drip.spaces.metric
Hilbert/Banach Normed Metric Spaces
org.drip.spaces.rxtor1 - package org.drip.spaces.rxtor1
R^x To R^1 Normed Function Spaces
org.drip.spaces.rxtord - package org.drip.spaces.rxtord
R^x To R^d Normed Function Spaces
org.drip.spaces.tensor - package org.drip.spaces.tensor
R^x Continuous/Combinatorial Tensor Spaces
org.drip.spline.basis - package org.drip.spline.basis
Basis Spline Construction/Customization Parameters
org.drip.spline.bspline - package org.drip.spline.bspline
de Boor Rational/Exponential/Tension B-Splines
org.drip.spline.grid - package org.drip.spline.grid
Aggregated/Overlapping Stretch/Span Grids
org.drip.spline.multidimensional - package org.drip.spline.multidimensional
Multidimensional Wire Surface Stretch
org.drip.spline.params - package org.drip.spline.params
Spline Segment Construction Control Parameters
org.drip.spline.pchip - package org.drip.spline.pchip
Akima Monotone Convex PCHIP Splines
org.drip.spline.segment - package org.drip.spline.segment
Flexure Penalizing Best Fit Segment
org.drip.spline.stretch - package org.drip.spline.stretch
Multi-Segment Sequence Spline Stretch
org.drip.spline.tension - package org.drip.spline.tension
Koch Lyche Kvasov Tension Splines
org.drip.state.basis - package org.drip.state.basis
Basis State Curve Construction/Estimation
org.drip.state.boot - package org.drip.state.boot
Bootable Discount, Credit, Volatility States
org.drip.state.creator - package org.drip.state.creator
Scenario State Curve/Surface Builders
org.drip.state.credit - package org.drip.state.credit
Credit Latent State Curve Representation
org.drip.state.csa - package org.drip.state.csa
Credit Support Annex Latent State
org.drip.state.curve - package org.drip.state.curve
Basis Spline Based Latent States
org.drip.state.discount - package org.drip.state.discount
Discount Curve Spline Latent State
org.drip.state.estimator - package org.drip.state.estimator
Multi-Pass Customized Stretch Curve
org.drip.state.forward - package org.drip.state.forward
Forward Latent State Estimator Curve
org.drip.state.fx - package org.drip.state.fx
FX Latent State Estimator Curve
org.drip.state.govvie - package org.drip.state.govvie
Govvie Latent State Estimator Curve
org.drip.state.identifier - package org.drip.state.identifier
Latent State Identifier Labels
org.drip.state.inference - package org.drip.state.inference
Latent State Stretch Sequence Inference
org.drip.state.nonlinear - package org.drip.state.nonlinear
Nonlinear (i.e., Boot) Latent State Construction
org.drip.state.repo - package org.drip.state.repo
Latent State Repo Curve Estimator
org.drip.state.representation - package org.drip.state.representation
Latent State Merge Sub-stretch
org.drip.state.sequence - package org.drip.state.sequence
Monte Carlo Path State Realizations
org.drip.state.volatility - package org.drip.state.volatility
Latent State Volatility Curve/Surface
org.drip.template.forwardratefutures - package org.drip.template.forwardratefutures
Forward Rate Futures Construction Template
org.drip.template.irs - package org.drip.template.irs
Standard IRS Fix-Float Template
org.drip.template.state - package org.drip.template.state
Standard Latent State Construction Template
org.drip.template.statebump - package org.drip.template.statebump
Shifted Latent State Construction Template
org.drip.template.ust - package org.drip.template.ust
Standard UST Suite Construction Template
org.drip.xva.basel - package org.drip.xva.basel
XVA Based Basel Accounting Measures
org.drip.xva.definition - package org.drip.xva.definition
XVA Definition - Close Out, Universe
org.drip.xva.derivative - package org.drip.xva.derivative
Burgard Kjaer Dynamic Portfolio Replication
org.drip.xva.dynamics - package org.drip.xva.dynamics
XVA Dynamics - Settings and Evolution
org.drip.xva.gross - package org.drip.xva.gross
XVA Gross Adiabat Exposure Aggregation
org.drip.xva.hypothecation - package org.drip.xva.hypothecation
XVA Hypothecation Group Amount Estimation
org.drip.xva.netting - package org.drip.xva.netting
Credit/Debt/Funding Netting Groups
org.drip.xva.pde - package org.drip.xva.pde
Burgard Kjaer PDE Evolution Scheme
org.drip.xva.proto - package org.drip.xva.proto
Collateral, Counter Party, Netting Groups
org.drip.xva.settings - package org.drip.xva.settings
XVA Group and Path Settings
org.drip.xva.strategy - package org.drip.xva.strategy
Replication Strategy Based Netting Group
org.drip.xva.topology - package org.drip.xva.topology
Collateral, Credit/Debt, Funding Topologies
org.drip.xva.vertex - package org.drip.xva.vertex
XVA Hypothecation Group Vertex Generators
OrientedPassageTimeBound - Class in org.drip.sample.efronstein
OrientedPassageTimeBound demonstrates the Computation of the Probabilistic Bounds for the First Passage Time in a Grid of Oriented Percolation using Variants of the Efron-Stein Methodology.
OrientedPassageTimeBound() - Constructor for class org.drip.sample.efronstein.OrientedPassageTimeBound
 
OrientedPercolationFirstPassage - Class in org.drip.sequence.custom
OrientedPercolationFirstPassage contains Variance Bounds on the Critical Measures of the Standard Problem of First Passage Time in Oriented Percolation.
OrientedPercolationFirstPassage(double, double) - Constructor for class org.drip.sequence.custom.OrientedPercolationFirstPassage
OrientedPercolationFirstPassage Constructor
OriginalPrincipal - Class in org.drip.assetbacked.loan
OriginalPrincipal contains the Origination Loan Principal.
OriginalPrincipal(double) - Constructor for class org.drip.assetbacked.loan.OriginalPrincipal
OriginalPrincipal Constructor
originalReferenceCoupon() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Original Reference Coupon
OriginationFICO - Class in org.drip.assetbacked.borrower
OriginationFICO contains the Borrower's FICO Score at a given Loan's Origination.
OriginationFICO(double) - Constructor for class org.drip.assetbacked.borrower.OriginationFICO
OriginationFICO Constructor
originationMonth() - Method in class org.drip.assetbacked.loan.Vintage
Retrieve the Origination Month
originationYear() - Method in class org.drip.assetbacked.loan.Vintage
Retrieve the Origination Year
OrnsteinUhlenbeck - Interface in org.drip.measure.process
OrnsteinUhlenbeck Interface exposes the Reference Parameter Scales the guide the Random Variable Evolution according to Ornstein-Uhlenbeck Mean Reverting Process.
OrnsteinUhlenbeckPair - Class in org.drip.measure.process
OrnsteinUhlenbeckPair guides the Random Variable Evolution according to 2D Ornstein-Uhlenbeck Mean Reverting Process.
OrnsteinUhlenbeckPair(DiffusionEvaluatorOrnsteinUhlenbeck, DiffusionEvaluatorOrnsteinUhlenbeck, double) - Constructor for class org.drip.measure.process.OrnsteinUhlenbeckPair
OrnsteinUhlenbeckPair Constructor
OrnsteinUhlenbeckSequence - Class in org.drip.execution.latent
OrnsteinUhlenbeckSequence holds the Sequence of the Market State that drives the Liquidity and the Volatility Market States driven using an Ornstein-Uhlenbeck Process.
ornsteinUnlenbeckProcess() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
Retrieve the Reference Ornstein-Unlenbeck Process
OTCAccountingModus - Class in org.drip.xva.basel
OTCAccountingModus implements the Generic Basel Accounting Scheme using the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
OTCAccountingModus(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModus
 
OTCAccountingModusFCAFBA - Class in org.drip.xva.basel
OTCAccountingModusFCAFBA implements the Basel Accounting Scheme using the FCA/FBA Specification of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
OTCAccountingModusFCAFBA(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModusFCAFBA
OTCAccountingModusFCAFBA Constructor
OTCAccountingModusFVAFDA - Class in org.drip.xva.basel
OTCAccountingModusFVAFDA implements the Basel Accounting Scheme using the FVA/FDA Specification of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
OTCAccountingModusFVAFDA(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModusFVAFDA
OTCAccountingModusFVAFDA Constructor
OTCAccountingPolicy - Class in org.drip.xva.basel
OTCAccountingPolicy implements the Generic Basel Accounting Policy using the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
OTCAccountingPolicy(double, double, double, double) - Constructor for class org.drip.xva.basel.OTCAccountingPolicy
OTCAccountingPolicy Constructor
OTCCrossCurrencyDefinitions - Class in org.drip.sample.xccy
OTCFloatFloatDefinitions contains all the pre-fixed Definitions of the OTC Cross-Currency Float-Float Swap Contracts.
OTCCrossCurrencyDefinitions() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencyDefinitions
 
OTCCrossCurrencySwaps - Class in org.drip.sample.xccy
OTCCrossCurrencySwaps demonstrates the Construction and Valuation of the Cross-Currency Floating Swap of OTC contracts.
OTCCrossCurrencySwaps() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencySwaps
 
otcFixFloat(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the OTC Fix Float Latent State
otcFixFloat() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the OTC Fix Float Latent State Node Container
otcFixFloat(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled OTC Fix Float
otcFixFloatExists(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the OTC Fix Float Latent State Exists
otcFixFloatLabel() - Method in class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
Retrieve the OTC Fix Float Label
otcFixFloatLabel() - Method in class org.drip.product.credit.BondComponent
 
otcFixFloatLabel() - Method in class org.drip.product.credit.CDSComponent
 
otcFixFloatLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Map of OTC Fix Float Latent State Labels
otcFixFloatLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
otcFixFloatLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
otcFixFloatLabel() - Method in class org.drip.product.option.OptionComponent
 
otcFixFloatLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
otcFixFloatLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
otcFixFloatLabel() - Method in class org.drip.product.rates.RatesBasket
 
otcFixFloatLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
otcFixFloatLabel() - Method in class org.drip.product.rates.Stream
Retrieve the OTC Fix Float Label, if Present
OTCFixFloatLabel - Class in org.drip.state.identifier
OTCFixFloatLabel contains the Index Parameters referencing a Payment on an OTC Fix/Float IRS Par Rate Index.
OTCFixFloatLabel(FloaterIndex, String, String) - Constructor for class org.drip.state.identifier.OTCFixFloatLabel
OTCFixFloatLabel Constructor
otcFixFloatMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the OTC Fix Float Evolver Map
OTCInstrumentBuilder - Class in org.drip.service.template
OTCInstrumentBuilder contains static Helper API to facilitate Construction of OTC Instruments.
OTCInstrumentBuilder() - Constructor for class org.drip.service.template.OTCInstrumentBuilder
 
OTCPayerAggressiveTimeline - Class in org.drip.sample.mporfixfloat
OTCPayerAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerAggressiveTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerAggressiveTimeline
 
OTCPayerClassicalMinusTimeline - Class in org.drip.sample.mporfixfloat
OTCPayerClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerClassicalMinusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerClassicalMinusTimeline
 
OTCPayerClassicalPlusTimeline - Class in org.drip.sample.mporfixfloat
OTCPayerClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerClassicalPlusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerClassicalPlusTimeline
 
OTCPayerConservativeTimeline - Class in org.drip.sample.mporfixfloat
OTCPayerConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerConservativeTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerConservativeTimeline
 
OTCPayerCSAAggressive - Class in org.drip.sample.mporfixfloatxva
OTCPayerCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerCSAAggressive() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAAggressive
 
OTCPayerCSAClassicalMinus - Class in org.drip.sample.mporfixfloatxva
OTCPayerCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerCSAClassicalMinus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalMinus
 
OTCPayerCSAClassicalPlus - Class in org.drip.sample.mporfixfloatxva
OTCPayerCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerCSAClassicalPlus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalPlus
 
OTCPayerCSAConservative - Class in org.drip.sample.mporfixfloatxva
OTCPayerCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCPayerCSAConservative() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAConservative
 
OTCReceiverAggressiveTimeline - Class in org.drip.sample.mporfixfloat
OTCReceiverAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverAggressiveTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverAggressiveTimeline
 
OTCReceiverClassicalMinusTimeline - Class in org.drip.sample.mporfixfloat
OTCReceiverClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverClassicalMinusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverClassicalMinusTimeline
 
OTCReceiverClassicalPlusTimeline - Class in org.drip.sample.mporfixfloat
OTCReceiverClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverClassicalPlusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverClassicalPlusTimeline
 
OTCReceiverConservativeTimeline - Class in org.drip.sample.mporfixfloat
OTCReceiverConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverConservativeTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverConservativeTimeline
 
OTCReceiverCSAAggressive - Class in org.drip.sample.mporfixfloatxva
OTCReceiverCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverCSAAggressive() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAAggressive
 
OTCReceiverCSAClassicalMinus - Class in org.drip.sample.mporfixfloatxva
OTCReceiverCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverCSAClassicalMinus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalMinus
 
OTCReceiverCSAClassicalPlus - Class in org.drip.sample.mporfixfloatxva
OTCReceiverCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverCSAClassicalPlus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalPlus
 
OTCReceiverCSAConservative - Class in org.drip.sample.mporfixfloatxva
OTCReceiverCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
OTCReceiverCSAConservative() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAConservative
 
OTCSwapOptionSettlements - Class in org.drip.sample.multicurve
OTCSwapOptionSettlements contains all the pre-fixed Definitions of the OTC Swap Option Settlements.
OTCSwapOptionSettlements() - Constructor for class org.drip.sample.multicurve.OTCSwapOptionSettlements
 
OToole2013 - Class in org.drip.sample.blacklitterman
OToole2013 reconciles the Outputs of the Black-Litterman Model Process.
OToole2013() - Constructor for class org.drip.sample.blacklitterman.OToole2013
 
output(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Generate the MarginAmountEstimatorOutput Instance
output() - Method in class org.drip.function.definition.VariateOutputPair
Retrieve the Function Output Value Array
output() - Method in class org.drip.service.api.DateDiscountCurvePair
Retrieve the Output Dump
outputDimension() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Output Dimension
outputMetricVectorSpace() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
Retrieve the Eigen Output Space
outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
Retrieve the Output R^1 Metric Vector Space
outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
Retrieve the Output R^d Metric Vector Space
outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
 
outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
 
outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Retrieve the Output Vector Space
outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
 
outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
 
outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Output Metric Vector Space
outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
 
outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
 
outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Output Metric Vector Space
outputVectorMetricSpace() - Method in class org.drip.learning.kernel.IntegralOperator
Retrieve the Kernel Integral Operator Output Space
outright() - Method in class org.drip.product.calib.FXForwardQuoteSet
Retrieve the Terminal FX Forward Outright
outstandingFactorSchedule() - Method in class org.drip.product.params.NotionalSetting
Retrieve the Outstanding Factor Schedule
outstandingUnits() - Method in class org.drip.execution.parameters.AssetFlowSettings
Retrieve the Outstanding Number of the Traded Units
overlap(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Identify if the Supplied Merge Stretch overlaps with the provided one.
OverlappingStretchSpan - Class in org.drip.spline.grid
OverlappingStretchSpan implements the Span interface, and the collection functionality of overlapping Stretches.
OverlappingStretchSpan(MultiSegmentSequence) - Constructor for class org.drip.spline.grid.OverlappingStretchSpan
OverlappingStretchSpan constructor
overnight(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Overnight Latent State
overnight() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Overnight Latent State Node Container
overnight(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Overnight
overnight() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
Retrieve the Overnight Index Primary Security
overnight() - Method in class org.drip.state.identifier.FloaterLabel
Indicate if the Index is an Overnight Index
overnight() - Method in class org.drip.state.identifier.OvernightLabel
Indicate if the Index is an Overnight Index
OvernightArithmeticCompoundingConvexity - Class in org.drip.sample.ois
OvernightArithmeticCompoundingConvexity contains an assessment of the impact of the Overnight Index Volatility, the Funding Numeraire Volatility, and the ON Index/Funding Correlation on the Overnight Floating Stream.
OvernightArithmeticCompoundingConvexity() - Constructor for class org.drip.sample.ois.OvernightArithmeticCompoundingConvexity
 
OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
overnightCurve() - Method in class org.drip.state.csa.MultilateralBasisCurve
Retrieve the Overnight Curve
OvernightCurveAPI - Class in org.drip.service.state
OvernightCurveAPI computes the Metrics associated the Overnight Curve State.
OvernightCurveAPI() - Constructor for class org.drip.service.state.OvernightCurveAPI
 
OvernightDeposit(JulianDate, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor
OvernightDeposit(JulianDate, String, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors
OvernightEdgeDates(JulianDate, JulianDate, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
OvernightEdgeDates(int, int, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
overnightExists(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Overnight Latent State Exists
OvernightFedFundLIBORSwap - Class in org.drip.sample.fedfund
OvernightFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for the Composite Fed Fund vs.
OvernightFedFundLIBORSwap() - Constructor for class org.drip.sample.fedfund.OvernightFedFundLIBORSwap
 
OvernightFixedFloatContainer - Class in org.drip.market.otc
OvernightFixedFloatContainer holds the settings of the standard OTC Overnight Fix-Float Swap Contract Conventions.
OvernightFixedFloatContainer() - Constructor for class org.drip.market.otc.OvernightFixedFloatContainer
 
OvernightIndex - Class in org.drip.market.definition
OvernightIndex contains the definitions of the overnight indexes of different jurisdictions.
OvernightIndex(String, String, String, String, String, String, int, int) - Constructor for class org.drip.market.definition.OvernightIndex
OvernightIndex Constructor
overnightIndex() - Method in class org.drip.state.identifier.OvernightLabel
Retrieve the Overnight Index
OvernightIndexContainer - Class in org.drip.market.definition
OvernightIndexContainer holds the definitions of the overnight index definitions corresponding to different jurisdictions.
OvernightIndexContainer() - Constructor for class org.drip.market.definition.OvernightIndexContainer
 
OvernightIndexCurve - Class in org.drip.sample.forward
OvernightIndexCurve illustrates the Construction and Usage of the Overnight Index Discount Curve.
OvernightIndexCurve() - Constructor for class org.drip.sample.forward.OvernightIndexCurve
 
OvernightIndexMarksReconstitutor - Class in org.drip.feed.transformer
OvernightIndexMarksReconstitutor transforms the Overnight Instrument Manifest Measures (e.g., Deposits and OIS) Feed Inputs into Formats appropriate for Overnight Curve Construction and Measure Generation.
OvernightIndexMarksReconstitutor() - Constructor for class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
 
OvernightIndexSwapAPI - Class in org.drip.service.product
OvernightIndexSwapAPI exposes the Pricing and the Scenario Runs for an Overnight Index Swap.
OvernightIndexSwapAPI() - Constructor for class org.drip.service.product.OvernightIndexSwapAPI
 
OvernightJurisdictionIndexDefinition - Class in org.drip.sample.ois
OvernightJurisdictionIndexDefinition demonstrates the functionality to retrieve the Overnight Index Settings across the various Jurisdictions.
OvernightJurisdictionIndexDefinition() - Constructor for class org.drip.sample.ois.OvernightJurisdictionIndexDefinition
 
OvernightLabel - Class in org.drip.state.identifier
OvernightLabel contains the Index Parameters referencing an Overnight Index.
overnightLabel() - Method in class org.drip.xva.proto.CollateralGroupSpecification
Retrieve the Overnight Label
overnightLabel() - Method in class org.drip.xva.topology.CollateralGroup
Retrieve the Overnight Label
overnightLabelMap() - Method in class org.drip.xva.topology.Adiabat
Retrieve the Overnight Label Map
overnightLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
Retrieve the Map of Overnight Labels
overnightLabelMap() - Method in class org.drip.xva.topology.CreditDebtGroup
Retrieve the Overnight Label Map
overnightLabelMap() - Method in class org.drip.xva.topology.FundingGroup
Retrieve the Overnight Label Map
overnightMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Overnight Evolver Map
overnightOvernightCorrelation(OvernightLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Overnight Latent States
overnightPaydownCorrelation(OvernightLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Overnight and the Pay-down Latent States
overnightRate() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized Overnight Index Rate
overnightRatingCorrelation(OvernightLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Overnight and the Rating Latent States
overnightRecoveryCorrelation(OvernightLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Overnight and the Recovery Latent States
overnightReplicator() - Method in class org.drip.exposure.universe.MarketVertex
Retrieve the Realized Overnight Index Numeraire
overnightRepoCorrelation(OvernightLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Overnight and the Repo Latent States
overnightState(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Overnight Latent State Corresponding to the Label
OvernightState - Class in org.drip.template.state
OvernightState sets up the Calibration and the Construction of the Overnight Latent State and examine the Emitted Metrics.
OvernightState() - Constructor for class org.drip.template.state.OvernightState
 
OvernightStateShifted - Class in org.drip.template.statebump
OvernightStateShifted demonstrates the Generation of the Tenor Bumped Overnight Curves.
OvernightStateShifted() - Constructor for class org.drip.template.statebump.OvernightStateShifted
 
overnightVolatility(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the Overnight Latent State Label
Ozhukarai - Class in org.drip.sample.bondswap
Ozhukarai demonstrates the Analytics Calculation/Reconciliation for the OTC Fix-Float Index Based Bond Ozhukarai.
Ozhukarai() - Constructor for class org.drip.sample.bondswap.Ozhukarai
 

P

PABHoliday - Class in org.drip.analytics.holset
 
PABHoliday() - Constructor for class org.drip.analytics.holset.PABHoliday
 
Panihati - Class in org.drip.sample.bondmetrics
Panihati generates the Full Suite of Replication Metrics for a Sample Bond.
Panihati() - Constructor for class org.drip.sample.bondmetrics.Panihati
 
Panipat - Class in org.drip.sample.bondmetrics
Panipat generates the Full Suite of Replication Metrics for Bond Panipat.
Panipat() - Constructor for class org.drip.sample.bondmetrics.Panipat
 
Panjin - Class in org.drip.sample.bondeos
Panjin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Panjin.
Panjin() - Constructor for class org.drip.sample.bondeos.Panjin
 
Panzhihua - Class in org.drip.sample.bondeos
Panzhihua demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Panzhihua.
Panzhihua() - Constructor for class org.drip.sample.bondeos.Panzhihua
 
ParabolicDifferentialOperator - Class in org.drip.xva.pde
ParabolicDifferentialOperator sets up the Parabolic Differential Equation based on the Ito Evolution Differential for the Reference Underlier Asset, as laid out in Burgard and Kjaer (2014).
ParabolicDifferentialOperator(PrimarySecurity) - Constructor for class org.drip.xva.pde.ParabolicDifferentialOperator
ParabolicDifferentialOperator Constructor
ParallelNodeBump(double[], double) - Static method in class org.drip.analytics.support.Helper
Generate an Array of Bumped Nodes
parallelShiftManifestMeasure(String, double) - Method in class org.drip.analytics.definition.MarketSurface
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.analytics.definition.NodeStructure
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.basis.BasisCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DerivedZeroRate
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.forward.ForwardCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.fx.FXCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.govvie.GovvieCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.repo.RepoCurve
 
parallelShiftManifestMeasure(String, double) - Method in interface org.drip.state.representation.LatentState
Create a LatentState Instance from the Manifest Measure Parallel Shift
parallelShiftQuantificationMetric(double) - Method in class org.drip.analytics.definition.MarketSurface
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.analytics.definition.NodeStructure
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.basis.BasisCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DerivedZeroRate
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.forward.ForwardCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.fx.FXCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.govvie.GovvieCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
parallelShiftQuantificationMetric(double) - Method in class org.drip.state.repo.RepoCurve
 
parallelShiftQuantificationMetric(double) - Method in interface org.drip.state.representation.LatentState
Create a LatentState Instance from the Quantification Metric Parallel Shift
paramType() - Method in class org.drip.param.definition.CreditManifestMeasureTweak
Retrieve the Tweak Parameter Type
Parbhani - Class in org.drip.sample.bondmetrics
Parbhani generates the Full Suite of Replication Metrics for Bond Parbhani.
Parbhani() - Constructor for class org.drip.sample.bondmetrics.Parbhani
 
parent() - Method in class org.drip.spaces.big.BinaryTree
Retrieve the Parent BinaryTree Instance
parForwardRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
Retrieve the Par Forward Rate
parse(String) - Method in class org.drip.json.parser.JSONParser
 
parse(String, ContainerFactory) - Method in class org.drip.json.parser.JSONParser
Parse the JSON String
parse(Reader) - Method in class org.drip.json.parser.JSONParser
 
parse(Reader, ContainerFactory) - Method in class org.drip.json.parser.JSONParser
Parse JSON text into java object from the input source.
parse(String, ContentHandler) - Method in class org.drip.json.parser.JSONParser
 
parse(String, ContentHandler, boolean) - Method in class org.drip.json.parser.JSONParser
 
parse(Reader, ContentHandler) - Method in class org.drip.json.parser.JSONParser
 
parse(Reader, ContentHandler, boolean) - Method in class org.drip.json.parser.JSONParser
Stream processing of JSON text.
parse(Reader) - Static method in class org.drip.json.simple.JSONValue
Parse JSON text into java object from the input source.
parse(String) - Static method in class org.drip.json.simple.JSONValue
 
ParseException - Exception in org.drip.json.parser
ParseException is an Adaptation of the ParseException Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
ParseException(int) - Constructor for exception org.drip.json.parser.ParseException
 
ParseException(int, Object) - Constructor for exception org.drip.json.parser.ParseException
 
ParseException(int, int, Object) - Constructor for exception org.drip.json.parser.ParseException
 
ParseFromBBGDCCode(String) - Static method in class org.drip.analytics.support.Helper
Convert the Bloomberg day count code to DRIP day count code.
ParseFromUnitaryString(String) - Static method in class org.drip.quant.common.StringUtil
Check if the string represents an unitary boolean
parseWithException(Reader) - Static method in class org.drip.json.simple.JSONValue
Parse JSON text into java object from the input source.
parseWithException(String) - Static method in class org.drip.json.simple.JSONValue
 
parSwapDV01(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Calculate the DV01 of the Par Swap that Matures at the given date
ParticipationRateLinear - Class in org.drip.execution.impact
ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate, along with an Offset.
ParticipationRateLinear(double, double) - Constructor for class org.drip.execution.impact.ParticipationRateLinear
ParticipationRateLinear Constructor
ParticipationRatePower - Class in org.drip.execution.impact
ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the Price Change scales as a Power of the Trade Rate.
ParticipationRatePower(double, double) - Constructor for class org.drip.execution.impact.ParticipationRatePower
ParticipationRatePower Constructor
Partition(double[], int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
Partition the Variate Array into the Objective Function Input Variates and the Constraint Variate
partOfMergeState(double, LatentStateLabel) - Method in class org.drip.state.representation.MergeSubStretchManager
Indicates whether the specified Latent State Label is Part of the Merge Stretch
pathAdjustedVariationMarginEstimate() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Generate the Path-wise Adjusted Variation Margin Estimate
pathAdjustedVariationMarginEstimator() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Generate the Path-wise Adjusted Variation Margin Estimator
pathCount() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Retrieve the Number of Simulation Paths
PathDateForwardCurves - Class in org.drip.sample.govviemc
PathDateForwardCurves demonstrates the Simulations of the Per-Path Forward Vertex Date Govvie Yield Curves.
PathDateForwardCurves() - Constructor for class org.drip.sample.govviemc.PathDateForwardCurves
 
PathExerciseIndicator - Class in org.drip.sample.govviemc
PathExerciseIndicator demonstrates the Simulations of the Per-Path Callable Bond OAS Based Exercise Indicator.
PathExerciseIndicator() - Constructor for class org.drip.sample.govviemc.PathExerciseIndicator
 
PathExposureAdjustment - Interface in org.drip.xva.gross
PathExposureAdjustment aggregates the Exposures and the Adjustments across Multiple Netting/Funding Groups on a Single Path Projection Run along the Granularity of a Counter Party Group.
pathExposureAdjustmentArray() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Group Path Exposure Adjustments
PathForwardPrice - Class in org.drip.sample.govviemc
PathForwardPrice demonstrates the Simulations of the Per-Path Callable Bond OAS Based Forward Price.
PathForwardPrice() - Constructor for class org.drip.sample.govviemc.PathForwardPrice
 
PathForwardRealization - Class in org.drip.sample.govviemc
PathForwardRealization demonstrates the Simulations of the Per-Path Forward Govvie Yield Nodes.
PathForwardRealization() - Constructor for class org.drip.sample.govviemc.PathForwardRealization
 
PathGovvie - Class in org.drip.state.sequence
PathGovvie exposes the Functionality to generate a Sequence of Govvie Curve Realizations across Multiple Paths.
PathGovvie(GovvieBuilderSettings, double, boolean) - Constructor for class org.drip.state.sequence.PathGovvie
PathGovvie Constructor
PathRd - Class in org.drip.state.sequence
PathRd exposes the Functionality to generate a Sequence of the Path Vertex Latent State R^d Realizations across Multiple Paths.
PathRd(double[], double, boolean) - Constructor for class org.drip.state.sequence.PathRd
PathRd Constructor
pathResponse(int, int, double) - Method in class org.drip.spaces.big.BigR2Array
Compute the Path Response Associated with all the Nodes in the Path up to the Current One.
PathSimulator - Class in org.drip.xva.dynamics
PathSimulator drives the Simulation for various Latent States and Exposures.
PathSimulator(int, MarketVertexGenerator, int, PositionGroupContainer) - Constructor for class org.drip.xva.dynamics.PathSimulator
PathSimulator Constructor
PathTradeFlowAdjustment - Class in org.drip.sample.andersen2017vm
PathTradeFlowAdjustment generates the Trade Flow Adjusted Variation Margin from Sparse Nodes for a Fix-Float Swap.
PathTradeFlowAdjustment() - Constructor for class org.drip.sample.andersen2017vm.PathTradeFlowAdjustment
 
PathVariationMarginTrajectoryEstimator - Class in org.drip.exposure.mpor
PathVariationMarginTrajectoryEstimator computes the Variation Margin Estimate/Posting from the specified Dense Uncollateralized Exposures and Trade Payments along the specified Path Trajectory.
PathVariationMarginTrajectoryEstimator(int[], String, Map<Integer, Double>, TradePayment[], AndersenPykhtinSokolLag) - Constructor for class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
PathVariationMarginTrajectoryEstimator Constructor
pathVertex(double[]) - Method in class org.drip.state.sequence.PathVertexGovvie
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Width
pathVertex(double) - Method in class org.drip.state.sequence.PathVertexGovvie
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Width
pathVertex(String[]) - Method in class org.drip.state.sequence.PathVertexGovvie
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Event Tenors
pathVertex(int[]) - Method in class org.drip.state.sequence.PathVertexGovvie
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Event Tenors
pathVertex(double[], double[]) - Method in class org.drip.state.sequence.PathVertexRd
Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Width
pathVertex(double[], double) - Method in class org.drip.state.sequence.PathVertexRd
Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Width
pathVertex(double[], String[]) - Method in class org.drip.state.sequence.PathVertexRd
Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Event Tenors
pathVertex(double[], int, int[]) - Method in class org.drip.state.sequence.PathVertexRd
Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Event Tenors
PathVertexExerciseIndicator - Class in org.drip.sample.govviemc
PathVertexExerciseIndicator demonstrates the Simulations of the Per-Path Callable Bond Forward Price Based Exercise Indicator.
PathVertexExerciseIndicator() - Constructor for class org.drip.sample.govviemc.PathVertexExerciseIndicator
 
PathVertexExerciseMetrics - Class in org.drip.sample.govviemc
PathVertexExerciseMetrics demonstrates the Simulations of the Per-Path Callable Bond OAS Based Exercise Metrics.
PathVertexExerciseMetrics() - Constructor for class org.drip.sample.govviemc.PathVertexExerciseMetrics
 
PathVertexExerciseOptimal - Class in org.drip.sample.govviemc
PathVertexExerciseOptimal demonstrates the Simulations of the Per-Path Callable Bond Forward Price Based Exercise Value.
PathVertexExerciseOptimal() - Constructor for class org.drip.sample.govviemc.PathVertexExerciseOptimal
 
PathVertexForwardCurves - Class in org.drip.sample.govviemc
PathVertexForwardCurves demonstrates the Simulations of the Per-Path Forward Vertex Govvie Yield Curves.
PathVertexForwardCurves() - Constructor for class org.drip.sample.govviemc.PathVertexForwardCurves
 
PathVertexForwardPrice - Class in org.drip.sample.govviemc
PathVertexForwardPrice demonstrates the Simulations of the Per-Path/Vertex Callable Bond OAS Based Forward Price.
PathVertexForwardPrice() - Constructor for class org.drip.sample.govviemc.PathVertexForwardPrice
 
PathVertexForwardRealization - Class in org.drip.sample.govviemc
PathVertexForwardRealization demonstrates the Simulations of the Per-Path Forward Vertex Govvie Yield Nodes.
PathVertexForwardRealization() - Constructor for class org.drip.sample.govviemc.PathVertexForwardRealization
 
PathVertexForwardState - Class in org.drip.sample.govviemc
PathVertexForwardState demonstrates the Simulations of the Forward Govvie State at Paths and Vertexes.
PathVertexForwardState() - Constructor for class org.drip.sample.govviemc.PathVertexForwardState
 
PathVertexGovvie - Class in org.drip.state.sequence
PathVertexGovvie exposes the Functionality to generate a Sequence of Path/Vertex Govvie Curves.
PathVertexGovvie(GovvieBuilderSettings, CorrelatedPathVertexDimension, DiffusionEvolver[]) - Constructor for class org.drip.state.sequence.PathVertexGovvie
PathVertexGovvie Constructor
PathVertexRd - Class in org.drip.state.sequence
PathVertexRd exposes the Functionality to generate a Sequence of the Path Vertex Latent State R^d Realizations across Multiple Paths.
PathVertexRd(CorrelatedPathVertexDimension, DiffusionEvolver[]) - Constructor for class org.drip.state.sequence.PathVertexRd
PathVertexRd Constructor
PathwiseQMRealization - Class in org.drip.dynamics.lmm
PathwiseQMRealization contains the Sequence of the Simulated Target Point State QM Realizations and their corresponding Date Nodes.
PathwiseQMRealization(int[], double[]) - Constructor for class org.drip.dynamics.lmm.PathwiseQMRealization
PathwiseQMRealization Constructor
Patiala - Class in org.drip.sample.bondmetrics
Patiala generates the Full Suite of Replication Metrics for a Sample Bond.
Patiala() - Constructor for class org.drip.sample.bondmetrics.Patiala
 
Patna - Class in org.drip.sample.bondeos
Patna demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Patna.
Patna() - Constructor for class org.drip.sample.bondeos.Patna
 
payCurrency() - Method in class org.drip.analytics.cashflow.Bullet
Retrieve the Pay Currency
payCurrency() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Pay Currency
payCurrency() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Pay Currency
payCurrency() - Method in class org.drip.product.credit.BondComponent
 
payCurrency() - Method in class org.drip.product.credit.CDSComponent
 
payCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Pay Currency
payCurrency() - Method in class org.drip.product.definition.BasketProduct
 
payCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Pay Currency
payCurrency() - Method in class org.drip.product.fx.FXForwardComponent
 
payCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
 
payCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
 
payCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
 
payCurrency() - Method in class org.drip.product.option.OptionComponent
 
payCurrency() - Method in class org.drip.product.rates.FixFloatComponent
 
payCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
 
payCurrency() - Method in class org.drip.product.rates.RatesBasket
 
payCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
 
payCurrency() - Method in class org.drip.product.rates.Stream
Retrieve the Pay Currency
payCurrencyCollateralCurrencyCurve(String, String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Discount Curve associated with the Pay Cash-flow Collateralized using a different Collateral Currency Numeraire
payDate() - Method in class org.drip.analytics.cashflow.Bullet
Retrieve the Period Pay Date
payDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
Return the Period Pay Date
payDate() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Pay Date
payDown(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Pay Down Latent State
payDown() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Pay Down Latent State Node Container
payDown(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Pay Down
payDownExists(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Pay Down Latent State Exists
PaydownLabel - Class in org.drip.state.identifier
PaydownLabel contains the Identifier Parameters referencing the Latent State of the named Paydown Curve.
payDownMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Pay Down Evolver Map
paydownPaydownCorrelation(PaydownLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Pay-down Latent State Pair
paydownRatingCorrelation(PaydownLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Pay-down and the Rating Latent States
paydownRecoveryCorrelation(PaydownLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Pay-down and the Recovery Latent States
paydownRepoCorrelation(PaydownLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Pay-down and the Repo Latent States
paydownState(PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Pay-down State for the specified Pay-down Latent State Label
paydownVolaitlity(PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified Pay-down Latent State
payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.BlackNormalAlgorithm
 
payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.BlackScholesAlgorithm
 
payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Compute the Expected Payoff of the Option from the Inputs
payoff(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Compute the Expected Payoff of the Option from the Inputs
payoff(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, R1ToR1, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
Compute the Expected Payoff of the Option from the Inputs
payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
 
PAYOFF_TRANSFORM_SCHEME_AMST_2007 - Static variable in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
Payoff Transformation Type - The Albrecher, Mayer, Schoutens, and Tistaert Scheme
PAYOFF_TRANSFORM_SCHEME_HESTON_1993 - Static variable in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
Payoff Transformation Type - The Original Heston 1993 Scheme
payoffTransformScheme() - Method in class org.drip.param.pricer.HestonOptionPricerParams
Return the Payoff Fourier Transformation Scheme
PDEEvolutionControl - Class in org.drip.xva.definition
PDEEvolutionControl is used to Customize the XVA Estimation using PDE Evolution ,e.g., determine the MTM Mechanism that determines the actual Termination Close Out, as laid out in Burgard and Kjaer (2014).
PDEEvolutionControl(int, double) - Constructor for class org.drip.xva.definition.PDEEvolutionControl
PDEEvolutionControl Constructor
pdeEvolutionControl() - Method in class org.drip.xva.pde.BurgardKjaerOperator
Retrieve the XVA Control Settings
pdeEvolutionControl() - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
Retrieve the XVA PDE Control Settings
pecs() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the PECS
pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from ASW to Work-out
pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from ASW to Maturity
pecsFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from ASW to Optimal Exercise
pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Bond Basis to Work-out
pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Bond Basis to Maturity
pecsFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Bond Basis to Optimal Exercise
pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Credit Basis to Work-out
pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Credit Basis to Maturity
pecsFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Credit Basis to Optimal Exercise
pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Discount Margin to Work-out
pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Discount Margin to Maturity
pecsFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Discount Margin to Optimal Exercise
pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from E Spread to Work-out
pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from E Spread to Maturity
pecsFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from E Spread to Optimal Exercise
pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from G Spread to Work-out
pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from G Spread to Maturity
pecsFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from G Spread to Optimal Exercise
pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from I Spread to Work-out
pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from I Spread to Maturity
pecsFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from I Spread to Optimal Exercise
pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from J Spread to Work-out
pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from J Spread to Maturity
pecsFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from J Spread to Optimal Exercise
pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from N Spread to Work-out
pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from N Spread to Maturity
pecsFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from N Spread to Optimal Exercise
pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from OAS to Work-out
pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from OAS to Maturity
pecsFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from OAS to Optimal Exercise
pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Price to Work-out
pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Price to Maturity
pecsFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Price to Optimal Exercise
pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from TSY Spread to Work-out
pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from TSY Spread to Maturity
pecsFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from TSY Spread to Optimal Exercise
pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Yield to Work-out
pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Yield to Maturity
pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Yield Spread to Work-out
pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Yield Spread to Maturity
pecsFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Yield Spread to Optimal Exercise
pecsFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Yield to Optimal Exercise
pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Z Spread to Work-out
pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Z Spread to Maturity
pecsFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
pecsFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate PECS from Z Spread to Optimal Exercise
PED(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Potential Event of Default CSA Event Date
ped() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the PED Event Date
PED_CALL_OUT_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
PED Call Out Delay - Aggressive
PED_CALL_OUT_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
PED Call Out Delay - Conservative
PED_COMMUNICATION_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
PED Communication Delay - Aggressive
PED_COMMUNICATION_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
PED Communication Delay - Conservative
PEDCommunication(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the PED Communication CSA Event Date
pedCommunication() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the PED Communication Event Date
PEFHoliday - Class in org.drip.analytics.holset
 
PEFHoliday() - Constructor for class org.drip.analytics.holset.PEFHoliday
 
PenalizedCurvatureFitTest() - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
 
PenalizedCurvatureLengthFitTest() - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
 
penaltyAmount() - Method in class org.drip.portfolioconstruction.optimizer.SoftConstraint
Retrieve the Soft Constraint Penalty Amount
penaltyType() - Method in class org.drip.portfolioconstruction.optimizer.SoftConstraint
Retrieve the Soft Constraint Penalty Type
PENHoliday - Class in org.drip.analytics.holset
 
PENHoliday() - Constructor for class org.drip.analytics.holset.PENHoliday
 
pensionBenefits() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Investor Pension Benefits
pensionBenefitsDF() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Investor Pension Benefits Discount Factor
pensionBenefitsIncomeDF(double) - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Pension Benefits Income Discount Factor
pensionBenefitsIncomePV() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
Retrieve the PV of the Pension Benefits Income
pensionBenefitsIncomeRate() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Pension Benefits Income Discount Rate
pensionBenefitsIncomeSpread() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Pension Benefits Income Spread
PERCENT - Static variable in class org.drip.portfolioconstruction.optimizer.Unit
Constraint Unit - PERCENT
PerfectReplicationCollateralizedFunding - Class in org.drip.sample.burgard2013
PerfectReplicationCollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
PerfectReplicationCollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFunding
 
PerfectReplicationCollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
PerfectReplicationCollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
PerfectReplicationCollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFundingStochastic
 
PerfectReplicationUncollateralizedFunding - Class in org.drip.sample.burgard2013
PerfectReplicationUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
PerfectReplicationUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFunding
 
PerfectReplicationUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
PerfectReplicationUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
PerfectReplicationUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFundingStochastic
 
PerfectReplicationZeroThresholdFunding - Class in org.drip.sample.burgard2013
PerfectReplicationZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
PerfectReplicationZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFunding
 
PerfectReplicationZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
PerfectReplicationZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
PerfectReplicationZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFundingStochastic
 
period(int) - Method in class org.drip.product.params.BondStream
Retrieve the period corresponding to the given index
PERIOD_AMORT_AT_END - Static variable in class org.drip.product.params.NotionalSetting
Period amortization proxies to the period end factor
PERIOD_AMORT_AT_START - Static variable in class org.drip.product.params.NotionalSetting
Period amortization proxies to the period start factor
PERIOD_AMORT_EFFECTIVE - Static variable in class org.drip.product.params.NotionalSetting
Period amortization proxies to the period effective factor
PERIOD_DAY_STEPS_MINIMUM - Static variable in class org.drip.param.pricer.CreditPricerParams
Minimum number of days per unit
PERIOD_DISCRETIZATION_DAY_STEP - Static variable in class org.drip.param.pricer.CreditPricerParams
Discretization as a sequence of day steps
PERIOD_DISCRETIZATION_FULL_COUPON - Static variable in class org.drip.param.pricer.CreditPricerParams
No discretization at all - just the full coupon period
PERIOD_DISCRETIZATION_PERIOD_STEP - Static variable in class org.drip.param.pricer.CreditPricerParams
Discretization as a sequence of time space divided periods
periodAmortizationMode() - Method in class org.drip.product.params.NotionalSetting
Retrieve the Period Amortization Mode
periodBilateralCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Bilateral Credit Adjustment
periodBilateralDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Bilateral Debt Adjustment
periodBilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period Bilateral Funding Debt Adjustment
periodBilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Path Bilateral Funding Debt Adjustment
periodBilateralFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Bilateral Path Funding Value Adjustment
periodBilateralFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period Bilateral Funding Value Spread 01
periodBilateralFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period Bilateral Funding Value Spread 01
periodCollateralSpread01() - Method in class org.drip.xva.netting.CollateralGroupPath
Compute Period-wise Path Collateral Spread 01
periodCollateralSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Path Collateral Spread 01
periodCollateralValueAdjustment() - Method in class org.drip.xva.netting.CollateralGroupPath
Compute Period-wise Path Collateral Value Adjustment
periodCollateralValueAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Path Collateral Value Adjustment
periodContraLiabilityCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Contra-Liability Credit Adjustment
periodCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Credit Adjustment
periodCreditAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
 
periodCurveFloatingRate() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period Curve Floating Rate
periodDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Debt Adjustment
periodDebtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
 
periodFixedRate() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period Fixed Rate
periodFixingDate(int) - Method in class org.drip.product.credit.BondComponent
 
periodFixingDate(int) - Method in class org.drip.product.definition.Bond
Get the bond's reset date for the period identified by the valuation date
periodFloatingRateUsed() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period Floating Rate Used
periodFundingBenefitAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Path Funding Benefit Adjustment
periodFundingBenefitAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
periodFundingCostAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Path Funding Cost Adjustment
periodFundingCostAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
periodFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Path Funding Debt Adjustment
periodFundingDebtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
periodFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Path Funding Value Adjustment
periodFundingValueAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
 
periodIndex(int) - Method in class org.drip.product.params.BondStream
Return the period index containing the specified date
periodProductFloatingRate() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Period Product Floating Rate
periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositeFixedPeriod
 
periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositeFloatingPeriod
 
periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Period Calibration Quotes from the specified product quote set
periods() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the List of Composable Periods
periods() - Method in class org.drip.product.rates.Stream
Retrieve a list of the component's coupon periods
periodSymmetricFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Path Symmetric Funding Value Adjustment
periodSymmetricFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Symmetric Funding Value Spread 01
periodSymmetricFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period Symmetric Funding Value Spread 01
periodUnilateralCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Unilateral Credit Adjustment
periodUnilateralDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period-wise Unilateral Debt Adjustment
periodUnilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period Unilateral Funding Debt Adjustment
periodUnilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Path Unilateral Funding Debt Adjustment
periodUnilateralFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period-wise Unilateral Path Funding Value Adjustment
periodUnilateralFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Period Unilateral Funding Value Spread 01
periodUnilateralFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Period Unilateral Funding Value Spread 01
periodWiseConvexityAdjustment(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Compute the Convexity Adjustment for the Composable Periods that use Arithmetic Compounding using the specified Value Date using the Market Data provided
PERMANENT_IMPACT_COEFFICIENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Universal Permanent Impact Coefficient
PERMANENT_IMPACT_COEFFICIENT_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Universal Permanent Impact Coefficient One Sigma
PERMANENT_IMPACT_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Universal Permanent Impact Exponent
PERMANENT_IMPACT_EXPONENT_ATHL2005 - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent
PERMANENT_IMPACT_EXPONENT_ATHL2005_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent One Sigma
PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Quasi-Arbitrage Free Universal Permanent Impact Exponent
PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
The Universal Permanent Impact Inverse Turnover Coefficient
PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005 - Static variable in class org.drip.execution.athl.CalibrationEmpirics
The ATHL2005 Permanent Impact Inverse Turnover Coefficient
PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
The ATHL2005 Permanent Impact Inverse Turnover Coefficient One Sigma Error
permanentExpectation() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
Retrieve the Background Participation Permanent Market Impact Expectation Function
permanentImpact() - Method in class org.drip.execution.evolution.MarketImpactComponent
Retrieve the Permanent Market Impact Contribution
permanentImpactDrift() - Method in class org.drip.execution.discrete.EvolutionIncrement
Retrieve the Change induced by the Deterministic Asset Price Permanent Market Impact Drivers
permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
permanentImpactExpectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
Retrieve the Permanent Market Impact Expectation Component
permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Permanent Impact Expectation Contribution
permanentImpactFactor() - Method in class org.drip.execution.parameters.PriceMarketImpact
Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Permanent Impact Cost
PermanentImpactNoArbitrage - Class in org.drip.execution.athl
PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
PermanentImpactNoArbitrage(AssetFlowSettings) - Constructor for class org.drip.execution.athl.PermanentImpactNoArbitrage
PermanentImpactNoArbitrage Constructor
PermanentImpactQuasiArbitrage - Class in org.drip.execution.athl
PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of the no Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
PermanentImpactQuasiArbitrage(AssetFlowSettings) - Constructor for class org.drip.execution.athl.PermanentImpactQuasiArbitrage
PermanentImpactQuasiArbitrage Constructor
permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
permanentImpactVariance() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
Retrieve the Permanent Market Impact Variance Component
permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Permanent Impact Variance Contribution
permanentImpactWander() - Method in class org.drip.execution.discrete.EvolutionIncrement
Retrieve the Change induced by the Stochastic Asset Price Permanent Market Impact Drivers
permanentImpactWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
Retrieve the Previous Instance of the Permanent Impact Walk Wanderer
permanentMarketImpactFunction() - Method in class org.drip.execution.athl.TransactionRealization
Retrieve the Permanent Market Impact Transaction Function
permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpact
Generate the Permanent Impact Transaction Function
permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactLinear
Generate the Permanent Impact Transaction Function
permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
Generate the Permanent Impact Transaction Function
permanentVolatility() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
Retrieve the Background Participation Permanent Market Impact Volatility Function
perpetual() - Method in class org.drip.product.credit.BondComponent
 
perpetual() - Method in class org.drip.product.definition.Bond
Indicate if the bond is perpetual
perpetual() - Method in class org.drip.product.params.TerminationSetting
Indicate if the contract is perpetual
PESHoliday - Class in org.drip.analytics.holset
 
PESHoliday() - Constructor for class org.drip.analytics.holset.PESHoliday
 
pfv() - Method in class org.drip.xva.basel.BalanceSheetVertex
Estimate the Portfolio Value (PFV)
phase(double) - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Retrieve the Investment Phase corresponding to the specified Age
PhaseAdjuster - Class in org.drip.quant.fourier
PhaseAdjuster implements the functionality specifically meant for enhancing stability of the Fourier numerical Routines.
PhaseAdjuster() - Constructor for class org.drip.quant.fourier.PhaseAdjuster
 
PhaseTrackerComparison - Class in org.drip.sample.numerical
PhaseTrackerComparison demonstrates the Log + Power Complex Number Phase Correction Functionality implemented by three different ways for the calculation of the Inverse Fourier Transforms.
PhaseTrackerComparison() - Constructor for class org.drip.sample.numerical.PhaseTrackerComparison
 
phaseTrackerType() - Method in class org.drip.param.pricer.HestonOptionPricerParams
Return the Multi Valued Principal Branch Maintaining Phase Tracker Type
phi(int, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
Compute the G2++ Phi
PHPHoliday - Class in org.drip.analytics.holset
 
PHPHoliday() - Constructor for class org.drip.analytics.holset.PHPHoliday
 
piecewiseDensities() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
Retrieve the Array of Piecewise Densities
piecewiseDensitySlopes() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
Retrieve the Array of Piecewise Density Slopes
PiecewiseDisplacedLebesgue - Class in org.drip.sample.measure
PiecewiseDisplacedLebesgue demonstrates the Generation, the Reconciliation, and the Usage of a Piece-wise Displaced Linear Lebesgue Measure.
PiecewiseDisplacedLebesgue() - Constructor for class org.drip.sample.measure.PiecewiseDisplacedLebesgue
 
PiecewiseForward(JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create a discount curve from an array of dates/rates
PiecewiseLinearLebesgue - Class in org.drip.sample.measure
PiecewiseLinearLebesgue demonstrates the Generation, the Reconciliation, and the Usage of a Piece-wise Linear Lebesgue Measure.
PiecewiseLinearLebesgue() - Constructor for class org.drip.sample.measure.PiecewiseLinearLebesgue
 
pillarDynamics() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginDynamics
Generate the Dynamics of the Sparse Pillar a.k.a Pykhtin (2009)
PillarVertex - Class in org.drip.exposure.regression
PillarVertex hold the Date and the Exposure of each Vertex Pillar.
PillarVertex(int, double) - Constructor for class org.drip.exposure.regression.PillarVertex
PillarVertexConstructor
pillarVertexArray(LocalVolatilityGenerationControl) - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
Retrieve the Pykhtin Pillar Vertex Array
PimpriChinchwad - Class in org.drip.sample.bondeos
PimpriChinchwad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for PimpriChinchwad.
PimpriChinchwad() - Constructor for class org.drip.sample.bondeos.PimpriChinchwad
 
Pingdingshan - Class in org.drip.sample.bondeos
Pingdingshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Pingdingshan.
Pingdingshan() - Constructor for class org.drip.sample.bondeos.Pingdingshan
 
pip() - Method in class org.drip.product.calib.FXForwardQuoteSet
Retrieve the Terminal FX Forward PIP
pipFactor() - Method in class org.drip.product.params.CurrencyPair
Get the PIP Factor
Pivot(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
Pivots the matrix A (Refer to wikipedia to find out what "pivot a matrix" means ;))
PIVOT_ANCHOR_TYPE_CUSTOM - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
PIVOT ANCHOR TYPE - CUSTOM
PIVOT_ANCHOR_TYPE_MEAN - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
PIVOT ANCHOR TYPE - MEAN
PIVOT_ANCHOR_TYPE_ZERO - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
PIVOT ANCHOR TYPE - ZERO
pivotAnchorType() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
Retrieve the Pivot Anchor Type
PivotDiagonal(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Pivot the Diagonal of the Input Matrix
PivotedDepartureBounds - Class in org.drip.sequence.metrics
PivotedDepartureBounds holds the Lower/Upper Probability Bounds in regards to the Specified Pivot-Centered Sequence.
PivotedDepartureBounds(int, double, double, double) - Constructor for class org.drip.sequence.metrics.PivotedDepartureBounds
PivotedDepartureBounds Constructor
pivotedDifferenceSequenceMetrics(MultivariateRandom) - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Function Sequence Agnostic Metrics associated with each Variate around the Pivot Point provided by the Pivot Function
pivotVarianceUpperBound(MultivariateRandom) - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Function Variance Upper Bound using the supplied Multivariate Pivoting Function
Pizhou - Class in org.drip.sample.bondeos
Pizhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Pizhou.
Pizhou() - Constructor for class org.drip.sample.bondeos.Pizhou
 
PLN - Class in org.drip.template.irs
PLN contains a Templated Pricing of the OTC Fix-Float PLN IRS Instrument.
PLN() - Constructor for class org.drip.template.irs.PLN
 
PLN3M6MUSD3M6M - Class in org.drip.sample.dual
PLN3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from PLN3M6MUSD3M6M CCBS, PLN 3M, PLN 6M, and USD 6M Quotes.
PLN3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.PLN3M6MUSD3M6M
 
PLNHoliday - Class in org.drip.analytics.holset
 
PLNHoliday() - Constructor for class org.drip.analytics.holset.PLNHoliday
 
PLNIRSAttribution - Class in org.drip.sample.fixfloatpnl
PLNIRSAttribution generates the Historical PnL Attribution for PLN IRS.
PLNIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.PLNIRSAttribution
 
PLNShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
PLNShapePreserving1YStart Generates the Historical PLN Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
PLNShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.PLNShapePreserving1YStart
 
PLNShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
PLNShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the PLN Input Marks.
PLNShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.PLNShapePreservingReconstitutor
 
PLZHoliday - Class in org.drip.analytics.holset
 
PLZHoliday() - Constructor for class org.drip.analytics.holset.PLZHoliday
 
pmsFirst() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the First Position Market Snapshot Instance
pmsSecond() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Second Position Market Snapshot Instance
pnlMetric() - Method in class org.drip.service.api.InstrMetric
Retrieve the PnL Metric
pNorm() - Method in interface org.drip.spaces.metric.GeneralizedMetricVectorSpace
Retrieve the P-Norm Index of the Metric Space
pNorm() - Method in class org.drip.spaces.metric.R1Combinatorial
 
pNorm() - Method in class org.drip.spaces.metric.R1Continuous
 
pNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
pNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
 
PointAncillaryMetricsDynamics - Class in org.drip.sample.lmm
PointAncillaryMetricsDynamics demonstrates the Construction and Usage of the Point LIBOR State Evolver, and the eventual Evolution of the related Ancillary bDiscount/Forward Latent State Quantification Metrics.
PointAncillaryMetricsDynamics() - Constructor for class org.drip.sample.lmm.PointAncillaryMetricsDynamics
 
PointCoreMetricsDynamics - Class in org.drip.sample.lmm
PointCoreMetricsDynamics demonstrates the Construction and Usage of the Point LIBOR State Evolver, and the eventual Evolution of the related Core bDiscount/Forward Latent State Quantification Metrics.
PointCoreMetricsDynamics() - Constructor for class org.drip.sample.lmm.PointCoreMetricsDynamics
 
PointStateEvolver - Interface in org.drip.dynamics.evolution
PointStateEvolver is the Interface on top of which the Point State Evolution Dynamics is constructed.
pointVolatilityModulus(int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Point Volatility Modulus
pointVolatilityModulusDerivative(int, int, int, boolean) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Point Volatility Modulus Derivative
Poisson - Class in org.drip.sequence.random
Poisson implements the Poisson Random Number Generator.
Poisson(double) - Constructor for class org.drip.sequence.random.Poisson
Construct a Poisson Random Number Generator
PoissonDistribution - Class in org.drip.measure.discrete
PoissonDistribution implements the Univariate Poisson Distribution using the specified Mean/Variance.
PoissonDistribution(double) - Constructor for class org.drip.measure.discrete.PoissonDistribution
Construct a PoissonDistribution Instance
PoissonRandomSequenceBound - Class in org.drip.sample.sequence
PoissonRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random Poisson Sequence.
PoissonRandomSequenceBound() - Constructor for class org.drip.sample.sequence.PoissonRandomSequenceBound
 
PoissonSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
PoissonSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the specified Poisson Sequence.
PoissonSequenceAgnosticMetrics(double[], double) - Constructor for class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
PoissonSequenceAgnosticMetrics Constructor
Polynomial - Class in org.drip.function.r1tor1
Polynomial provides the evaluation of the n-th order Polynomial and its derivatives for a specified variate.
Polynomial(int) - Constructor for class org.drip.function.r1tor1.Polynomial
Polynomial constructor
PolynomialBasisSet(PolynomialFunctionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
This function implements the elastic coefficients for the segment using polynomial basis splines inside [0,...,1) - Globally [x_0,...,x_1): y = Sum (A_i*x^i) i = 0,...,n (0 and n inclusive) where x is the normalized ordinate mapped as x .gte.
PolynomialBasisSpline - Class in org.drip.sample.spline
PolynomialBasisSpline implements Samples for the Construction and the usage of polynomial (both regular and Hermite) basis spline functions.
PolynomialBasisSpline() - Constructor for class org.drip.sample.spline.PolynomialBasisSpline
 
PolynomialFunctionSetParams - Class in org.drip.spline.basis
PolynomialFunctionSetParams implements per-segment basis set parameters for the polynomial basis spline - currently it holds the number of basis functions.
PolynomialFunctionSetParams(int) - Constructor for class org.drip.spline.basis.PolynomialFunctionSetParams
PolynomialFunctionSetParams constructor
PolynomialSegmentControlParams(int, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
 
PolynomialSegmentControlParams(int, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
 
polynomialTensionDegree() - Method in class org.drip.spline.basis.KaklisPandelisSetParams
Get the Segment Polynomial Tension Degree
populationCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
Estimate for the Function Class Population Covering Number
populationCoveringNumber(double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Function Class Population Covering Number Array, one for each dimension
populationCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Function Class Population Covering Number Array, one for each dimension
populationCoveringNumber(double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Population Covering Number
populationCoveringNumber(double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Population Covering Number Array
populationDistribution() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Population Distribution
populationESS() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
 
populationESS() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
 
populationESS() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Population ESS (Essential Spectrum)
populationESS() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
 
populationESS() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
 
populationESS() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Population ESS (Essential Spectrum) Array
populationMean() - Method in class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
Retrieve the Mean of the Underlying Distribution
populationMean() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Population Mean
populationMean() - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
Retrieve the Mean of the Underlying Distribution
populationMetricCoveringBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Maurey Covering Number Upper Bounds for Operator Population Metric Norm
populationMetricEntropyNorm(int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Population Metric Carl-Stephani Entropy Number Upper Bound using either the Metric/Supremum Population Norm
populationMetricEntropyNumber(int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Upper Bound for the Entropy Number of the Operator Population Metric Covering Number Convolution Product Product across both the Function Classes
populationMetricNorm() - Method in interface org.drip.spaces.metric.GeneralizedMetricVectorSpace
Retrieve the Population Metric Norm
populationMetricNorm() - Method in class org.drip.spaces.metric.R1Combinatorial
 
populationMetricNorm() - Method in class org.drip.spaces.metric.R1Continuous
 
populationMetricNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
populationMetricNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
 
populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedR1CombinatorialToR1Continuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedR1ContinuousToR1Continuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRdCombinatorialToR1Continuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRdContinuousToR1Continuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Population Metric Norm
populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedR1CombinatorialToRdContinuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedR1ContinuousToRdContinuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRdCombinatorialToRdContinuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRdContinuousToRdContinuous
 
populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Population Metric Norm Array
populationMode() - Method in class org.drip.spaces.metric.R1Combinatorial
 
populationMode() - Method in class org.drip.spaces.metric.R1Continuous
 
populationMode() - Method in interface org.drip.spaces.metric.R1Normed
Retrieve the Population Mode
populationMode() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
populationMode() - Method in class org.drip.spaces.metric.RdContinuousBanach
 
populationMode() - Method in interface org.drip.spaces.metric.RdNormed
Retrieve the Population Mode
populationRdESS() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
Retrieve the Population R^d ESS (Essential Spectrum) Array
populationRdMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Compute the Population R^d Metric Norm
populationRdSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Compute the Population R^d Supremum Norm
populationRdSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
Retrieve the Population R^d Supremum Norm
populationSupremumCoveringBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Maurey Covering Number Upper Bounds for Operator Population Supremum Norm
populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
Estimate for the Function Class Population Supremum Covering Number
populationSupremumCoveringNumber(double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Function Class Population Supremum Covering Number Array, one for each dimension
populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Function Class Population Supremum Covering Number Array, one for each dimension
populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Population Supremum Covering Number
populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Population Supremum Covering Number Array
populationSupremumEntropyNorm(int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Population Supremum Carl-Stephani Entropy Number Upper Bound using either the Metric/Supremum Population Norm
populationSupremumEntropyNumber(int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Upper Bound for the Entropy Number of the Operator Population Supremum Covering Number Convolution Product across both the Function Classes
populationSupremumMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Population Supremum Metric Norm
populationSupremumNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
populationSupremumNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
 
populationSupremumNorm() - Method in interface org.drip.spaces.metric.RdNormed
Compute the Population Supremum Norm of the Sample
populationSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
 
populationSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Population Supremum Norm Array
populationVariance() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Population Variance
Portfolio - Class in org.drip.portfolioconstruction.asset
Portfolio implements an Instance of the Portfolio of Assets.
Portfolio(AssetComponent[]) - Constructor for class org.drip.portfolioconstruction.asset.Portfolio
Portfolio Constructor
PORTFOLIO - Static variable in class org.drip.portfolioconstruction.optimizer.Scope
Applicable Scope Level - PORTFOLIO
PortfolioAndBenchmarkMetrics - Class in org.drip.sample.idzorek
PortfolioAndBenchmarkMetrics demonstrates the Prior-Posterior Portfolio Statistics using the Black-Litterman Model augmented with the Idzorek Model.
PortfolioAndBenchmarkMetrics() - Constructor for class org.drip.sample.idzorek.PortfolioAndBenchmarkMetrics
 
PortfolioBenchmarkMetrics - Class in org.drip.portfolioconstruction.asset
PortfolioBenchmarkMetrics holds the Metrics that result from a Relative Valuation of a Portfolio with respect to a Benchmark.
PortfolioBenchmarkMetrics(double, double, double, double, double, double) - Constructor for class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
PortfolioBenchmarkMetrics Constructor
portfolioBenchmarkMetrics() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
Retrieve the Portfolio Benchmark Metrics
PortfolioCollateralEstimate - Class in org.drip.sample.xva
PortfolioCollateralEstimate illustrates the Estimation of the Collateral Amount on a Single Trade Collateral Portfolio.
PortfolioCollateralEstimate() - Constructor for class org.drip.sample.xva.PortfolioCollateralEstimate
 
PortfolioConstructionParameters - Class in org.drip.portfolioconstruction.allocator
PortfolioConstructionParameters holds the Parameters needed to construct the Portfolio.
PortfolioConstructionParameters(String[], CustomRiskUtilitySettings, PortfolioEqualityConstraintSettings) - Constructor for class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
PortfolioConstructionParameters Constructor
PortfolioConstructionProcessor - Class in org.drip.json.assetallocation
PortfolioConstructionProcessor Sets Up and Executes a JSON Based In/Out Processing Service for Constrained and Unconstrained Portfolio Construction.
PortfolioConstructionProcessor() - Constructor for class org.drip.json.assetallocation.PortfolioConstructionProcessor
 
PortfolioEqualityConstraintSettings - Class in org.drip.portfolioconstruction.allocator
PortfolioEqualityConstraintSettings holds the Parameters required to generate the Mandatory Constraints for the Portfolio.
PortfolioEqualityConstraintSettings(int, double) - Constructor for class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
PortfolioEqualityConstraintSettings Constructor
PortfolioGroupRun - Class in org.drip.sample.netting
PortfolioGroupRun demonstrates the Simulation Run of the Netting Group Exposure.
PortfolioGroupRun() - Constructor for class org.drip.sample.netting.PortfolioGroupRun
 
PortfolioGroupSimulation - Class in org.drip.sample.netting
PortfolioGroupRun demonstrates a Set of Netting Group Exposure Simulations.
PortfolioGroupSimulation() - Constructor for class org.drip.sample.netting.PortfolioGroupSimulation
 
PortfolioMetrics - Class in org.drip.portfolioconstruction.asset
PortfolioMetrics holds the Expected Portfolio Returns and the Standard Deviation.
PortfolioMetrics(double, double, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.asset.PortfolioMetrics
PortfolioMetrics Constructor
portfolioMetrics() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
Retrieve the Portfolio Metrics
PortfolioMPoR - Class in org.drip.exposure.generator
PortfolioMPoR estimates the MPoR Variation Margin and the Trade Payments for the Component MPoR's of a given Portfolio off of the Realized Market Path.
PortfolioMPoR() - Constructor for class org.drip.exposure.generator.PortfolioMPoR
 
PortfolioPathAggregationCorrelated - Class in org.drip.sample.netting
PortfolioPathAggregationCorrelated generates the Aggregation of the Portfolio Paths evolved using Correlated Market Parameters.
PortfolioPathAggregationCorrelated() - Constructor for class org.drip.sample.netting.PortfolioPathAggregationCorrelated
 
PortfolioPathAggregationDeterministic - Class in org.drip.sample.netting
PortfolioPathAggregationDeterministic generates an Aggregation of the Portfolio Paths evolved using Deterministic Market Parameters.
PortfolioPathAggregationDeterministic() - Constructor for class org.drip.sample.netting.PortfolioPathAggregationDeterministic
 
PortfolioPathAggregationUncorrelated - Class in org.drip.sample.netting
PortfolioPathAggregationUncorrelated generates the Aggregation of the Portfolio Paths evolved using Uncorrelated Market Parameters.
PortfolioPathAggregationUncorrelated() - Constructor for class org.drip.sample.netting.PortfolioPathAggregationUncorrelated
 
portfolioValueChange() - Method in class org.drip.xva.basel.OTCAccountingPolicy
Retrieve the Portfolio Value Change
POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_FRTB - Static variable in class org.drip.simm.parameters.MarginEstimationSettings
FRTB Based Position - Principal Component Estimator
POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA - Static variable in class org.drip.simm.parameters.MarginEstimationSettings
ISDA Based Position - Principal Component Estimator
PositionChangeComponents - Class in org.drip.historical.attribution
PositionChangeComponents contains the Decomposition of the Components of the Interval Change for a given Position.
PositionChangeComponents(boolean, PositionMarketSnap, PositionMarketSnap, double, CaseInsensitiveHashMap<Double>) - Constructor for class org.drip.historical.attribution.PositionChangeComponents
PositionChangeComponents Constructor
positionGreekVertex() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Retrieve the Position Greek Vertex
PositionGreekVertex - Class in org.drip.xva.derivative
PositionGreekVertex holds the Derivative XVA Value, its Delta, and its Gamma to the Position Value.
PositionGreekVertex(double, double, double, double) - Constructor for class org.drip.xva.derivative.PositionGreekVertex
PositionGreekVertex Constructor
PositionGroup - Class in org.drip.exposure.holdings
PositionGroup holds the Settings that correspond to a Position/Collateral Group.
PositionGroup(PositionSchemaSpecification, PositionGroupEstimator) - Constructor for class org.drip.exposure.holdings.PositionGroup
PositionGroup Constructor
positionGroup(String) - Method in class org.drip.xva.topology.CollateralGroup
Retrieve the Position Group identified by the specified ID
PositionGroup - Class in org.drip.xva.topology
PositionGroup contains the Named Position Group Instance and Specification.
PositionGroup(String, String, PositionGroupSpecification) - Constructor for class org.drip.xva.topology.PositionGroup
PositionGroup Constructor
positionGroupArray() - Method in class org.drip.exposure.holdings.PositionGroupContainer
Retrieve the Array of Position Groups
positionGroupArray() - Method in class org.drip.exposure.holdings.PositionGroupSegment
Retrieve the Position Group Array
positionGroupArrayVertex() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
Retrieve the Position Group Array Vertex Value
PositionGroupContainer - Class in org.drip.exposure.holdings
PositionGroupContainer contains a Set of Position/Collateral Groups.
PositionGroupContainer(PositionGroup[]) - Constructor for class org.drip.exposure.holdings.PositionGroupContainer
PositionGroupContainer Constructor
positionGroupContainer() - Method in class org.drip.xva.dynamics.PathSimulator
Retrieve the Position Group Container
positionGroupEstimator() - Method in class org.drip.exposure.holdings.PositionGroup
Retrieve the Position Group Estimator
PositionGroupEstimator - Class in org.drip.exposure.holdings
PositionGroupEstimator evaluates the Value of the Position Group given the Realized Market Path.
PositionGroupEstimator() - Constructor for class org.drip.exposure.holdings.PositionGroupEstimator
Empty PositionGroupNumeraire Constructor
positionGroupMap() - Method in class org.drip.xva.topology.CollateralGroup
Retrieve the Position Group Map
PositionGroupSegment - Class in org.drip.exposure.holdings
PositionGroupSegment contains one Segment of a Position/Collateral Group.
PositionGroupSegment() - Constructor for class org.drip.exposure.holdings.PositionGroupSegment
Empty PositionGroupSegment Constructor
positionGroupSet() - Method in class org.drip.exposure.holdings.PositionGroupSegment
Retrieve the Position Group Segment
positionGroupSpecification() - Method in class org.drip.exposure.holdings.PositionGroup
Retrieve the Position Group Specification
positionGroupSpecification() - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Retrieve the Position Group Specification
positionGroupSpecification() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
Retrieve the Position Group Specification
PositionGroupSpecification - Class in org.drip.xva.proto
PositionGroupSpecification contains the Specification of a Named Position Group.
PositionGroupSpecification(String, String, int, int, R1ToR1[], R1ToR1, double, double, int, int, double, int) - Constructor for class org.drip.xva.proto.PositionGroupSpecification
PositionGroupSpecification Constructor
positionGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
Retrieve the Margin Group Specification
positionGroupSpecification() - Method in class org.drip.xva.topology.PositionGroup
Retrieve the Position Group Specification
PositionGroupTrajectory - Class in org.drip.xva.dynamics
PositionGroupTrajectory generates the Customized Position Group Trajectories.
PositionGroupTrajectory(PositionGroupSpecification, MarketPath, double[][]) - Constructor for class org.drip.xva.dynamics.PositionGroupTrajectory
PositionGroupTrajectory Constructor
positionGroupVertexArray() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
Generate the Position Collateral Group Vertex Array
positionHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Retrieve the Number of Position Holdings
PositionManifestMeasureSnap - Class in org.drip.historical.attribution
PositionManifestMeasureSnap contains the Metrics Snapshot associated with a Specified Manifest Measure for a given Position.
PositionManifestMeasureSnap(double, double, double) - Constructor for class org.drip.historical.attribution.PositionManifestMeasureSnap
PositionManifestMeasureSnap Constructor
PositionMarketSnap - Class in org.drip.historical.attribution
PositionMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for a given Position.
PositionMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.PositionMarketSnap
PositionMarketSnap Constructor
positionPrincipalComponentCovarianceFRTB() - Method in class org.drip.simm.margin.BucketAggregate
Compute the FRTB SBA-C Position Principal Component Co-variance
positionPrincipalComponentCovarianceFRTB() - Method in class org.drip.simm.margin.BucketAggregateCR
Compute the FRTB SBA-C Position Principal Component Co-variance
positionPrincipalComponentCovarianceFRTB() - Method in class org.drip.simm.margin.BucketAggregateIR
Compute the FRTB SBA-C Position Principal Component Co-variance
positionPrincipalComponentCovarianceISDA() - Method in class org.drip.simm.margin.BucketAggregate
Compute the ISDA SIMM Position Principal Component Co-variance
positionPrincipalComponentCovarianceISDA() - Method in class org.drip.simm.margin.BucketAggregateCR
Compute the ISDA SIMM Position Principal Component Co-variance
positionPrincipalComponentCovarianceISDA() - Method in class org.drip.simm.margin.BucketAggregateIR
Compute the ISDA SIMM Position Principal Component Co-variance
positionPrincipalComponentScheme() - Method in class org.drip.simm.parameters.MarginEstimationSettings
Retrieve the Position Principal Component Scheme
positionReplicationScheme() - Method in class org.drip.xva.proto.PositionGroupSpecification
Retrieve the Position Replication Scheme
PositionReplicationScheme - Class in org.drip.xva.settings
PositionReplicationScheme holds the various Position Group Replication Schemes and their corresponding Vertex Generation Mechanisms.
PositionReplicationScheme() - Constructor for class org.drip.xva.settings.PositionReplicationScheme
 
PositionSchemaSpecification - Class in org.drip.xva.proto
PositionSchemaSpecification contains the Specifications of a Position Schema.
PositionSchemaSpecification(String, String, PositionGroupSpecification, CollateralGroupSpecification, CreditDebtGroupSpecification, FundingGroupSpecification) - Constructor for class org.drip.xva.proto.PositionSchemaSpecification
PositionSchemaSpecification Constructor
positionValueBump() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Retrieve the Position Value Bump
PositiveLinearlyIndependent(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Indicate if the Array Entries are Positive Linearly Independent
PositiveOrZero(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Indicate if the Array Entries are Positive or Zero
positiveProbability() - Method in class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom
Retrieve the Probability of reaching 1
positiveProbability() - Method in class org.drip.sequence.random.Binary
Retrieve the Positive Instance Probability
posterior() - Method in class org.drip.analytics.daycount.DateEOMAdjustment
Retrieve the Posterior Date Adjustment
posterior() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
Retrieve the Posterior Distribution
posteriorDriftDistribution(double) - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
Generate the Posterior Drift Distribution
postingRequirement(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
Calculate the Gross Margin Amount Required to be Posted
postingRequirement() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
Retrieve the Total Collateral Posting Requirement
postRegression(RegressionRunDetail) - Method in class org.drip.regression.core.UnitRegressionExecutor
Clean-up of the objects set-up for the regression
postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.BasisSplineRegressor
 
postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.HermiteBasisSplineRegressor
 
postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
 
postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
 
PostTaxEquivalentYieldToNominal(double, double) - Static method in class org.drip.analytics.support.Helper
Convert the Post Tax Equivalent Yield to the Nominal Yield
PotentialEventOfDefault(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Potential Event of Default CSA Event Date
PowerImpactContinuous - Class in org.drip.execution.optimum
PowerImpactContinuous contains the Trading Trajectory generated by the Almgren (2003) Power Impact Scheme under the Criterion of No-Drift.
PowerImpactContinuous(double, double, double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.optimum.PowerImpactContinuous
PowerImpactContinuous Constructor
PowerIterationComponentExtractor - Class in org.drip.quant.eigen
PowerIterationComponentExtractor extracts the Linear System Components using the Power Iteration Method.
PowerIterationComponentExtractor(int, double, boolean) - Constructor for class org.drip.quant.eigen.PowerIterationComponentExtractor
PowerIterationComponentExtractor Constructor
PowerLawOptimalTrajectory - Class in org.drip.sample.almgren2003
PowerLawOptimalTrajectory sketches out the Optimal Trajectories for 3 different values of k - representing Concave, Linear, and Convex Power's respectively.
PowerLawOptimalTrajectory() - Constructor for class org.drip.sample.almgren2003.PowerLawOptimalTrajectory
 
PowerLogPhaseTracker(ComplexNumber, ComplexNumber, int, int) - Static method in class org.drip.quant.fourier.PhaseAdjuster
Handling the Branch Switching of the Complex Power Function according Kahl-Jackel algorithm: - http://www.pjaeckel.webspace.virginmedia.com/NotSoComplexLogarithmsInTheHestonModel.pdf
PowerVarianceObjectiveUtility - Class in org.drip.execution.risk
PowerVarianceObjectiveUtility implements the Mean-Power-Variance Objective Utility Function that needs to be optimized to extract the Optimal Execution Trajectory.
PowerVarianceObjectiveUtility(double, double) - Constructor for class org.drip.execution.risk.PowerVarianceObjectiveUtility
PowerVarianceObjectiveUtility Constructor
preceeding() - Method in class org.drip.spaces.graph.ShortestPathVertex
Retrieve the Preceeding Traversal Vertex
PreceedingManifestSensitivityControl - Class in org.drip.spline.params
PreceedingManifestSensitivityControl provides the control parameters that determine the behavior of non-local manifest sensitivity.
PreceedingManifestSensitivityControl(boolean, int, BasisEvaluator) - Constructor for class org.drip.spline.params.PreceedingManifestSensitivityControl
PreceedingManifestSensitivityControl constructor
preceedingManifestSensitivityControl() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
Retrieve the Preceeding Manifest Sensitivity Control Parameters
precisionMatrix() - Method in class org.drip.measure.gaussian.Covariance
Retrieve the Precision Matrix
predictorOrdinate() - Method in class org.drip.spline.params.SegmentBestFitResponse
Retrieve the Array of Predictor Ordinates
predictorOrdinate(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
Retrieve the Indexed Predictor Ordinate Element
predictorOrdinate() - Method in class org.drip.spline.params.StretchBestFitResponse
Retrieve the Array of Predictor Ordinates
predictorOrdinate(int) - Method in class org.drip.spline.params.StretchBestFitResponse
Retrieve the Indexed Predictor Ordinate Element
predictorOrdinates() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
Retrieve the Array of Predictor Ordinates
predictorOrdinates() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
Retrieve the Array of Predictor Ordinates
predictorOrdinates() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the Array of Predictor Ordinates
predictorOrdinates() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
Retrieve the Array of Predictor Ordinates
predictorOrdinates() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
Retrieve the Array of the Calibration Predictor Ordinates
predictorOrdinates() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
Retrieve the Array of Predictor Ordinates
PredictorResponseRelationSetup - Class in org.drip.state.estimator
PredictorResponseRelationSetup holds the Linearized Constraints (and, optionally, their quote sensitivities) necessary needed for the Linear Calibration.
PredictorResponseRelationSetup() - Constructor for class org.drip.state.estimator.PredictorResponseRelationSetup
Empty PredictorResponseRelationSetup constructor
PredictorResponseWeightConstraint - Class in org.drip.state.estimator
PredictorResponseWeightConstraint holds the Linearized Constraints (and, optionally, their quote sensitivities) necessary needed for the Linear Calibration.
PredictorResponseWeightConstraint() - Constructor for class org.drip.state.estimator.PredictorResponseWeightConstraint
Empty PredictorResponseWeightConstraint constructor
predictorSpace() - Method in class org.drip.learning.svm.RdDecisionFunction
Retrieve the Input Predictor Metric Vector Space
PreferredFixedBullet - Class in org.drip.sample.preferred
PreferredFixedBullet demonstrates Non-EOS Fixed Coupon Preferred Bond Pricing and Relative Value Measure Generation Functionality.
PreferredFixedBullet() - Constructor for class org.drip.sample.preferred.PreferredFixedBullet
 
PrefixKeys(CaseInsensitiveTreeMap<Double>, String) - Static method in class org.drip.quant.common.CollectionUtil
Prefix the keys in the input map, and return them in a new map
premiumType() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
Retrieve the Trading Type PREMIUM/MARGIN
PrePad(int) - Static method in class org.drip.quant.common.FormatUtil
Pre-pad a single digit integer with zeros
Prepay(String, JulianDate, String, int, String, int, double, double, double, double, double) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
Construct an Instance of the Constant Payment Bond with a Deterministic Pre-payment Rate
PrepayableConstantPaymentBond - Class in org.drip.sample.assetbacked
PrepayableConstantPaymentBond demonstrates the Construction and Valuation of a Custom Constant Payment Mortgage Bond.
PrepayableConstantPaymentBond() - Constructor for class org.drip.sample.assetbacked.PrepayableConstantPaymentBond
 
PrepayAssetBackedClient - Class in org.drip.sample.service
PrepayAssetBackedClient demonstrates the Invocation and Examination of the JSON-based Pre-payable Constant Payment Asset Backed Loan Service Client.
PrepayAssetBackedClient() - Constructor for class org.drip.sample.service.PrepayAssetBackedClient
 
PrepayAssetBackedProcessor - Class in org.drip.service.json
PrepayAssetBackedProcessor Sets Up and Executes a JSON Based In/Out Product Pre-payable Asset Backed Loan Processor.
PrepayAssetBackedProcessor() - Constructor for class org.drip.service.json.PrepayAssetBackedProcessor
 
preRegression() - Method in class org.drip.regression.core.UnitRegressionExecutor
One-time initialization to set up the objects needed for the regression
preRegression() - Method in class org.drip.regression.spline.BasisSplineRegressor
 
preRegression() - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
 
preRegression() - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
 
Preset(double[], int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
Make a Variate Set using a Pre-set Objective Variate Array with/without Constraint
previousCouponDate(JulianDate) - Method in class org.drip.product.credit.BondComponent
 
previousCouponDate(JulianDate) - Method in class org.drip.product.definition.Bond
Return the coupon date for the period prior to the specified date
previousCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
previousCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Return the coupon rate for the period prior to the specified date
previousEquilibriumPrice() - Method in class org.drip.execution.discrete.PriceIncrement
Retrieve the Previous Equilibrium Price
previousStep() - Method in class org.drip.execution.evolution.MarketImpactComponent
Retrieve the Previous Step Contribution
previousWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
Retrieve the Previous Instance of the Walk Wanderer
price() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Price
price() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Price
price() - Method in class org.drip.execution.parameters.AssetTransactionSettings
Retrieve the Asset Price
price() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTerm
Retrieve the Array of the Asset Prices
price() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTerm
Retrieve the Array of the Prices
price() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerWeightedAverage
Retrieve the Array of Asset Prices
price() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
Retrieve the Array of Asset Prices
price() - Method in class org.drip.pricer.option.Greeks
The Option Price
price() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
Retrieve the Price
price(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
Compute the Caplet/Floorlet Price from the Inputs
price() - Method in class org.drip.service.api.CDXCOB
The COB Price
price() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Retrieve the Price
priceEvolutionParameters() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme
Retrieve the Asset Arithmetic Price Evolution Parameters
priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from ASW to Work-out
priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from ASW to Maturity
priceFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from ASW to Optimal Exercise
priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Bond Basis to Work-out
priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Bond Basis to Maturity
priceFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Bond Basis to Optimal Exercise
priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Credit Basis to Work-out
priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Credit Basis to Maturity
priceFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Credit Basis to Optimal Exercise
priceFromCreditCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.credit.BondComponent
 
priceFromCreditCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.definition.Bond
Calculate the bond's credit risky theoretical price from the bumped credit curve
priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Discount Margin to Work-out
priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Discount Margin to Maturity
priceFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Discount Margin to Optimal Exercise
priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from E Spread to Work-out
priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from E Spread to Maturity
priceFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from E Spread to Optimal Exercise
priceFromFlatVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
Compute the Cap/Floor Price from the Flat Volatility
priceFromFundingCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromFundingCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from G Spread to Work-out
priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from G Spread to Maturity
priceFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from G Spread to Optimal Exercise
priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from I Spread to Work-out
priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from I Spread to Maturity
priceFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from I Spread to Optimal Exercise
priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from J Spread to Work-out
priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from J Spread to Maturity
priceFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from J Spread to Optimal Exercise
priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from N Spread to Work-out
priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from N Spread to Maturity
priceFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from N Spread to Optimal Exercise
priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from OAS to Work-out
priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from OAS to Maturity
priceFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from OAS to Optimal Exercise
priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from PECS to Work-out
priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from PECS to Maturity
priceFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from PECS to Optimal Exercise
priceFromTreasuryCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromTreasuryCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from TSY Spread to Work-out
priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from TSY Spread to Maturity
priceFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from TSY Spread to Optimal Exercise
priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Yield to Work-out
priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Yield to Maturity
priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Yield Spread to Work-out
priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Yield Spread to Maturity
priceFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Yield Spread to Optimal Exercise
priceFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Yield to Optimal Exercise
priceFromZeroCurve(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromZeroCurve(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate the bond's non-credit risky theoretical price from the Bumped Zero Curve
priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Z Spread to Work-out
priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Z Spread to Maturity
priceFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
priceFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Price from Z Spread to Optimal Exercise
priceIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Price Increment
PriceIncrement - Class in org.drip.execution.discrete
PriceIncrement contains the Realized Stochastic Evolution Increments of the Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
PriceIncrement(double, MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.discrete.PriceIncrement
PriceIncrement Constructor
priceIncrementRealization(double, WalkSuite, ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
Generate the Price Evolution Increment Unit Realization given the Walk Realization
PriceMarketImpact - Class in org.drip.execution.parameters
PriceMarketImpact contains the Price Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
PriceMarketImpact(AssetTransactionSettings, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpact
 
PriceMarketImpactLinear - Class in org.drip.execution.parameters
PriceMarketImpactLinear contains the Linear Price Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
PriceMarketImpactLinear(AssetTransactionSettings, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpactLinear
PriceMarketImpactLinear Constructor
PriceMarketImpactPower - Class in org.drip.execution.parameters
PriceMarketImpactPower contains the Power Law based Price Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
PriceMarketImpactPower(AssetTransactionSettings, double, double, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpactPower
PriceMarketImpactPower Constructor
priceOffOfOriginalNotional() - Method in class org.drip.product.params.NotionalSetting
Retrieve "Price Off Of Original Notional" Flag
pricer() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
Retrieve the Underlying Pricer Instance
pricerParameter() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
pricerParameter() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Pricer Parameters
pricerParameter() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
Retrieve the Pricer Parameters
PricerParams - Interface in org.drip.param.pricer
GenericPricerParams exposes the Parameters needed for the Pricing Run.
priceVolatility() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
Retrieve the Distribution Price Volatility
priceVolatilitySwing() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
Generate s Single Price Volatility Swings
priceVolatilitySwings(int) - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
Generate the given Number of Price Volatility Swings
primalFeasibility() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Primal Feasibility Necessary Condition
primalFeasibilityCheck(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Check the Candidate Point for Primal Feasibility
primary() - Method in class org.drip.product.params.TreasuryBenchmarks
Return the Primary Treasury Benchmark
primaryCode() - Method in class org.drip.product.credit.BondComponent
 
primaryCode() - Method in class org.drip.product.credit.CDSComponent
 
primaryCode() - Method in class org.drip.product.definition.CalibratableComponent
Return the primary code
primaryCode() - Method in class org.drip.product.fx.FXForwardComponent
 
primaryCode() - Method in class org.drip.product.option.OptionComponent
 
primaryCode() - Method in class org.drip.product.rates.FixFloatComponent
 
primaryCode() - Method in class org.drip.product.rates.FloatFloatComponent
 
primaryCode() - Method in class org.drip.product.rates.RatesBasket
 
primaryCode() - Method in class org.drip.product.rates.SingleStreamComponent
 
primarySecurity(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
Retrieve the Primary Security Evolver given the Label
PrimarySecurity - Class in org.drip.exposure.evolver
PrimarySecurity holds Definitions and Parameters that specify a Primary Security in XVA Terms.
PrimarySecurity(String, LatentStateLabel, DiffusionEvolver, double) - Constructor for class org.drip.exposure.evolver.PrimarySecurity
PrimarySecurity Constructor
PrimarySecurityDynamicsContainer - Class in org.drip.exposure.evolver
PrimarySecurityDynamicsContainer holds the Economy with the following Traded Assets - the Overnight Index Numeraire, the Collateral Scheme Numeraire, the Default-able Dealer Bond Numeraire, the Array of Default-able Client Numeraires, and an Asset that follows Brownian Motion.
PrimarySecurityDynamicsContainer(List<PrimarySecurity>, PrimarySecurity, PrimarySecurity, PrimarySecurity, PrimarySecurity, PrimarySecurity) - Constructor for class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
PrimarySecurityDynamicsContainer Constructor
primarySecurityDynamicsContainer() - Method in class org.drip.exposure.universe.MarketVertexGenerator
Retrieve the Primary Security Dynamics Container
primarySecurityExists(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
Indicate if the Primary Security Evolver exists in the Container
primarySecurityMap() - Method in class org.drip.exposure.evolver.DynamicsContainer
Retrieve the Primary Security Evolver Dynamics Settings Map
primeSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
Retrieve the PRIME Sensitivity Margin Map
primeTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the PRIME Tenor Delta Risk Weight
primeTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
Generate the PRIME Tenor Sensitivity Margin Map
primeTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
 
primeTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
Retrieve the PRIME Tenor Risk Weight
primeTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
 
primeTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
Retrieve the PRIME Risk Factor Tenor Sensitivity
primeTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the PRIME Tenor Vega Risk Weight
primitive(Object) - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the JSON primitive values: java.lang.String, java.lang.Number, java.lang.Boolean null
principalComponent(double[][]) - Method in interface org.drip.quant.eigen.ComponentExtractor
Compute the Principal Component of the Specified Matrix
principalComponent(double[][]) - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
 
principalComponent(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
 
PrincipalComponent - Class in org.drip.sample.matrix
PrincipalComponent demonstrates how to generate the Principal eigenvalue and eigenvector for the Input Matrix.
PrincipalComponent() - Constructor for class org.drip.sample.matrix.PrincipalComponent
 
PrincipalComponentDynamics - Class in org.drip.sample.hjm
PrincipalComponentDynamics demonstrates the Construction and Usage of the PCA-Based Multi-Factor Gaussian Model Dynamics for the Evolution of the Instantaneous Forward Rate, the Price, and the Short Rate.
PrincipalComponentDynamics() - Constructor for class org.drip.sample.hjm.PrincipalComponentDynamics
 
PrincipalComponentQMDynamics - Class in org.drip.sample.hjm
PrincipalComponentQMDynamics demonstrates the Construction and Usage of the Principal Component-Based Gaussian Model Dynamics for the Evolution of the Discount Factor Quantification Metrics - the Instantaneous Forward Rate, the LIBOR Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the Compounded Short Rate, and the Price.
PrincipalComponentQMDynamics() - Constructor for class org.drip.sample.hjm.PrincipalComponentQMDynamics
 
principalCurrency() - Method in class org.drip.product.credit.BondComponent
 
principalCurrency() - Method in class org.drip.product.credit.CDSComponent
 
principalCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
Get the Principal Currency
principalCurrency() - Method in class org.drip.product.definition.BasketProduct
 
principalCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Principal Currency
principalCurrency() - Method in class org.drip.product.fx.FXForwardComponent
 
principalCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
 
principalCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
 
principalCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
 
principalCurrency() - Method in class org.drip.product.option.OptionComponent
 
principalCurrency() - Method in class org.drip.product.rates.FixFloatComponent
 
principalCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
 
principalCurrency() - Method in class org.drip.product.rates.RatesBasket
 
principalCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
 
principalDiscountHurdle(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
Compute the Principal Discount Hurdle given the Information Ratio
principalEigenComponent() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
Retrieve the Intra-Group Principal Eigen-Component
PrincipalFactorSequenceGenerator - Class in org.drip.sequence.random
PrincipalFactorSequenceGenerator implements the Principal Factors Based Multivariate Random Sequence Generator Functionality.
PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[], double[][], int) - Constructor for class org.drip.sequence.random.PrincipalFactorSequenceGenerator
PrincipalFactorSequenceGenerator Constructor
principalMeasure(double) - Method in class org.drip.execution.principal.GrossProfitEstimator
Generate R^1 Univariate Normal Gross Profit Distribution from the specified Principal Discount
Print1DArray(String, double[], boolean) - Static method in class org.drip.quant.common.NumberUtil
Print the contents of the 1D array
Print1DArray(String, double[], int, boolean) - Static method in class org.drip.quant.common.NumberUtil
Print the contents of the 1D array to the Specified Decimal Location
Print2DArray(String, double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
Print the contents of the 2D array
Print2DArrayPair(String, String, double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
Print the Contents of the 2D Array Pair
Print2DArrayTriplet(String, String, String, double[][], double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
Print the Contents of the 2D Array Triplet
PrintMatrix(String, double[][]) - Static method in class org.drip.quant.common.NumberUtil
 
prior() - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
Retrieve the Prior Drift Distribution Instance
prior() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
Retrieve the Prior Distribution
PriorConditionalCombiner - Class in org.drip.execution.bayesian
PriorConditionalCombiner holds the Distributions associated with the Prior Drift and the Conditional Price Distributions.
PriorConditionalCombiner(PriorDriftDistribution, ConditionalPriceDistribution) - Constructor for class org.drip.execution.bayesian.PriorConditionalCombiner
PriorConditionalCombiner Constructor
PriorControlSpecification - Class in org.drip.portfolioconstruction.bayesian
PriorControlSpecification contains the Black Litterman Prior Specification Settings.
PriorControlSpecification(boolean, double, double) - Constructor for class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
PriorControlSpecification Constructor
PriorDriftDistribution - Class in org.drip.execution.bayesian
PriorDriftDistribution holds the Prior Belief Distribution associated with the Directional Drift.
PriorDriftDistribution(double, double) - Constructor for class org.drip.execution.bayesian.PriorDriftDistribution
Construct an Instance of Prior Drift Distribution
PriorPosteriorMetricsComparison - Class in org.drip.sample.idzorek
PriorPosteriorMetricsComparison reconciles the Prior-Posterior Black-Litterman Model Process Metrics generated using the Idzorek Model.
PriorPosteriorMetricsComparison() - Constructor for class org.drip.sample.idzorek.PriorPosteriorMetricsComparison
 
priorViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
Retrieve the Prior/View Joint Contribution Component
prob1() - Method in class org.drip.pricer.option.Greeks
The Prob 1 Term
prob2() - Method in class org.drip.pricer.option.Greeks
The Prob 2 Term
probabilityDown() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Probability of the Down Stochastic Shift
probabilityStay() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Probability of the No Shift
probabilityUp() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Probability of the Up Stochastic Shift
probEqualToZeroUpperBound() - Method in class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
Retrieve the Upper Bound on Probability of X = 0
probGreaterThanZeroUpperBound() - Method in class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
Retrieve the Upper Bound on Probability of X gt 0
procBasisDerivOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the Processed Basis Derivative Order
process(R1Multivariate, R1Multivariate, R1Multivariate) - Method in interface org.drip.measure.bayesian.JointR1CombinationEngine
Generate the Joint R^1 Multivariate Combined Distribution
process(R1Multivariate, R1Multivariate, R1Multivariate) - Method in class org.drip.measure.bayesian.JointR1NormalCombinationEngine
 
processCouponWindow(double, double) - Method in class org.drip.product.params.CouponSetting
Trim the component coupon if it falls outside the (optionally) specified coupon window.
PROCESSED_CUBIC_RATIONAL - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
Processed Cubic Rational B Spline Basis Hat Phy and Psy
PROCESSED_TENSION_HYPERBOLIC - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
Processed Tension Hyperbolic B Spline Basis Hat Phy and Psy
ProcessedCubicRationalHatPair(String, double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts
ProcessedHyperbolicTensionHatPair(double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
Generate the array of the Hyperbolic Phy and Psy Hat Function Pair From their Raw Counterparts
ProcessInputForNULL(String, boolean) - Static method in class org.drip.quant.common.StringUtil
Check the Input String to Check for NULL - and return it
Product(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Product of an Input Matrix and a Column
Product(double[], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Product of an input column and a matrix
Product(double[][], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Product of the input matrices
productAddOn(Map<String, Double>) - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Compute the Product Add On Estimate
productAddOnFactorMap() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Retrieve the Product Add-On Factor Map
ProductClassMargin - Class in org.drip.simm.estimator
ProductClassMargin holds the Initial Margin Estimates for a Single Product Class across the Six Risk Factors - Interest Rate, Credit Qualifying, Credit Non-Qualifying, Equity, Commodity, and FX.
ProductClassMargin(RiskClassAggregateIR, RiskClassAggregateCR, RiskClassAggregateCR, RiskClassAggregate, RiskClassAggregate, RiskClassAggregate) - Constructor for class org.drip.simm.estimator.ProductClassMargin
ProductClassMargin Constructor
ProductClassMultiplicativeScale - Class in org.drip.simm.common
ProductClassMultiplicativeScale holds the Multiplicative Scales Minimum/Default Values for the Four Product Classes - RatesFX, Credit, Equity, and Commodity.
ProductClassMultiplicativeScale() - Constructor for class org.drip.simm.common.ProductClassMultiplicativeScale
 
ProductClassSensitivity - Class in org.drip.simm.estimator
ProductClassSensitivity holds the multiple Risk Class Sensitivities for a single Product Class.
ProductClassSensitivity(RiskClassSensitivity, RiskClassSensitivity, RiskClassSensitivity, RiskClassSensitivityIR, RiskClassSensitivityCR, RiskClassSensitivityCR) - Constructor for class org.drip.simm.estimator.ProductClassSensitivity
ProductClassSensitivity Constructor
ProductClassSettings - Class in org.drip.simm.estimator
ProductClassSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Product Classes.
ProductClassSettings(RiskClassSensitivitySettings, RiskClassSensitivitySettings, RiskClassSensitivitySettings, RiskClassSensitivitySettingsIR, RiskClassSensitivitySettingsCR, RiskClassSensitivitySettingsCR, LabelCorrelation) - Constructor for class org.drip.simm.estimator.ProductClassSettings
ProductClassSettings Constructor
ProductDailyPnL - Class in org.drip.service.api
ProductDailyPnL contains the following daily measures computed: - 1D Carry, Roll Down, Curve Shift, and Full Return PnL - 3D Carry and Roll Down PnL - 3M Carry and Roll Down PnL - Current DV01
ProductDailyPnL(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, int, int, double, double, double, double, double, double) - Constructor for class org.drip.service.api.ProductDailyPnL
ProductDailyPnL constructor
productFeatureOperatorNorm() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's Norm for the Upper Bound of the Entropy Number and the Scaling Operator Norm
productID() - Method in class org.drip.param.quote.ProductTick
Retrieve the Product ID
ProductInfo(String, String) - Static method in class org.drip.market.exchange.DeliverableSwapFuturesContainer
Retrieve the Deliverable Swap Futures Info from the Currency and the Tenor
ProductMargin20 - Class in org.drip.sample.simm
ProductMargin20 illustrates the Computation of the ISDA SIMM 2.0 Product Margin for across a Group of Risk Factor Exposure Sensitivities.
ProductMargin20() - Constructor for class org.drip.sample.simm.ProductMargin20
 
ProductMargin21 - Class in org.drip.sample.simm
ProductMargin21 illustrates the Computation of the ISDA SIMM 2.1 Product Margin for across a Group of Risk Factor Exposure Sensitivities.
ProductMargin21() - Constructor for class org.drip.sample.simm.ProductMargin21
 
ProductMultiMeasure - Class in org.drip.param.quote
ProductMultiMeasureQuote holds the different types of quotes for a given component.
ProductMultiMeasure() - Constructor for class org.drip.param.quote.ProductMultiMeasure
Construct an empty instance of ProductMultiMeasure
ProductQuote - Class in org.drip.param.definition
ProductQuote abstract class holds the different types of quotes for a given product.
ProductQuote() - Constructor for class org.drip.param.definition.ProductQuote
 
productQuote(String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Product Quote
productQuote() - Method in class org.drip.param.quote.ProductTick
Retrieve the Product Quote
ProductQuoteSet - Class in org.drip.product.calib
ProductQuoteSet implements the Calibratable type-free Product Quote Shell.
ProductQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.ProductQuoteSet
Product Quote Set Constructor
ProductTick - Class in org.drip.param.quote
ProductTick holds the tick related product parameters - it contains the product ID, the quote composite, the source, the counter party, and whether the quote can be treated as a mark.
ProductTick() - Constructor for class org.drip.param.quote.ProductTick
Empty ProductTick constructor
ProductTick(String, ProductQuote, String, String, boolean) - Constructor for class org.drip.param.quote.ProductTick
ProductTick constructor
Project(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Project the Vector A along the Vector E
ProjectionCovariance(double[][], double[][], double) - Static method in class org.drip.measure.bayesian.ProjectionDistributionLoading
Generate the Projection Co-variance Matrix from the Confidence Level
ProjectionCovariance(double[][], double) - Static method in class org.drip.portfolioconstruction.bayesian.MeucciViewUncertaintyParameterization
Generate the Projection Co-variance from the Scoping Co-variance and the Meucci Alpha Parameter
ProjectionDistributionLoading - Class in org.drip.measure.bayesian
ProjectionDistributionLoading contains the Projection Distribution and its Loadings to the Scoping Distribution.
ProjectionDistributionLoading(R1Multivariate, double[][]) - Constructor for class org.drip.measure.bayesian.ProjectionDistributionLoading
ProjectionDistributionLoading Constructor
projectionDistributionLoading(String) - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
Retrieve the Named Projection Distribution Loading
ProjectionExposure - Class in org.drip.portfolioconstruction.bayesian
ProjectionExposure holds the Projection Exposure Loadings that Weight the Exposure to the Projection Pick Portfolio.
ProjectionExposure(double[], double[], double[], double[][]) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionExposure
ProjectionExposure Constructor
projectionExposureAttribution() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Compute the Exposure Loadings Attribution on a per-Projection Basis
ProjectionImpliedConfidenceLevel - Class in org.drip.sample.idzorek
ProjectionImpliedConfidenceLevel reconciles the Implied Confidence Black-Litterman Model Process Levels generated using the Idzorek Model.
ProjectionImpliedConfidenceLevel() - Constructor for class org.drip.sample.idzorek.ProjectionImpliedConfidenceLevel
 
ProjectionImpliedConfidenceOutput - Class in org.drip.portfolioconstruction.bayesian
ProjectionImpliedConfidenceOutput holds the Results of the Idzorek 2005 Black Litterman Intuitive Projection Confidence Level Estimation Run.
ProjectionImpliedConfidenceOutput(double[], BlackLittermanCustomConfidenceOutput, BlackLittermanOutput) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
ProjectionImpliedConfidenceOutput Constructor
ProjectionImpliedConfidenceTilt - Class in org.drip.sample.idzorek
ProjectionImpliedConfidenceTilt computes the Tilt induced on an Asset by a User-specified Confidence.
ProjectionImpliedConfidenceTilt() - Constructor for class org.drip.sample.idzorek.ProjectionImpliedConfidenceTilt
 
ProjectionInducedScopingDeviation(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Projection Induced Scoping Mean Deviation
ProjectionInducedScopingDistribution(ScopingProjectionVariateDistribution, String, R1MultivariateNormal) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Projection Induced Scoping Deviation Adjusted Mean
ProjectionInducedScopingMean(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Projection Induced Scoping Deviation Adjusted Mean
ProjectionPrecisionMeanProduct(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Projection Precision Mean Dot Product Array
ProjectionSpaceAssetCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Projection Space Asset Co-variance
ProjectionSpaceScopingCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Generate the Projection Space Scoping Co-variance
ProjectionSpaceScopingDifferential(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Generate the Projection Space Projection-Scoping Mean Differential
ProjectionSpaceScopingMean(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Generate the Projection Space Scoping Mean
ProjectionSpecification - Class in org.drip.portfolioconstruction.bayesian
ProjectionSpecification contains the Black Litterman Projection Specification Settings.
ProjectionSpecification(R1MultivariateNormal, double[][]) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
ProjectionSpecification Constructor
proportionalPriceIncrement(int, int, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Compute the Proportional Price Increment given the View Date, the Target Date, the Short Rate, and the View Time Increment
proxyManifestMeasure(String, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Proxy the Manifest Measure Value using the Closest Node for the given Date
PTEHoliday - Class in org.drip.analytics.holset
 
PTEHoliday() - Constructor for class org.drip.analytics.holset.PTEHoliday
 
publicationLag() - Method in class org.drip.market.definition.OvernightIndex
Retrieve the Index Publication Lag
Puducherry - Class in org.drip.sample.bondmetrics
Puducherry generates the Full Suite of Replication Metrics for Bond Puducherry.
Puducherry() - Constructor for class org.drip.sample.bondmetrics.Puducherry
 
Pune - Class in org.drip.sample.bondmetrics
Pune generates the Full Suite of Replication Metrics for Bond Pune.
Pune() - Constructor for class org.drip.sample.bondmetrics.Pune
 
put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
 
put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
 
Put(String, String, long) - Static method in class org.drip.service.env.CacheManager
The Put Method adds a Key/Value Pair to the In-Memory KV Store
putable() - Method in class org.drip.product.credit.BondComponent
 
putable() - Method in class org.drip.product.definition.Bond
Indicate if the bond is putable
PutGreeks - Class in org.drip.pricer.option
PutGreeks contains the Sensitivities generated during the Put Option Pricing Run.
PutGreeks(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.pricer.option.PutGreeks
The PutGreeks Constructor
Putian - Class in org.drip.sample.bondeos
Putian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Putian.
Putian() - Constructor for class org.drip.sample.bondeos.Putian
 
putMetrics(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, GovvieBuilderSettings, DiffusionEvolver, int) - Method in class org.drip.product.credit.BondComponent
Generate the EOS Putable Option Adjusted Metrics
putPriceFromParity() - Method in class org.drip.pricer.option.PutGreeks
The Put Option Price Computed from the Put-Call Parity Relation
putSchedule() - Method in class org.drip.product.credit.BondComponent
 
putSchedule() - Method in class org.drip.product.definition.Bond
Return the bond's embedded put schedule
Puyang - Class in org.drip.sample.bondeos
Puyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Puyang.
Puyang() - Constructor for class org.drip.sample.bondeos.Puyang
 
pv() - Method in class org.drip.analytics.output.BondCouponMeasures
Retrieve the PV
pv() - Method in class org.drip.product.calib.DepositComponentQuoteSet
Retrieve the PV
pv() - Method in class org.drip.product.calib.FixedStreamQuoteSet
Retrieve the PV
pv() - Method in class org.drip.product.calib.FixFloatQuoteSet
Retrieve the PV
pv() - Method in class org.drip.product.calib.FloatFloatQuoteSet
Retrieve the PV
pv() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Retrieve the PV
pv() - Method in class org.drip.product.calib.StreamQuoteSet
Retrieve the PV
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.Component
Compute the PV for the specified Market Parameters
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloor
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.govvie.TreasuryFutures
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.CDSEuropeanOption
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.FixFloatEuropeanOption
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
 
pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream
Compute the PV for the specified Market Parameters
PYKHTIN_2009_EMPIRICAL_CEILING_FACTOR - Static variable in class org.drip.exposure.regression.LocalVolatilityGenerationControl
The Pyhktin (2009) Empirical Ceiling Factor
PYKHTIN_2009_EMPIRICAL_FLOOR - Static variable in class org.drip.exposure.regression.LocalVolatilityGenerationControl
The Pyhktin (2009) Empirical Floor
PykhtinBrownianBridgeSegment - Class in org.drip.exposure.regression
PykhtinBrownianBridgeSegment generates the Segment Regression Based Exposures off of the corresponding Pillar Vertexes using the Pykhtin (2009) Scheme.
PykhtinBrownianBridgeSegment(PillarVertex, PillarVertex, R1ToR1) - Constructor for class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
PykhtinBrownianBridgeSegment Constructor
PykhtinBrownianBridgeStretch - Class in org.drip.exposure.regression
PykhtinBrownianBridgeStretch generates the Regression Based Path Exposures off of the Pillar Vertexes using the Pykhtin (2009) Scheme.
PykhtinBrownianBridgeStretch(Map<Integer, Double>, Map<Integer, R1ToR1>) - Constructor for class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
PykhtinBrownianBridgeStretch Constructor
PykhtinPillar - Class in org.drip.exposure.regression
PykhtinPillar holds the Details of the Pillar Vertex Realization Point - the Realization Value, the Order Index, the CDF, the Transform Variate, and the Local Volatility - in accordance with the Pykhtin (2009) Scheme.
PykhtinPillar(double, int, double, double, double) - Constructor for class org.drip.exposure.regression.PykhtinPillar
PykhtinPillar Constructor
PykhtinPillarDynamics - Class in org.drip.exposure.regression
PykhtinPillarDynamics generates the Dynamics off of the Pillar Vertex Exposure Realizations to be used in eventual Exposure Regression using the Pykhtin (2009) Scheme.
PykhtinPillarDynamics(List<Double>) - Constructor for class org.drip.exposure.regression.PykhtinPillarDynamics
 

Q

q() - Method in class org.drip.quant.linearalgebra.QR
Retrieve Q
QEFHoliday - Class in org.drip.analytics.holset
 
QEFHoliday() - Constructor for class org.drip.analytics.holset.QEFHoliday
 
Qidong - Class in org.drip.sample.bondeos
Qidong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Qidong.
Qidong() - Constructor for class org.drip.sample.bondeos.Qidong
 
Qingdao - Class in org.drip.sample.bondeos
Qingdao demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Qingdao.
Qingdao() - Constructor for class org.drip.sample.bondeos.Qingdao
 
Qinghuangdao - Class in org.drip.sample.bondeos
Qinghuangdao demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Qinghuangdao.
Qinghuangdao() - Constructor for class org.drip.sample.bondeos.Qinghuangdao
 
Qiqihar - Class in org.drip.sample.bondeos
Qiqihar demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Qiqihar.
Qiqihar() - Constructor for class org.drip.sample.bondeos.Qiqihar
 
qm(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
Retrieve the specified Latent State Quantification Metric Curve
qm(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
Retrieve the specified Quantification Metric Value
qncq() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the QNCQ Constraint Qualifier
QR - Class in org.drip.quant.linearalgebra
QR hlds the Results of QR Decomposition - viz., the Q and the R Matrices.
QR(double[][], double[][]) - Constructor for class org.drip.quant.linearalgebra.QR
QR Constructor
QRDecomposition(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Perform a QR Decomposition on the Input Matrix
QRDecomposition - Class in org.drip.sample.matrix
QRDecomposition demonstrates the technique to perform a QR Decomposition of the Input Square Matrix into an Orthogonal and an Upper Triangular Counterparts.
QRDecomposition() - Constructor for class org.drip.sample.matrix.QRDecomposition
 
QREigenComponentExtractor - Class in org.drip.quant.eigen
QREigenComponentExtractor extracts the Eigenvalues and Eigenvectors using QR Decomposition.
QREigenComponentExtractor(int, double) - Constructor for class org.drip.quant.eigen.QREigenComponentExtractor
QREigenComponentExtractor Constructor
QUADRATIC_INTERPOLATION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Quadratic Interpolation
QuadraticInterpolation(double, double, double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Iterate for the next variate using quadratic interpolation
QuadraticMeanVarianceOptimizer - Class in org.drip.portfolioconstruction.allocator
QuadraticMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical Properties using a Quadratic Optimization Function and Equality Constraints (if any).
QuadraticMeanVarianceOptimizer() - Constructor for class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
Empty QuadraticMeanVarianceOptimizer Constructor
QuadraticRationalShapeControl - Class in org.drip.function.r1tor1
QuadraticRationalShapeControl implements the deterministic rational shape control functionality on top of the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1): y = 1 / [1 + lambda * x * (1-x)] where is the normalized ordinate mapped as x ==== (x - x_i-1) / (x_i - x_i-1)
QuadraticRationalShapeControl(double) - Constructor for class org.drip.function.r1tor1.QuadraticRationalShapeControl
QuadraticRationalShapeControl constructor
quadraticResampler() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Retrieve the Quadratic Resampler Instance
QuadraticResampler - Class in org.drip.measure.discrete
QuadraticResampler Quadratically Re-samples the Input Points to Convert it to a Standard Normal.
QuadraticResampler(boolean, boolean) - Constructor for class org.drip.measure.discrete.QuadraticResampler
QuadraticResampler Constructor
QualifyingBucketSet() - Static method in class org.drip.simm.credit.CRThresholdContainer20
Retrieve the Credit Risk Qualifying Threshold Bucket Set
QualifyingBucketSet() - Static method in class org.drip.simm.credit.CRThresholdContainer21
Retrieve the Credit Risk Qualifying Threshold Bucket Set
QualifyingThreshold(int) - Static method in class org.drip.simm.credit.CRThresholdContainer20
Retrieve the Credit Risk Qualifying Threshold Instance identified by the Bucket Number
QualifyingThreshold(int) - Static method in class org.drip.simm.credit.CRThresholdContainer21
Retrieve the Credit Risk Qualifying Threshold Instance identified by the Bucket Number
quality() - Method in class org.drip.simm.credit.CRBucket
Retrieve the SIMM 2.0 Credit Quality
QUANTIFICATION_METRIC_FORWARD_RATE - Static variable in class org.drip.state.basis.BasisCurve
Basis Latent State Quantification Metric - Discount Factor
QUANTIFICATION_METRIC_REPO_RATE - Static variable in class org.drip.state.repo.RepoCurve
Basis Latent State Quantification Metric - Discount Factor
quantity(String) - Method in class org.drip.portfolioconstruction.composite.Holdings
Retrieves the Holdings Quantity for the Asset (if it exists)
QUANTITY - Static variable in class org.drip.portfolioconstruction.optimizer.Unit
Constraint Unit - QUANTITY
quantityMap() - Method in class org.drip.portfolioconstruction.composite.Holdings
Retrieve the Map of Holdings Amount
Quanzhou - Class in org.drip.sample.bondeos
Quanzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Quanzhou.
Quanzhou() - Constructor for class org.drip.sample.bondeos.Quanzhou
 
QuarticPolynomialBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[]) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
Create an Instance of the Quartic Polynomial Splined Basis Curve
QuarticPolynomialCurve(String, JulianDate, CurrencyPair, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Create an Instance of the Quartic Polynomial Splined FX Forward Curve
QuarticPolynomialCurve(String, JulianDate, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Create an Instance of the Quartic Polynomial Splined Govvie Yield Curve
QuarticPolynomialDiscountCurve(String, JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Create an Instance of the Quartic Polynomial Splined DF Discount Curve
QuarticPolynomialRepoCurve(String, JulianDate, Component, int[], double[]) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
Create an Instance of the Quartic Polynomial Splined Repo Curve
QuarticPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
Construct the Deterministic Volatility Term Structure Instance based off of a Quartic Polynomial `Spline
QuarticPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
Construct a Term Structure Instance based off of a Quartic Polynomial Spline
QuarticPolynomialWireSurface(String, JulianDate, String, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
Construct a Scenario Market Surface off of Quartic Polynomial Wire Spline and Quartic Polynomial Surface Spline.
quickSort(int, int) - Method in class org.drip.spaces.big.BigR1Array
Sort the Specified Range in the Array using Quick Sort
quickSort() - Method in class org.drip.spaces.big.BigR1Array
Sort the Full Array using Quick Sort
Qujing - Class in org.drip.sample.bondeos
Qujing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Qujing.
Qujing() - Constructor for class org.drip.sample.bondeos.Qujing
 
quote() - Method in class org.drip.feed.loader.TenorQuote
Retrieve the Closing Quote
quote(String) - Method in class org.drip.param.definition.ProductQuote
Get the Quote for the given Field
Quote - Class in org.drip.param.definition
Quote interface contains the stubs corresponding to a product quote.
Quote() - Constructor for class org.drip.param.definition.Quote
 
quote(String) - Method in class org.drip.param.quote.ProductMultiMeasure
 
QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE - Static variable in class org.drip.market.exchange.TreasuryFuturesSettle
Settle Quote Type - Uses a Reference Index Based off of Conversion Factor Computed AUD Bond Futures Style
QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR - Static variable in class org.drip.market.exchange.TreasuryFuturesSettle
Settle Quote Type - Uses a Reference Index Based off of Conversion Factor
QUOTE_REFERENCE_INDEX_FLAT - Static variable in class org.drip.market.exchange.TreasuryFuturesSettle
Settle Quote Type - AUD Bank Bill Type - Uses a Flat Reference Index
QuoteBuilder - Class in org.drip.param.creator
QuoteBuilder contains the quote builder object.
QuoteBuilder() - Constructor for class org.drip.param.creator.QuoteBuilder
 
quoteCcy() - Method in class org.drip.product.params.CurrencyPair
Get the quote currency
QuoteConvention - Class in org.drip.product.params
QuoteConvention contains the Component Market Convention Parameters - the quote convention, the calculation type, the first settle date, and the redemption amount.
QuoteConvention(ValuationCustomizationParams, String, int, double, int, String, int) - Constructor for class org.drip.product.params.QuoteConvention
Construct the QuoteConvention object from the valuation Customization Parameters, the calculation type, the first settle date, and the redemption value.
QuotedSpreadInterpreter - Class in org.drip.param.quoting
QuotedSpreadInterpreter holds the fields needed to interpret a Quoted Spread Quote.
QuotedSpreadInterpreter(String, double) - Constructor for class org.drip.param.quoting.QuotedSpreadInterpreter
QuotedSpreadInterpreter constructor
quoteMap() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
quoteMap() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Calibration Quote Map
quoteMap() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
 
quoteMap() - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Full Set of Quotes
quotes() - Method in class org.drip.service.api.FixFloatFundingInstrument
Retrieve the Array of Quotes
quotingParameter() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
quotingParameter() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Quoting Parameter
quotingParameter() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
 

R

r() - Method in class org.drip.quant.linearalgebra.QR
Retrieve R
r1(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Custom R^1 Entry corresponding to the Specified Key
r1(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Retrieve the Custom R^1 Entry corresponding to the Specified Key
R1 - Class in org.drip.measure.continuous
R1 implements the Base Abstract Class behind R^1 Distributions.
R1() - Constructor for class org.drip.measure.continuous.R1
 
r1() - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
Retrieve the Array of the R^1 Combinatorial Vectors
R1ArrayInSituSort - Class in org.drip.sample.algo
R1ArrayInSituSort demonstrates the Functionality that conducts an in-place Sorting of an Instance of BigDoubleArray using a variety of Sorting Algorithms.
R1ArrayInSituSort() - Constructor for class org.drip.sample.algo.R1ArrayInSituSort
 
R1Combinatorial - Class in org.drip.spaces.metric
R1Combinatorial implements the Normed, Bounded/Unbounded Combinatorial l^p R^1 Spaces.
R1Combinatorial(List<Double>, R1, int) - Constructor for class org.drip.spaces.metric.R1Combinatorial
R1Combinatorial Space Constructor
R1CombinatorialBall - Class in org.drip.spaces.metric
R1CombinatorialBall extends the Combinatorial R^1 Banach Space by enforcing the Closed Bounded Metric.
R1CombinatorialBall(List<Double>, R1, int, double) - Constructor for class org.drip.spaces.metric.R1CombinatorialBall
R1CombinatorialBall Constructor
R1CombinatorialToR1Continuous(R1ToR1, NormedR1CombinatorialToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
Construct an Instance of R^1 Combinatorial To R^1 Continuous Regularizer
R1CombinatorialVector - Class in org.drip.spaces.tensor
R1CombinatorialVector exposes the normed/non-normed Discrete Spaces with R^1 Combinatorial Vector Elements.
R1CombinatorialVector(List<Double>) - Constructor for class org.drip.spaces.tensor.R1CombinatorialVector
R1CombinatorialVector Constructor
R1Continuous - Class in org.drip.spaces.metric
R1Continuous implements the Normed, Bounded/Unbounded Continuous l^p R^1 Spaces.
R1Continuous(double, double, R1, int) - Constructor for class org.drip.spaces.metric.R1Continuous
R1Continuous Space Constructor
R1ContinuousBall - Class in org.drip.spaces.metric
R1ContinuousBall extends the Continuous R^1 Banach Space by enforcing the Closed Bounded Metric.
R1ContinuousBall(double, double, R1, int, double) - Constructor for class org.drip.spaces.metric.R1ContinuousBall
R1ContinuousBall Constructor
R1ContinuousToR1Continuous(R1ToR1, NormedR1ContinuousToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
Construct an Instance of R^1 Continuous To R^1 Continuous Regularizer
R1ContinuousVector - Class in org.drip.spaces.tensor
R1ContinuousVector exposes the Normed/non-normed, Bounded/Unbounded Continuous R^1 Vector Spaces with Real-valued Elements.
R1ContinuousVector(double, double) - Constructor for class org.drip.spaces.tensor.R1ContinuousVector
R1ContinuousVector Constructor
R1GeneralizedVector - Interface in org.drip.spaces.tensor
R1GeneralizedVector exposes the basic Properties of the General R^1 Vector Space.
R1JointDiffusion - Class in org.drip.sample.numeraire
R1JointDiffusion demonstrates the Joint Evolution of R^1 Diffusion Variates - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
R1JointDiffusion() - Constructor for class org.drip.sample.numeraire.R1JointDiffusion
 
R1JointJumpDiffusion - Class in org.drip.sample.numeraire
R1JointJumpDiffusion demonstrates the Joint Evolution of R^1 Jump Diffusion Variates - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
R1JointJumpDiffusion() - Constructor for class org.drip.sample.numeraire.R1JointJumpDiffusion
 
R1Jump - Class in org.drip.sample.numeraire
R1Jump demonstrates the Jump Evolution of a Default-able Asset.
R1Jump() - Constructor for class org.drip.sample.numeraire.R1Jump
 
R1Multivariate - Class in org.drip.measure.continuous
R1Multivariate contains the Generalized Joint Multivariate R^1 Distributions.
R1Multivariate(MultivariateMeta) - Constructor for class org.drip.measure.continuous.R1Multivariate
 
R1MultivariateNormal - Class in org.drip.measure.gaussian
R1MultivariateNormal contains the Generalized Joint Multivariate R^1 Normal Distributions.
R1MultivariateNormal(MultivariateMeta, double[], Covariance) - Constructor for class org.drip.measure.gaussian.R1MultivariateNormal
R1MultivariateNormal Constructor
R1Normed - Interface in org.drip.spaces.metric
R1Normed Abstract Class implements the Normed, Bounded/Unbounded Continuous/Combinatorial l^p R^1 Spaces.
R1PiecewiseDisplaced - Class in org.drip.measure.lebesgue
R1PiecewiseDisplaced implements the Displaced Piecewise Linear R^1 Distributions.
R1PiecewiseDisplaced(double, double, double[], double[], double) - Constructor for class org.drip.measure.lebesgue.R1PiecewiseDisplaced
R1PiecewiseDisplaced Constructor
R1PiecewiseLinear - Class in org.drip.measure.lebesgue
R1PiecewiseLinear implements the Piecewise Linear R^1 Distributions.
R1PiecewiseLinear(double, double, double[], double[]) - Constructor for class org.drip.measure.lebesgue.R1PiecewiseLinear
R1PiecewiseLinear Constructor
R1R1 - Class in org.drip.measure.continuous
R1R1 implements the Base Abstract Class behind Bivariate R^1 Distributions.
R1R1() - Constructor for class org.drip.measure.continuous.R1R1
 
R1R1ToR1 - Interface in org.drip.measure.stochastic
R1R1ToR1 interface exposes the stubs for the evaluation of the objective function and its derivatives for a R^1 Deterministic + R^1 Random To R^1 Stochastic Function with one Random Component.
R1ToR1 - Class in org.drip.function.definition
R1ToR1 provides the evaluation of the objective function and its derivatives for a specified variate.
R1ToR1(DerivativeControl) - Constructor for class org.drip.function.definition.R1ToR1
 
r1Tor1() - Method in class org.drip.learning.regularization.RegularizationFunction
Retrieve the R^1 To R^1 Regularization Function
R1ToR1Integrator - Class in org.drip.quant.calculus
R1ToR1Integrator implements the following routines for integrating the R^1 To R^1 objective Function: - Linear Quadrature - Mid-Point Scheme - Trapezoidal Scheme - Simpson/Simpson38 schemes - Boole Scheme
R1ToR1Integrator() - Constructor for class org.drip.quant.calculus.R1ToR1Integrator
 
R1ToRd - Class in org.drip.function.definition
R1ToRd provides the evaluation of the R^1 To R^d Objective Function and its derivatives for a specified variate.
R1ToRd(DerivativeControl) - Constructor for class org.drip.function.definition.R1ToRd
 
R1Uniform - Class in org.drip.measure.lebesgue
R1Uniform implements the R^1 Lebesgue (i.e., Bounded Uniform) Distribution, with a Uniform Distribution between a Lower and an Upper Bound.
R1Uniform(double, double) - Constructor for class org.drip.measure.lebesgue.R1Uniform
Construct a R^1 Bounded Uniform Distribution
R1UnivariateNormal - Class in org.drip.measure.gaussian
R1UnivariateNormal implements the Univariate R^1 Normal Distribution.
R1UnivariateNormal(double, double) - Constructor for class org.drip.measure.gaussian.R1UnivariateNormal
Construct a R1 Normal/Gaussian Distribution
R2ArrayPathwiseProcessing - Class in org.drip.sample.algo
R2ArrayPathwiseProcessing demonstrates the Functionality that conducts an in-place Path-wise Processing of an Instance of Big R^2 Array.
R2ArrayPathwiseProcessing() - Constructor for class org.drip.sample.algo.R2ArrayPathwiseProcessing
 
Raipur - Class in org.drip.sample.bondeos
Raipur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Raipur.
Raipur() - Constructor for class org.drip.sample.bondeos.Raipur
 
Rajahmundry - Class in org.drip.sample.bondmetrics
Rajahmundry generates the Full Suite of Replication Metrics for a Sample Bond.
Rajahmundry() - Constructor for class org.drip.sample.bondmetrics.Rajahmundry
 
Rajkot - Class in org.drip.sample.bondmetrics
Rajkot generates the Full Suite of Replication Metrics for Bond Rajkot.
Rajkot() - Constructor for class org.drip.sample.bondmetrics.Rajkot
 
RajpurSonarpur - Class in org.drip.sample.bondmetrics
Rajpur Sonarpur generates the Full Suite of Replication Metrics for a Sample Bond.
RajpurSonarpur() - Constructor for class org.drip.sample.bondmetrics.RajpurSonarpur
 
Rampur - Class in org.drip.sample.loan
Rampur demonstrates the Analytics Calculation/Reconciliation for the Loan Rampur.
Rampur() - Constructor for class org.drip.sample.loan.Rampur
 
Ranchi - Class in org.drip.sample.bondeos
Ranchi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Ranchi.
Ranchi() - Constructor for class org.drip.sample.bondeos.Ranchi
 
Random() - Static method in class org.drip.measure.gaussian.NormalQuadrature
Generate a Random Univariate Number following a Gaussian Distribution
random() - Method in class org.drip.sequence.random.Binary
 
random() - Method in class org.drip.sequence.random.BoundedGaussian
 
random() - Method in class org.drip.sequence.random.BoundedUniform
 
random() - Method in class org.drip.sequence.random.BoundedUniformInteger
 
random() - Method in class org.drip.sequence.random.BoxMullerGaussian
 
random() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
Generate the Set of Multivariate Random Numbers according to the specified rule
random() - Method in class org.drip.sequence.random.Poisson
 
random() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
 
random() - Method in class org.drip.sequence.random.UnivariateSequenceGenerator
Generate a Random Number according to the specified rule
RandomNumberGenerator - Class in org.drip.measure.crng
RandomNumberGenerator provides the Functionality to generate Random Numbers.
RandomNumberGenerator() - Constructor for class org.drip.measure.crng.RandomNumberGenerator
Empty RandomNumberGenerator Constructor
randomNumberGenerator() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Retrieve the Random Number Generator
Rank(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Rank of the Matrix
rate() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the Composite Rate
rate() - Method in class org.drip.analytics.output.UnitPeriodMetrics
Retrieve the Coupon Rate
rate() - Method in class org.drip.assetbacked.borrower.RevolvingUtilizationRate
Retrieve the Borrower's Revolving Utilization Rate
rate() - Method in class org.drip.assetbacked.loan.Coupon
Retrieve the Loan Coupon Rate
rate(double, InvestorCliffSettings) - Method in class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
Compute the Expected Consumption Rate
rate(double, InvestorCliffSettings) - Method in class org.drip.portfolioconstruction.alm.ExpectedNonFinancialIncome
Compute the Retirement Age Income Replacement Rate
rate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
Retrieve the Rate
rate() - Method in class org.drip.product.calib.FixFloatQuoteSet
Retrieve the Rate
rate() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
Retrieve the Rate
rate(int) - Method in interface org.drip.state.csa.CashFlowEstimator
Calculate the Cash Flow Rate Effective to the given Date
rate(JulianDate) - Method in interface org.drip.state.csa.CashFlowEstimator
Calculate the Cash Flow Rate Effective to the given date
rate(String) - Method in interface org.drip.state.csa.CashFlowEstimator
Calculate the Cash Flow Rate Effective to the given Tenor
rate(String, String) - Method in interface org.drip.state.csa.CashFlowEstimator
Calculate the Cash Flow Rate Effective between the Tenors
rate(int, int) - Method in interface org.drip.state.csa.CashFlowEstimator
Calculate the Cash Flow Rate Effective between the Dates
rate(JulianDate, JulianDate) - Method in interface org.drip.state.csa.CashFlowEstimator
Calculate the Cash Flow Rate Effective between the Dates
rate(int) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
rate(JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
rate(String) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
rate(int, int) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
rate(JulianDate, JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
rate(String, String) - Method in class org.drip.state.csa.MultilateralBasisCurve
 
rate(int) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
 
rate(JulianDate) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
 
rate(String) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
 
rate(int, int) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
 
rate(JulianDate, JulianDate) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
 
rate(String, String) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
 
rate(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, int, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
 
rate(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, int, boolean) - Method in class org.drip.state.fx.FXCurve
Calculate the rate implied by the discount curve inputs to a specified date
rate(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, int, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
rateIncrement() - Method in class org.drip.market.exchange.DeliverableSwapFutures
Retrieve the Rate Increment
rateIndex() - Method in class org.drip.product.credit.BondComponent
 
rateIndex() - Method in class org.drip.product.definition.Bond
Return the rate index of the bond
RateIndexFromCcyAndCouponFreq(String, int) - Static method in class org.drip.analytics.support.Helper
Calculate the rate index from currency and coupon frequency
RatesBasket - Class in org.drip.product.rates
RatesBasket contains the implementation of the Basket of Rates Component legs.
RatesBasket(String, Stream[], Stream[]) - Constructor for class org.drip.product.rates.RatesBasket
RatesBasket constructor
RatesClassMargin20 - Class in org.drip.sample.simmir
RatesClassMargin20 illustrates the Computation of the SIMM 2.0 IR Class Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesClassMargin20() - Constructor for class org.drip.sample.simmir.RatesClassMargin20
 
RatesClassMargin21 - Class in org.drip.sample.simmir
RatesClassMargin21 illustrates the Computation of the SIMM 2.1 IR Class Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesClassMargin21() - Constructor for class org.drip.sample.simmir.RatesClassMargin21
 
RatesCurrencyCurvatureMargin20 - Class in org.drip.sample.simmir
RatesCurrencyCurvatureMargin20 illustrates the Computation of the SIMM 2.0 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMargin20() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMargin20
 
RatesCurrencyCurvatureMargin21 - Class in org.drip.sample.simmir
RatesCurrencyCurvatureMargin21 illustrates the Computation of the SIMM 2.1 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMargin21() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMargin21
 
RatesCurrencyCurvatureMarginFlow20 - Class in org.drip.sample.simmir
RatesCurrencyCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMarginFlow20() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow20
 
RatesCurrencyCurvatureMarginFlow21 - Class in org.drip.sample.simmir
RatesCurrencyCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Curvature Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyCurvatureMarginFlow21() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow21
 
RatesCurrencyDeltaMargin20 - Class in org.drip.sample.simmir
RatesCurrencyDeltaMargin20 illustrates the Computation of the SIMM 2.0 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMargin20() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMargin20
 
RatesCurrencyDeltaMargin21 - Class in org.drip.sample.simmir
RatesCurrencyDeltaMargin21 illustrates the Computation of the SIMM 2.1 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMargin21() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMargin21
 
RatesCurrencyDeltaMarginFlow20 - Class in org.drip.sample.simmir
RatesCurrencyDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMarginFlow20() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow20
 
RatesCurrencyDeltaMarginFlow21 - Class in org.drip.sample.simmir
RatesCurrencyDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Delta Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyDeltaMarginFlow21() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow21
 
RatesCurrencyVegaMargin20 - Class in org.drip.sample.simmir
RatesCurrencyVegaMargin20 illustrates the Computation of the SIMM 2.0 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMargin20() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMargin20
 
RatesCurrencyVegaMargin21 - Class in org.drip.sample.simmir
RatesCurrencyVegaMargin21 illustrates the Computation of the SIMM 2.1 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMargin21() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMargin21
 
RatesCurrencyVegaMarginFlow20 - Class in org.drip.sample.simmir
RatesCurrencyVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMarginFlow20() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow20
 
RatesCurrencyVegaMarginFlow21 - Class in org.drip.sample.simmir
RatesCurrencyVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Vega Margin for a Currency Bucket's IR Exposure Sensitivities.
RatesCurrencyVegaMarginFlow21() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow21
 
RatesCurvatureMargin20 - Class in org.drip.sample.simmir
RatesCurvatureMargin20 illustrates the Computation of the SIMM 2.0 IR Curvature Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesCurvatureMargin20() - Constructor for class org.drip.sample.simmir.RatesCurvatureMargin20
 
RatesCurvatureMargin21 - Class in org.drip.sample.simmir
RatesCurvatureMargin21 illustrates the Computation of the SIMM 2.1 IR Curvature Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesCurvatureMargin21() - Constructor for class org.drip.sample.simmir.RatesCurvatureMargin21
 
RatesDeltaMargin20 - Class in org.drip.sample.simmir
RatesDeltaMargin20 illustrates the Computation of the IR SIMM 2.0 Delta Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesDeltaMargin20() - Constructor for class org.drip.sample.simmir.RatesDeltaMargin20
 
RatesDeltaMargin21 - Class in org.drip.sample.simmir
RatesDeltaMargin21 illustrates the Computation of the IR SIMM 2.1 Delta Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesDeltaMargin21() - Constructor for class org.drip.sample.simmir.RatesDeltaMargin21
 
ratesFXMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Retrieve the RatesFX Multiplicative Scale
RatesVegaMargin20 - Class in org.drip.sample.simmir
RatesVegaMargin20 illustrates the Computation of the SIMM 2.0 IR Vega Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesVegaMargin20() - Constructor for class org.drip.sample.simmir.RatesVegaMargin20
 
RatesVegaMargin21 - Class in org.drip.sample.simmir
RatesVegaMargin21 illustrates the Computation of the SIMM 2.1 IR Vega Margin for a Bucket of Currency's IR Exposure Sensitivities.
RatesVegaMargin21() - Constructor for class org.drip.sample.simmir.RatesVegaMargin21
 
rating(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Rating Latent State
rating() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Govvie Latent State Node Container
rating(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Rating
ratingExists(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Rating Latent State Exists
RatingLabel - Class in org.drip.state.identifier
RatingLabel contains the Identifier Parameters referencing the Label corresponding to the Credit Rating Latent State.
RatingLabel(String, String) - Constructor for class org.drip.state.identifier.RatingLabel
RatingsLabel constructor
ratingMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Ratings Evolver Map
ratingRatingCorrelation(RatingLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Rating and the Rating Latent States
ratingRecoveryCorrelation(RatingLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Rating and Recovery Latent States
ratingRepoCorrelation(RatingLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Rating and Repo Latent States
ratingState(RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Rating State for the specified Rating Latent State Label
ratingVolaitlity(RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified Rating Latent State
ratio() - Method in class org.drip.assetbacked.borrower.DTIExMortgage
Retrieve the Borrower's Current Debt-to-income Ratio
rationalTension() - Method in class org.drip.spline.basis.ExponentialRationalSetParams
Get the Rational Tension
RAW_TENSION_HYPERBOLIC - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
Raw Tension Hyperbolic B Spline Basis Hat Phy and Psy
rawRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettings
Retrieve the Raw Vega Risk Weight
RayleighQuotient(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Rayleigh Quotient given the Matrix and one of its Eigenvector
RayleighQuotient - Class in org.drip.sample.matrix
RayleighQuotient demonstrates the Computation of an Approximate to the Eigenvalue using the Rayleigh Quotient.
RayleighQuotient() - Constructor for class org.drip.sample.matrix.RayleighQuotient
 
Rd - Class in org.drip.measure.continuous
Rd implements the Base Abstract Class behind R^d Distributions.
Rd() - Constructor for class org.drip.measure.continuous.Rd
 
RdAggregate - Class in org.drip.spaces.tensor
RdAggregate exposes the basic Properties of the R^d as a Sectional Super-position of R^1 Vector Spaces.
RdAggregate(R1GeneralizedVector[]) - Constructor for class org.drip.spaces.tensor.RdAggregate
 
RdCombinatorialBall - Class in org.drip.spaces.metric
RdCombinatorialBall extends the Combinatorial R^d Banach Space by enforcing the Closed Bounded Metric.
RdCombinatorialBall(R1CombinatorialVector[], Rd, int, double) - Constructor for class org.drip.spaces.metric.RdCombinatorialBall
RdCombinatorialBall Constructor
RdCombinatorialBanach - Class in org.drip.spaces.metric
RdCombinatorialBanach implements the Bounded/Unbounded Combinatorial l^p R^d Spaces.
RdCombinatorialBanach(R1CombinatorialVector[], Rd, int) - Constructor for class org.drip.spaces.metric.RdCombinatorialBanach
RdCombinatorialBanach Space Constructor
RdCombinatorialHilbert - Class in org.drip.spaces.metric
RdCombinatorialHilbert implements the Bounded/Unbounded, Combinatorial l^2 R^d Spaces.
RdCombinatorialHilbert(R1CombinatorialVector[], Rd) - Constructor for class org.drip.spaces.metric.RdCombinatorialHilbert
RdCombinatorialHilbert Space Constructor
RdCombinatorialToR1Continuous(RdToR1, NormedRdCombinatorialToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
Construct an Instance of R^d Combinatorial To R^1 Continuous Regularizer
RdCombinatorialVector - Class in org.drip.spaces.tensor
RdCombinatorialVector exposes the Normed/Non-normed Discrete Spaces with R^d Combinatorial Vector Elements.
RdCombinatorialVector(R1CombinatorialVector[]) - Constructor for class org.drip.spaces.tensor.RdCombinatorialVector
RdCombinatorialVector Constructor
RdContinuousBall - Class in org.drip.spaces.metric
RdContinuousBall extends the Continuous R^d Banach Space by enforcing the Closed Bounded Metric.
RdContinuousBall(R1ContinuousVector[], Rd, int, double) - Constructor for class org.drip.spaces.metric.RdContinuousBall
RdContinuousBall Constructor
RdContinuousBanach - Class in org.drip.spaces.metric
RdContinuousBanach implements the Normed, Bounded/Unbounded Continuous l^p R^d Spaces.
RdContinuousBanach(R1ContinuousVector[], Rd, int) - Constructor for class org.drip.spaces.metric.RdContinuousBanach
RdContinuousBanach Space Constructor
RdContinuousHilbert - Class in org.drip.spaces.metric
RdContinuousHilbert implements the Bounded/Unbounded, Continuous l^2 R^d Spaces.
RdContinuousHilbert(R1ContinuousVector[], Rd) - Constructor for class org.drip.spaces.metric.RdContinuousHilbert
RdContinuousHilbert Space Constructor
RdContinuousToR1Continuous(RdToR1, NormedRdContinuousToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
Construct an Instance of R^d Continuous To R^1 Continuous Regularizer
RdContinuousVector - Class in org.drip.spaces.tensor
RdContinuousVector implements the Normed/non-normed, Bounded/Unbounded Continuous R^d Vector Spaces.
RdContinuousVector(R1ContinuousVector[]) - Constructor for class org.drip.spaces.tensor.RdContinuousVector
RdContinuousVector Constructor
RdDecisionFunction - Class in org.drip.learning.svm
RdDecisionFunction exposes the R^d Decision-Function Based SVM Functionality for Classification and Regression.
RdDecisionFunction(RdGeneralizedVector, RdNormed, double[], double) - Constructor for class org.drip.learning.svm.RdDecisionFunction
RdDecisionFunction Constructor
RdExhaustiveStateSpaceScan - Class in org.drip.spaces.iterator
RdExhaustiveStateSpaceScan contains the Functionality to iterate exhaustively through the R^d Space.
RdExhaustiveStateSpaceScan(int[], boolean) - Constructor for class org.drip.spaces.iterator.RdExhaustiveStateSpaceScan
RdExhaustiveStateSpaceScan Constructor
RdGeneralizedVector - Interface in org.drip.spaces.tensor
RdGeneralizedVector exposes the basic Properties of the Generalized R^d Vector Space.
RdMultiPath - Class in org.drip.sample.rng
RdMultiPath illustrates the Generation of the Multi-Path Correlated Random Variables without using Quadratic Re-sampling or Antithetic Variables.
RdMultiPath() - Constructor for class org.drip.sample.rng.RdMultiPath
 
RdMultiPathAntithetic - Class in org.drip.sample.rng
RdMultiPathAntithetic illustrates the Generation of the Multi-Path Correlated Random Variables with Antithetic Variables but without using Quadratic Re-sampling.
RdMultiPathAntithetic() - Constructor for class org.drip.sample.rng.RdMultiPathAntithetic
 
RdMultiPathQR - Class in org.drip.sample.rng
RdMultiPathQR illustrates the Generation of the Multi-Path Correlated Random Variables using Quadratic Re-sampling but without Antithetic Variables.
RdMultiPathQR() - Constructor for class org.drip.sample.rng.RdMultiPathQR
 
RdMultiPathQRUnbiased - Class in org.drip.sample.rng
RdMultiPathQRUnbiased illustrates the Generation of the Multi-Path Correlated Random Variables using Quadratic Re-sampling but without Antithetic Variables.
RdMultiPathQRUnbiased() - Constructor for class org.drip.sample.rng.RdMultiPathQRUnbiased
 
RdNormed - Interface in org.drip.spaces.metric
RdNormed Abstract Class implements the Normed, Bounded/Unbounded Continuous/Combinatorial l^p R^d Spaces.
RdR1 - Class in org.drip.measure.continuous
Rd implements the Base Abstract Class behind R^d X R^1 Distributions.
RdR1() - Constructor for class org.drip.measure.continuous.RdR1
 
RdReceedingStateSpaceScan - Class in org.drip.spaces.iterator
RdReceedingStateSpaceScan is the Abstract Iterator Class that contains the Functionality to conduct a Receeding Scan through a R^d Space.
RdReceedingStateSpaceScan(int[], boolean) - Constructor for class org.drip.spaces.iterator.RdReceedingStateSpaceScan
RdReceedingStateSpaceScan Constructor
RdSpanningCombinatorialIterator - Class in org.drip.spaces.iterator
RdSpanningCombinatorialIterator contains the Functionality to conduct a Spanning Iteration through an R^d Combinatorial Space.
RdSpanningCombinatorialIterator(R1CombinatorialVector[], int[]) - Constructor for class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
RdSpanningCombinatorialIterator Constructor
RdSpanningStateSpaceScan - Class in org.drip.spaces.iterator
RdSpanningStateSpaceScan is the Abstract Iterator Class that contains the Functionality to perform a Spanning Iterative Scan through an R^d State Space.
RdSpanningStateSpaceScan(int[], boolean) - Constructor for class org.drip.spaces.iterator.RdSpanningStateSpaceScan
 
RdToR1 - Class in org.drip.function.definition
RdToR1 provides the evaluation of the R^d To R^1 objective function and its derivatives for a specified set of R^d variates.
RdToR1(DerivativeControl) - Constructor for class org.drip.function.definition.RdToR1
 
rdTor1() - Method in class org.drip.learning.regularization.RegularizationFunction
Retrieve the R^d To R^1 Regularization Function
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTermNet
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTermTransactionCharge
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermAbsolute
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerLong
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerNet
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerShort
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermNet
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermAbsolute
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLong
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLongShort
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerNet
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerShort
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerWeightedAverage
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermModelDeviation
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerLong
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerShort
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerTotal
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermMarginal
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermVariance
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossGains
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossLoss
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermLiability
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermLongGains
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermNetGains
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermNetLoss
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerLong
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerNet
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerShort
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerBuy
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerSell
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerTotal
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerBuy
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerNet
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerSell
 
rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerShort
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.CustomNetTaxGainsTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.ExpectedReturnsTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.FixedChargeBuyTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.FixedChargeSellTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.FixedChargeTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.GoldmanSachsShortfallTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LinearChargeBuyTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LinearChargeSellTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LinearChargeTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LongTiltTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.MarketImpactChargeTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.NetTaxGainsTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.NetTiltTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.ShortSellChargeTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.ShortTiltTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.StandardDeviationTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.TaxLiabilityTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.TransactionChargeTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.objective.VarianceTerm
 
rdtoR1() - Method in class org.drip.portfolioconstruction.optimizer.FormulationTerm
The R^d To R^1 Objective Term
RdToRd - Class in org.drip.function.definition
RdToRd provides the evaluation of the R^d To R^d objective function and its derivatives for a specified set of R^d variates.
RdToRd(DerivativeControl) - Constructor for class org.drip.function.definition.RdToRd
 
RdUniform - Class in org.drip.measure.lebesgue
RdUniform implements the R^d Lebesgue Measure Distribution that corresponds to a Uniform R^d d-Volume Space.
RdUniform(RdGeneralizedVector) - Constructor for class org.drip.measure.lebesgue.RdUniform
RdUniform Constructor
real() - Method in class org.drip.quant.fourier.ComplexNumber
Retrieve the Real Part
realization() - Method in class org.drip.execution.hjb.NonDimensionalCost
Retrieve the Realized Non-dimensional Value
realization() - Method in class org.drip.execution.latent.MarketStateCorrelated
Retrieve the Liquidity/Volatility Market State Realizations
realization() - Method in class org.drip.historical.attribution.PositionManifestMeasureSnap
Retrieve the Realized Manifest Measure Value
realizedDrift(int) - Method in class org.drip.execution.bayesian.PriorDriftDistribution
Generate the given Number of Bayesian Drift Realizations
realizedFinalShortRate() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Retrieve the Realized Final Short Rate
realizedMarketState() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
Retrieve the Sequence of Market State Realization
realizedQM() - Method in class org.drip.dynamics.lmm.PathwiseQMRealization
Retrieve the Array of the Realized QM
realizedZeroCouponPrice(int) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
Retrieve a Realized Zero-Coupon Bond Price
rebalanceCash(EvolutionTrajectoryVertex, MarketEdge) - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
Re-balance the Cash Account and generate the Derivative Value Update
Rebalancer - Class in org.drip.portfolioconstruction.optimizer
Rebalancer holds the Details of a given Rebalancing Run.
Rebalancer(String, String, String, Account, Strategy) - Constructor for class org.drip.portfolioconstruction.optimizer.Rebalancer
Rebalancer Constructor
RebalancerAnalytics - Class in org.drip.portfolioconstruction.optimizer
RebalancerAnalytics holds the Analytics from a given Rebalancing Run.
RebalancerAnalytics(double, Holdings, CaseInsensitiveHashMap<Double>, CaseInsensitiveHashMap<ConstraintRealization>, PortfolioMetrics, PortfolioBenchmarkMetrics) - Constructor for class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
RebalancerAnalytics Constructor
ReceedingPermutationScan(String, int) - Static method in class org.drip.spaces.big.SubStringSetExtractor
Locate the String Set of the Target Size using a Receeding Permutation Scan
Reconciler_Call - Class in org.drip.sample.bondmetrics
Reconciler_Call demonstrates the Analytics Calculation/Reconciliation for the Callable Bond KWA6SA.
Reconciler_Call() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Call
 
Reconciler_Fixed - Class in org.drip.sample.bondmetrics
Reconciler_Fixed demonstrates the Analytics Calculation/Reconciliation for the the Fixed Coupon Bond MCQGQO.
Reconciler_Fixed() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Fixed
 
Reconciler_Float - Class in org.drip.sample.bondmetrics
Reconciler_Float demonstrates the Analytics Calculation/Reconciliation for the Floater Bond KWA6SA.
Reconciler_Float() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Float
 
Reconciler_Sink - Class in org.drip.sample.bondmetrics
Reconciler_Sink demonstrates the Analytics Calculation/Reconciliation for the the Sinking Fund Bond YSW0U6.
Reconciler_Sink() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Sink
 
recordFinish() - Method in class org.drip.service.env.InvocationRecord
Record the Finish of the Invocation Record
recordPhase(double, double, double, double, double, boolean) - Method in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
Record the Details of a Single Phase Adjustment Run
recordSetup() - Method in class org.drip.service.env.InvocationRecord
Record the Setup of the Invocation Record
recovery(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Coupon Period Recovery
recovery(int, CreditCurve) - Method in class org.drip.product.credit.BondComponent
 
recovery(int, int, CreditCurve) - Method in class org.drip.product.credit.BondComponent
 
recovery(int, CreditCurve) - Method in class org.drip.product.credit.CDSComponent
 
recovery(int, int, CreditCurve) - Method in class org.drip.product.credit.CDSComponent
 
recovery(int, CreditCurve) - Method in class org.drip.product.definition.CreditComponent
Get the recovery of the credit component for the given date
recovery(int, int, CreditCurve) - Method in class org.drip.product.definition.CreditComponent
Get the time-weighted recovery of the credit component between the given dates
recovery() - Method in class org.drip.product.params.CreditSetting
Retrieve the Recovery Amount
recovery(int) - Method in class org.drip.state.credit.CreditCurve
Calculate the recovery rate to the given date
recovery(JulianDate) - Method in class org.drip.state.credit.CreditCurve
Calculate the recovery rate to the given date
recovery(String) - Method in class org.drip.state.credit.CreditCurve
Calculate the recovery rate to the given tenor
recovery(int) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
recoveryFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the map of Recovery Flat Bumped Curves for the given Basket Product
recoveryFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
recoveryPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
Retrieve the Recovery PV
recoveryRate() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Recovery Rate
recoveryRate(JulianDate) - Method in class org.drip.historical.state.CreditCurveMetrics
Retrieve the Recovery Rate corresponding to the specified Date
recoveryRate() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Recovery Rate
recoveryRate() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Recovery Rate
recoveryRecoveryCorrelation(EntityRecoveryLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Recovery Latent State Pair
recoveryRepoCorrelation(EntityRecoveryLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface for the specified Recovery and the Repo Latent States
recoveryState(EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Recovery Latent State from the Label
recoveryVolatility(EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the specified Recovery Latent State
recursiveGenerator() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
Retrieve the Recursive Generator Instance
RecursiveGenerator - Interface in org.drip.measure.crng
RecursiveGenerator exposes Sequence Generation using Recursive Schemes.
redemptionCurrency() - Method in class org.drip.product.credit.BondComponent
 
redemptionCurrency() - Method in class org.drip.product.definition.Bond
Return the bond's redemption currency
redemptionValue() - Method in class org.drip.product.credit.BondComponent
 
redemptionValue() - Method in class org.drip.product.definition.Bond
Return the bond's redemption value
redemptionValue() - Method in class org.drip.product.params.QuoteConvention
Retrieve the Redemption Value
reductionFactor() - Method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Reduction Factor per Step
reductionSteps() - Method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
Retrieve the Number of Reduction Steps
reference() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
Retrieve the Reference R^1 Ornstein-Uhlenbeck Evaluator
REFERENCE_PERIOD_IN_ADVANCE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Reference Period Fixing is IN-ADVANCE (i.e., the same as that) of the Coupon Period
REFERENCE_PERIOD_IN_ARREARS - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Reference Period Fixing is IN-ARREARS (i.e., displaced one period to the right) of the Coupon Period
referenceBurstiness() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
 
referenceBurstiness() - Method in interface org.drip.measure.process.OrnsteinUhlenbeck
Retrieve the Reference Burstiness Scale
referenceBurstiness() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
 
referenceComponent() - Method in class org.drip.product.fx.ComponentPair
Retrieve the Reference Component
referenceConvention() - Method in class org.drip.market.otc.CrossFloatSwapConvention
Retrieve the Reference Convention
ReferenceCoordinatedVariation(CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
Construct a Linear Permanent Evolution Parameters from a Deterministic Coordinated Variation Instance
referenceCoupon() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Reference Coupon Rate
referenceEntity() - Method in class org.drip.state.identifier.EntityDesignateLabel
Retrieve the Reference Entity
ReferenceForwardState - Class in org.drip.template.state
ReferenceForwardState sets up the Calibration of the Reference Forward Latent State and examine the Emitted Metrics.
ReferenceForwardState() - Constructor for class org.drip.template.state.ReferenceForwardState
 
ReferenceForwardStateShifted - Class in org.drip.template.statebump
ReferenceForwardStateShifted demonstrates the Generation of the Shifted Reference Forward Curves.
ReferenceForwardStateShifted() - Constructor for class org.drip.template.statebump.ReferenceForwardStateShifted
 
referenceIndex() - Method in class org.drip.state.basis.BasisCurve
 
referenceIndex() - Method in interface org.drip.state.basis.BasisEstimator
Retrieve the Reference Index
referenceIndexPeriod() - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
Retrieve the Reference Index Period
ReferenceIndexPeriod - Class in org.drip.analytics.cashflow
ReferenceIndexPeriod contains the Cash Flow Period Details.
ReferenceIndexPeriod(int, int, int, double, FloaterLabel) - Constructor for class org.drip.analytics.cashflow.ReferenceIndexPeriod
The ReferenceIndexPeriod Constructor
referenceLag() - Method in class org.drip.market.definition.OvernightIndex
Retrieve the Index Reference Lag
referenceLiquidity() - Method in class org.drip.execution.tradingtime.CoordinatedVariation
Retrieve the Reference Liquidity
referenceMeanReversionLevel() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
 
referenceMeanReversionLevel() - Method in interface org.drip.measure.process.OrnsteinUhlenbeck
Retrieve the Reference Mean Reversion Level Scale
referenceMeanReversionLevel() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
 
referenceParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
Retrieve the Reference Par Basis Spread
referenceParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
Retrieve the Reference Par Basis Spread
ReferencePeriod(JulianDate, JulianDate, FloaterLabel, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct a Reference Period using the Start/End Dates, the Floater Label, and the Reference Period Arrears Type
ReferencePeriod(int, int, FloaterLabel, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Construct a Reference Index Period using the Start/End Dates, the Floater Label, and the Reference Period Arrears Type
referencePeriodArrearsType() - Method in class org.drip.param.period.ComposableFloatingUnitSetting
Retrieve the Reference Period Arrears Type
referencePrice(double) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Compute the Reference Bond Price from the Quoted Futures Index Level
referencePrice(JulianDate, Bond, double) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Compute the Reference Bond Price from the Quoted Futures Index Level
referenceRelaxationTime() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
 
referenceRelaxationTime() - Method in interface org.drip.measure.process.OrnsteinUhlenbeck
Retrieve the Reference Relaxation Time Scale
referenceRelaxationTime() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
 
referenceStream() - Method in class org.drip.product.rates.DualStreamComponent
Retrieve the Reference Stream
referenceStream() - Method in class org.drip.product.rates.FixFloatComponent
 
referenceStream() - Method in class org.drip.product.rates.FloatFloatComponent
 
referenceTenor() - Method in class org.drip.market.otc.FloatFloatSwapConvention
Retrieve the Reference Tenor
referenceVolatility() - Method in class org.drip.execution.tradingtime.CoordinatedVariation
Retrieve the Reference Volatility
region() - Method in class org.drip.simm.equity.EQBucket
Retrieve the Bucket Region
RegionSystemics - Class in org.drip.simm.equity
RegionSystemics contains the Systemic Settings that contain the Region Details.
RegionSystemics() - Constructor for class org.drip.simm.equity.RegionSystemics
 
regress(double[]) - Method in class org.drip.learning.svm.RdDecisionFunction
Regress on the Specified Multi-dimensional Point
regress() - Method in class org.drip.regression.core.UnitRegressionExecutor
 
regress() - Method in interface org.drip.regression.core.UnitRegressor
This method performs the feature by feature regression for the given object.
REGRESSION_DETAIL_MODULE_AGGREGATED - Static variable in class org.drip.regression.core.RegressionEngine
Regression outputs rolled up to Modules
REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED - Static variable in class org.drip.regression.core.RegressionEngine
Regression outputs rolled up to Module Units
REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED - Static variable in class org.drip.regression.core.RegressionEngine
Regression outputs decomposed at individual Module Units
REGRESSION_DETAIL_STATS - Static variable in class org.drip.regression.core.RegressionEngine
Regression Output: Statistics
RegressionEngine - Class in org.drip.regression.core
RegressionEngine provides the control and frame-work functionality for the General Purpose Regression Suite.
RegressionEngine(int, int) - Constructor for class org.drip.regression.core.RegressionEngine
 
RegressionLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder
Construct the Regression Learning CoveringNumberProbabilityBound Instance
RegressionRunDetail - Class in org.drip.regression.core
RegressionRunDetail contains named field level detailed output of the regression activity.
RegressionRunDetail() - Constructor for class org.drip.regression.core.RegressionRunDetail
Empty constructor: Regression detail fields will be initialized
RegressionRunOutput - Class in org.drip.regression.core
RegressionRunOutput contains the output of a single regression activity.
RegressionRunOutput(String) - Constructor for class org.drip.regression.core.RegressionRunOutput
Regression Run Output Constructor
RegressionSplineCashCurve - Class in org.drip.sample.bond
RegressionSplineCashCurve demonstrates the Functionality behind the Regression Spline based OLS best-fit Construction of a Cash Bond Discount Curve Based on Input Price/Yield.
RegressionSplineCashCurve() - Constructor for class org.drip.sample.bond.RegressionSplineCashCurve
 
regressorCoveringProbabilityBound(int, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Upper Bound of the Probability of the Absolute Deviation between the Empirical and the Population Means using the Function Class Supremum Covering Number for Regression Learning
regressorCoveringProbabilityBound(GeneralizedValidatedVector, int, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Sample/Data Dependent Upper Bound of the Probability of the Absolute Deviation between the Empirical and the Population Means using the Function Class Supremum Covering Number for Regression Learning
regressorCoveringSampleSize(double, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Minimum Possible Sample Size needed to generate the required Upper Probability Bound for the Specified Empirical Deviation using the Covering Number Convergence Bounds for Regression Learning.
regressorCoveringSampleSize(GeneralizedValidatedVector, double, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
Compute the Minimum Possible Sample Size needed to generate the required Upper Probability Bound for the Specified Empirical Deviation using the Covering Number Convergence Bounds for Regression Learning.
RegressorSet - Interface in org.drip.regression.core
RegressorSet interface provides the Regression set stubs.
RegularCollateralTransferInitiation(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the Regular Collateral Transfer Initiation CSA Event Date
RegularEdgeDates(JulianDate, String, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of regular period edge dates forward from the start.
RegularEdgeDates(int, int, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of regular period edge dates forward from the start.
RegularEdgeDates(int, String, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Generate a list of regular period edge dates forward from the start.
RegulariseRow(double[][], double[], int, int) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
Regularize (i.e., convert the diagonal entries of the given cell to non-zero using suitable linear transformations)
RegularityConditions - Class in org.drip.optimization.constrained
RegularityConditions holds the Results of the Verification of the Regularity Conditions/Constraint Qualifications at the specified (possibly) Optimal Variate and the corresponding Fritz John Multipliers.
RegularityConditions(double[], FritzJohnMultipliers, ConstraintQualifierLCQ, ConstraintQualifierLICQ, ConstraintQualifierMFCQ, ConstraintQualifierCRCQ, ConstraintQualifierCPLDCQ, ConstraintQualifierQNCQ, ConstraintQualifierSCCQ) - Constructor for class org.drip.optimization.constrained.RegularityConditions
RegularityConditions Constructor
regularityQualifier(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
Generate the Battery of Regularity Constraint Qualification Tests
RegularizationFunction - Class in org.drip.learning.regularization
RegularizerFunction the R^1 To R^1 and the R^d To R^1 Regularization Functions.
RegularizationFunction(R1ToR1, RdToR1, double) - Constructor for class org.drip.learning.regularization.RegularizationFunction
RegularizationFunction Constructor
regularize(double) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
 
regularize(double) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
 
regularize(double) - Method in class org.drip.execution.athl.TemporaryImpact
 
regularize(double) - Method in class org.drip.execution.impact.ParticipationRateLinear
 
regularize(double) - Method in class org.drip.execution.impact.ParticipationRatePower
 
regularize(double) - Method in class org.drip.execution.impact.TransactionFunction
Regularize the Input Function using the specified Trade Inputs
RegularizeBenchmarkMarks(String, Map<JulianDate, Map<Double, Double>>, String, String[]) - Static method in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
Re-constitute the Horizon Benchmark Marks
RegularizeBenchmarkMarks(String, Map<JulianDate, Map<Double, Double>>) - Static method in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
Re-constitute the Horizon Benchmark Marks
RegularizeBenchmarkMarks(String, String) - Static method in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
Re-constitute the Horizon Benchmark Marks
RegularizeCloses(String, String, String, int, int) - Static method in class org.drip.feed.transformer.CreditCDSIndexMarksReconstitutor
Regularize the Credit Index Feed Marks
RegularizeCloses(String, int, int, int) - Static method in class org.drip.feed.transformer.FundingFuturesClosesReconstitutor
Regularize the Funding Futures Feed Closes
RegularizeCloses(String, int, int, int, int, int, int, int) - Static method in class org.drip.feed.transformer.TreasuryFuturesClosesReconstitutor
Regularize the Treasury Feed Closes
regularizedLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Regularized Sample Loss (Empirical + Structural)
regularizedLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Regularized Sample Loss (Empirical + Structural)
regularizedLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
regularizedLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
regularizedRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Regularized Sample Risk (Empirical + Structural)
regularizedRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Regularized Sample Risk (Empirical + Structural)
regularizedRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
regularizedRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
RegularizeMarks(String, Map<JulianDate, InstrumentSetTenorQuote>, int) - Static method in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
Dump the Regularized Marks of the ISTQ Map
RegularizeMarks(String, Map<JulianDate, InstrumentSetTenorQuote>, int) - Static method in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
Dump the Regularized Marks of the ISTQ Map
RegularizerBuilder - Class in org.drip.learning.regularization
RegularizerBuilder constructs Custom Regularizers for the different Normed Learner Function Types.
RegularizerBuilder() - Constructor for class org.drip.learning.regularization.RegularizerBuilder
 
regularizerFunction() - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Retrieve the Regularizer Function
regularizerFunction() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
RegularizerR1CombinatorialToR1Continuous - Class in org.drip.learning.regularization
RegularizerR1CombinatorialToR1Continuous computes the Structural Loss and Risk for the specified Normed R^1 Combinatorial To Normed R^1 Continuous Learning Function.
RegularizerR1CombinatorialToR1Continuous(R1ToR1, R1Combinatorial, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
RegularizerR1CombinatorialToR1Continuous Function Space Constructor
RegularizerR1ContinuousToR1Continuous - Class in org.drip.learning.regularization
RegularizerR1ContinuousToR1Continuous computes the Structural Loss and Risk for the specified Normed R^1 Continuous To Normed R^1 Continuous Learning Function.
RegularizerR1ContinuousToR1Continuous(R1ToR1, R1Continuous, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
RegularizerR1ContinuousToR1Continuous Function Space Constructor
RegularizerR1ToR1 - Interface in org.drip.learning.regularization
RegularizerR1ToR1 exposes the Structural Loss and Risk Calculations for the specified Normed R^1 To Normed R^1 Learning Function.
RegularizerRdCombinatorialToR1Continuous - Class in org.drip.learning.regularization
RegularizerRdCombinatorialToR1Continuous computes the Structural Loss and Risk for the specified Normed R^d Combinatorial To Normed R^1 Continuous Learning Function.
RegularizerRdCombinatorialToR1Continuous(RdToR1, RdCombinatorialBanach, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
RegularizerRdCombinatorialToR1Continuous Function Space Constructor
RegularizerRdContinuousToR1Continuous - Class in org.drip.learning.regularization
RegularizerRdContinuousToR1Continuous computes the Structural Loss and Risk for the specified Normed R^d Continuous To Normed R^1 Continuous Learning Function.
RegularizerRdContinuousToR1Continuous(RdToR1, RdContinuousBanach, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
RegularizerRdContinuousToR1Continuous Function Space Constructor
RegularizerRdToR1 - Interface in org.drip.learning.regularization
RegularizerRdxToR1 exposes the Structural Loss and Risk Calculations for the specified Normed R^d To Normed R^1 Learning Function.
RegularizeUsingRowAddition(MatrixComplementTransform) - Static method in class org.drip.quant.linearalgebra.Matrix
Regularize the specified diagonal entry of the input matrix using Row Addition
RegularizeUsingRowSwap(MatrixComplementTransform) - Static method in class org.drip.quant.linearalgebra.Matrix
Regularize the specified diagonal entry of the input matrix using Row Swapping
RegularVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Regular Volatility Currency Set
RegularVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Regular Volatility Currency Set
relativeTolerance() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
Retrieve the Relative Tolerance
RelativeValueMeasuresGeneration - Class in org.drip.sample.bond
RelativeValueMeasuresGeneration is a Bond RV Measures Generation Sample demonstrating the invocation and usage of Bond RV Measures functionality.
RelativeValueMeasuresGeneration() - Constructor for class org.drip.sample.bond.RelativeValueMeasuresGeneration
 
RelativeValueMetrics(String, int, int, double, int, String, String, int, String[], double[], String, double[], String, String[], double[], String, String, int[], int[], double[], double[], String, String, String[], double[], double[], String, double) - Static method in class org.drip.service.product.FixedBondAPI
Generate the Relative Value Metrics for the Specified Bond
relaxationTime() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
Retrieve the Relaxation Time
remove(Object) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
 
remove(Object) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
 
remove(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Remove the Latent State Fixing corresponding to the Date/Label Pair it if exists
remove(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
Remove the Latent State Fixing corresponding to the Date/Label Pair it if exists
removeAt(double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
Remove the Node at the specified Value
removeComponentQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
Remove the component quote
removeComponentQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
removeFixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.definition.ScenarioMarketParams
Remove the fixing corresponding to the given date and the Latent State Label
removeFixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Remove the Fixing corresponding to the Date/Label Pair it if exists
removeFixing(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Remove the Fixing corresponding to the Date/Label Pair it if exists
removeFixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
removeMarketQuote() - Method in class org.drip.param.definition.ProductQuote
Remove the market quote
removeMarketQuote() - Method in class org.drip.param.quote.ProductMultiMeasure
 
removeQuote(String) - Method in class org.drip.param.definition.ProductQuote
Remove the named Quote
removeQuote(String) - Method in class org.drip.param.quote.ProductMultiMeasure
 
removeScenarioCreditCurve(String) - Method in class org.drip.param.definition.ScenarioMarketParams
Removes the named scenario CC
removeScenarioCreditCurve(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
removeScenarioDiscountCurve(String) - Method in class org.drip.param.definition.ScenarioMarketParams
Remove the named scenario DC
removeScenarioDiscountCurve(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
removeTSYQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
Remove the named Treasury Quote
removeTSYQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
replicate() - Method in interface org.drip.spline.segment.BasisEvaluator
Clone/Replicate the current Basis Evaluator Instance
replicate() - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
replicationPortfolioVertex() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Retrieve the Replication Portfolio Vertex
ReplicationPortfolioVertex - Class in org.drip.xva.derivative
ReplicationPortfolioVertex contains the Dynamic Replicating Portfolio of the Pay-out using the Assets in the Economy, from the Dealer's View Point.
ReplicationPortfolioVertex(double, double, double, double, double) - Constructor for class org.drip.xva.derivative.ReplicationPortfolioVertex
ReplicationPortfolioVertex Constructor
ReplicationPortfolioVertexDealer - Class in org.drip.xva.derivative
ReplicationPortfolioVertexDealer holds the Dealer Senor/Subordinate Replication Portfolio.
ReplicationPortfolioVertexDealer(double, double) - Constructor for class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
ReplicationPortfolioVertexDealer Constructor
repo(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Repo Latent State
repo() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Repo Latent State Node Container
repo(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Repo
Repo - Class in org.drip.sample.securitysuite
Repo generates the Full Suite of Replication Metrics for a Sample Repo Instrument.
Repo() - Constructor for class org.drip.sample.securitysuite.Repo
 
repo(int) - Method in class org.drip.state.curve.BasisSplineRepoCurve
 
repo(int) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
 
repo(JulianDate) - Method in class org.drip.state.repo.RepoCurve
 
repo(String) - Method in class org.drip.state.repo.RepoCurve
 
repo(int) - Method in interface org.drip.state.repo.RepoEstimator
Calculate the Repo Rate to the given Date
repo(JulianDate) - Method in interface org.drip.state.repo.RepoEstimator
Calculate the Repo Rate to the given Date
repo(String) - Method in interface org.drip.state.repo.RepoEstimator
Calculate the Repo Rate to the given Tenor
RepoCurve - Class in org.drip.state.repo
RepoCurve is the Stub for the Re-purchase Rate between applicable to the Specified Entity.
RepoCurve(int, Component) - Constructor for class org.drip.state.repo.RepoCurve
 
RepoEstimator - Interface in org.drip.state.repo
RepoEstimator is the interface that exposes the calculation of the Repo Rate for a specified Entity.
repoExists(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Repo Latent State Exists
RepoLabel - Class in org.drip.state.identifier
RepoLabel contains the Identifier Parameters referencing the Latent State of the named Repo Curve.
RepoLabel(String) - Constructor for class org.drip.state.identifier.RepoLabel
RepoLabel constructor
repoMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Repo Evolver Map
repoRate() - Method in class org.drip.exposure.evolver.PrimarySecurity
Retrieve the Repo Rate
repoRepoCorrelation(RepoLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Correlation Surface between the Pair of Repo Latent States
repoState(RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Repo Latent State Corresponding to the Label
repoVolatility(RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Retrieve the Volatility Curve for the Repo Latent State Label
RequestResponseDecorator - Class in org.drip.service.engine
RequestResponseDecorator contains the Functionality behind the DRIP API Compute Service Engine Request and Response Header Fields Affixing/Decoration.
RequestResponseDecorator() - Constructor for class org.drip.service.engine.RequestResponseDecorator
 
reset() - Method in class org.drip.json.parser.JSONParser
Reset the parser to the initial state without resetting the underlying reader.
reset(Reader) - Method in class org.drip.json.parser.JSONParser
Reset the parser to the initial state with a new character reader.
reset() - Method in class org.drip.json.simple.ItemList
 
resetCoupon(double) - Method in class org.drip.product.credit.CDSComponent
Reset the CDS's coupon
resetCoupon(double) - Method in class org.drip.product.definition.CreditDefaultSwap
Reset the CDS's coupon
resetDate() - Method in class org.drip.analytics.output.CompositePeriodAccrualMetrics
Retrieve the Reset Date
resetDate() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Reset Date
resetNode(int, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
resetNode(int, SegmentResponseValueConstraint) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
resetNode(int, double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
resetNode(int, SegmentResponseValueConstraint) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
resetNode(int, double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Reset the Predictor Ordinate Node Index with the given Response
resetNode(int, SegmentResponseValueConstraint) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Reset the Predictor Ordinate Node Index with the given Segment Constraint
resetRate() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Reset Rate
resetStateIndexCursor() - Method in class org.drip.spaces.iterator.RdExhaustiveStateSpaceScan
 
resetStateIndexCursor() - Method in class org.drip.spaces.iterator.RdReceedingStateSpaceScan
 
resetStateIndexCursor() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
Reset and retrieve the State Index Cursor
RESIDUAL - Static variable in class org.drip.simm.credit.SectorSystemics
The "Residual" Sector
RESIDUAL_BUCKET_CORRELATION - Static variable in class org.drip.simm.equity.EQSystemics20
Residual Bucket Correlation
RESIDUAL_BUCKET_CORRELATION - Static variable in class org.drip.simm.equity.EQSystemics21
Residual Bucket Correlation
RESIDUAL_BUCKET_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics20
Residual Bucket - Risk Weight
RESIDUAL_BUCKET_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics21
Residual Bucket - Risk Weight
residualHolding() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
Retrieve the Residual Holdings induced by the Drift
residualReturn() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
Retrieve the Portfolio-to-Benchmark Residual Return
residualRisk() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
Retrieve the Portfolio-to-Benchmark Residual Risk
residualSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregate
Retrieve the Residual SBA Variance
residualSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
Retrieve the Residual SBA Variance
residualSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
Retrieve the Residual SBA Variance
response() - Method in class org.drip.spline.params.SegmentBestFitResponse
Retrieve the Array of Responses
response(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
Retrieve the Indexed Response Element
response() - Method in class org.drip.spline.params.StretchBestFitResponse
Retrieve the Array of Responses
response(int) - Method in class org.drip.spline.params.StretchBestFitResponse
Retrieve the Indexed Response Element
responseBasisCoefficient() - Method in class org.drip.spline.segment.LatentStateResponseModel
Retrieve the Array of Response Basis Coefficients
responseBasisCoeffWeights() - Method in class org.drip.spline.params.SegmentBasisFlexureConstraint
Retrieve the Array of the Response Basis Coefficient Weights
responseFunction() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
Retrieve the Response Function
responseIndexedBasisConstraint(BasisEvaluator, LatentStateInelastic) - Method in class org.drip.spline.params.SegmentResponseValueConstraint
Convert the Segment Constraint onto Local Predictor Ordinates, the corresponding Response Basis Function, and the Shape Controller Realizations
ResponseScalingShapeControl - Class in org.drip.spline.params
ResponseScalingShapeControl implements the segment level basis functions proportional adjustment to achieve the desired shape behavior of the response.
ResponseScalingShapeControl(boolean, R1ToR1) - Constructor for class org.drip.spline.params.ResponseScalingShapeControl
ResponseScalingShapeControl constructor
responseValue(double, double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
Compute the Bivariate Surface Response Value
responseValue(double, double) - Method in class org.drip.spline.multidimensional.WireSurfaceStretch
Compute the Bivariate Surface Response Value
responseValue() - Method in class org.drip.spline.params.SegmentPredictorResponseDerivative
Retrieve the Response Value
responseValue(double) - Method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
Calculate the Response Value given the Predictor Ordinate
responseValue(double[], double) - Method in interface org.drip.spline.segment.BasisEvaluator
Compute the Response Value at the specified Predictor Ordinate
responseValue(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
Calculate the Response Value at the given Predictor Ordinate
responseValue(double[], double) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
responseValue(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
responseValue(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
responseValue(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Calculate the Response Value at the given Predictor Ordinate
responseValueDerivative(double[], double, int) - Method in interface org.drip.spline.segment.BasisEvaluator
Compute the Response Value Derivative at the specified Predictor Ordinate
responseValueDerivative(double[], double, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
responseValueDerivative(double, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
responseValueDerivative(double, int) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
responseValueDerivative(double, int) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Calculate the Response Value Derivative at the given Predictor Ordinate for the specified order
responseValues() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
Retrieve the Array of the Calibration Response Values
responseValues() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
Retrieve the Array of Response Values
ResponseValueSensitivityConstraint - Class in org.drip.spline.params
SegmentResponseValueConstraint holds the SegmentBasisFlexureConstraint instances for the Base Calibration and one for each Manifest Measure Sensitivity.
ResponseValueSensitivityConstraint(SegmentResponseValueConstraint) - Constructor for class org.drip.spline.params.ResponseValueSensitivityConstraint
ResponseValueSensitivityConstraint constructor
responseWeights() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
Retrieve the Array of Response Weights at each Predictor Ordinate
restrictedSubsetCardinality(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
Compute the Cardinality for the Subset T (|x) that possesses the Specified Cover for the Restriction of the Input Function Class Family F (|x).
retainedEarnings() - Method in class org.drip.xva.basel.BalanceSheetVertex
Retrieve the Retained Earnings Account
retirementAge() - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Retrieve the Investor Retirement Age
retirementAgeConsumptionRate() - Method in class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
Retrieve the Retirement Age Consumption Rate
retirementIndicator(double) - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
Retrieve the Investor Retirement Indicator Flag corresponding to the specified Age
RETURNS_CONSTRAINT - Static variable in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
RETURNS_CONSTRAINT - The Mandatory Returns Constraint
ReturnsConstrained(double) - Static method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
Construct a Returns Constrained Instance of PortfolioEqualityConstraintSettings
ReturnsConstrainedAllocationClient - Class in org.drip.sample.service
ReturnsConstrainedAllocationClient demonstrates the Invocation and Examination of the JSON-based Weight Normalized/Returns Constrained Portfolio Allocation Service Client.
ReturnsConstrainedAllocationClient() - Constructor for class org.drip.sample.service.ReturnsConstrainedAllocationClient
 
ReturnsConstrainedAllocator(JSONObject) - Static method in class org.drip.json.assetallocation.PortfolioConstructionProcessor
JSON Based in/out Returns Constrained Mean Variance Allocation Thunker
ReturnsConstrainedVarianceMinimizer - Class in org.drip.sample.assetallocation
ReturnsConstrainedVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimizing Allocator with Weight Normalization Constraints and Design Returns Constraints.
ReturnsConstrainedVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.ReturnsConstrainedVarianceMinimizer
 
returnsConstraint(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
Retrieve the Mandatory Returns Constraint
returnsConstraint() - Method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
Retrieve the Returns Constraint
ReturnsTerm - Class in org.drip.portfolioconstruction.objective
ReturnsTerm holds the Details of the Portfolio Returns Based Objective Terms.
ReturnsTerm(String, String, String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.ReturnsTerm
 
Reverse(Portfolio, double[][], double) - Static method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
Construct an Instance of ForwardReverseOptimizationOutput from a Standard Reverse Optimize Operation
RevolvingUtilizationRate - Class in org.drip.assetbacked.borrower
RevolvingUtilizationRate contains the Borrower's Net Revolving Utilization Rate.
RevolvingUtilizationRate(double) - Constructor for class org.drip.assetbacked.borrower.RevolvingUtilizationRate
RevolvingUtilizationRate Constructor
rho() - Method in class org.drip.dynamics.hjm.G2PlusPlus
Retrieve Rho
rho() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Retrieve SABR Rho
rho() - Method in class org.drip.param.pricer.HestonOptionPricerParams
Retrieve Rho
rho() - Method in class org.drip.pricer.option.Greeks
The Option Rho
RIDDER - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Ridder's Method
Ridder(double, double, double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
Iterate for the next variate using Ridder's method
right() - Method in class org.drip.spline.bspline.TensionBasisHat
Retrieve the Right Predictor Ordinate
right() - Method in class org.drip.spline.grid.AggregatedSpan
 
right() - Method in class org.drip.spline.grid.OverlappingStretchSpan
 
right() - Method in interface org.drip.spline.grid.Span
Retrieve the Right Span Edge
right() - Method in class org.drip.spline.segment.LatentStateInelastic
Retrieve the Segment Right Predictor Ordinate
RIGHT_INCLUDE - Static variable in class org.drip.analytics.date.DateUtil
RIGHT_INCLUDE includes the end date in the Feb29 check
RIGHT_NODE_VALUE_PARAMETER_INDEX - Static variable in class org.drip.spline.segment.LatentStateResponseModel
RIGHT NODE VALUE PARAMETER INDEX
RIGHT_OF_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
Indicator specifying that the knot is to the right of the constraint ordinates
rightChild() - Method in class org.drip.spaces.big.BinaryTree
Retrieve the Right Child BinaryTree Instance
rightDerivOrder() - Method in class org.drip.spline.stretch.BoundarySettings
Retrieve the Order of the Right Derivative
rightDimensionEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
 
rightDimensionEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
 
rightDimensionEdge() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
Retrieve the Array of the Variate Right Edges
rightEdge() - Method in class org.drip.measure.continuous.R1Multivariate
Retrieve the Right Edge Bounding Multivariate
rightEdge() - Method in class org.drip.measure.lebesgue.R1Uniform
Retrieve the Right Predictor Ordinate Edge
rightEdge() - Method in interface org.drip.spaces.tensor.GeneralizedVector
Retrieve the Right Edge
rightEdge() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
rightEdge() - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
rightEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
 
rightEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
 
rightEdgeDeriv() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
Retrieve the Array of the Right Edge Derivatives
RightHatShapeControl - Class in org.drip.spline.bspline
RightHatShapeControl implements the BasisHatShapeControl interface for the right hat basis set as laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
RightHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.RightHatShapeControl
RightHatShapeControl constructor
rightHoldings() - Method in class org.drip.execution.discrete.Slice
Retrieve the Right Holdings
rightHoldingsDerivative(double, double, int) - Method in class org.drip.execution.impact.TransactionFunction
Compute the Sensitivity to the Right Holdings
RightInfinite(R1ToR1, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Integrate the specified Function Numerically from the specified Left Limit to +infinity
rightMostChild() - Method in class org.drip.spaces.big.BinaryTree
Retrieve the Right Most Child
rightPillar() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
Retrieve the Right Pillar Vertex
rightPillar() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
Retrieve the Right Pillar Vertex
rightPillarLocalVolatility() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
Retrieve the Right Pillar Local Volatility
rightPillarLocalVolatility() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
Retrieve the Right Pillar Local Volatility
riskAversion() - Method in class org.drip.execution.risk.MeanVarianceObjectiveUtility
Retrieve the Risk Aversion Parameter
riskAversion() - Method in class org.drip.execution.risk.PowerVarianceObjectiveUtility
Retrieve the Risk Aversion Parameter
riskAversion() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
Retrieve the Risk Aversion Factor
RiskAversion(double) - Static method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance
riskAversion() - Method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
Retrieve the Risk Aversion Factor
riskAversion() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
Retrieve the Risk Aversion Coefficient
RiskClassAggregate - Class in org.drip.simm.margin
RiskClassAggregate holds the Bucket Aggregate and the Computed SIMM Margin for a single Risk Class.
RiskClassAggregate(RiskMeasureAggregate, RiskMeasureAggregate, RiskMeasureAggregate) - Constructor for class org.drip.simm.margin.RiskClassAggregate
RiskClassAggregate Constructor
RiskClassAggregateCR - Class in org.drip.simm.margin
RiskClassAggregateCR holds the CR Bucket Aggregate and the Computed SIMM Margin for a single Risk Class.
RiskClassAggregateCR(RiskMeasureAggregateCR, RiskMeasureAggregateCR, RiskMeasureAggregateCR) - Constructor for class org.drip.simm.margin.RiskClassAggregateCR
RiskClassAggregateCR Constructor
RiskClassAggregateIR - Class in org.drip.simm.margin
RiskClassAggregateIR holds the Bucket Aggregate and the Computed SIMM Margin for the IR Risk Class.
RiskClassAggregateIR(RiskMeasureAggregateIR, RiskMeasureAggregateIR, RiskMeasureAggregateIR) - Constructor for class org.drip.simm.margin.RiskClassAggregateIR
RiskClassAggregateIR Constructor
RiskClassSensitivity - Class in org.drip.simm.product
RiskClassSensitivity holds the Risk Class Bucket Sensitivities for a single Risk Class.
RiskClassSensitivity(RiskMeasureSensitivity, RiskMeasureSensitivity, RiskMeasureSensitivity) - Constructor for class org.drip.simm.product.RiskClassSensitivity
RiskClassSensitivity Constructor
RiskClassSensitivityCR - Class in org.drip.simm.product
RiskClassSensitivityCR holds the Risk Class Bucket Sensitivities for a single CR Class.
RiskClassSensitivityCR(RiskMeasureSensitivityCR, RiskMeasureSensitivityCR, RiskMeasureSensitivityCR) - Constructor for class org.drip.simm.product.RiskClassSensitivityCR
RiskClassSensitivityCR Constructor
RiskClassSensitivityIR - Class in org.drip.simm.product
RiskClassSensitivityIR holds the Risk Class Bucket Sensitivities for a single IR Class.
RiskClassSensitivityIR(RiskMeasureSensitivityIR, RiskMeasureSensitivityIR, RiskMeasureSensitivityIR) - Constructor for class org.drip.simm.product.RiskClassSensitivityIR
RiskClassSensitivityIR Constructor
RiskClassSensitivitySettings - Class in org.drip.simm.parameters
RiskClassSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Risk Class Buckets.
RiskClassSensitivitySettings(RiskMeasureSensitivitySettings, RiskMeasureSensitivitySettings, RiskMeasureSensitivitySettings) - Constructor for class org.drip.simm.parameters.RiskClassSensitivitySettings
RiskClassSensitivitySettings Constructor
RiskClassSensitivitySettingsCR - Class in org.drip.simm.parameters
RiskClassSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual CR Risk Class Buckets.
RiskClassSensitivitySettingsCR(RiskMeasureSensitivitySettingsCR, RiskMeasureSensitivitySettingsCR, RiskMeasureSensitivitySettingsCR) - Constructor for class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
RiskClassSensitivitySettingsCR Constructor
RiskClassSensitivitySettingsIR - Class in org.drip.simm.parameters
RiskClassSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual IR Risk Class Buckets.
RiskClassSensitivitySettingsIR(RiskMeasureSensitivitySettingsIR, RiskMeasureSensitivitySettingsIR, RiskMeasureSensitivitySettingsIR) - Constructor for class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
RiskClassSensitivitySettingsIR Constructor
riskFactorAggregate() - Method in class org.drip.simm.margin.BucketAggregateCR
Retrieve the CR Risk Factor Aggregate
riskFactorAggregate() - Method in class org.drip.simm.margin.BucketAggregateIR
Retrieve the IR Risk Factor Aggregate
RiskFactorAggregate - Class in org.drip.simm.margin
RiskFactorAggregate holds the Weighted and Normalized Bucket Risk Factor Sensitivity along with the Normalization Factors.
RiskFactorAggregate(double, double) - Constructor for class org.drip.simm.margin.RiskFactorAggregate
RiskFactorAggregate Constructor
RiskFactorAggregateCR - Class in org.drip.simm.margin
RiskFactorAggregateCR holds the Sensitivity Margin Aggregates for each of the CR Risk Factors - both Qualifying and Non-qualifying.
RiskFactorAggregateCR(Map<String, Map<String, Double>>, double) - Constructor for class org.drip.simm.margin.RiskFactorAggregateCR
RiskFactorAggregateCR Constructor
RiskFactorAggregateIR - Class in org.drip.simm.margin
RiskFactorAggregateIR holds the Sensitivity Margin Aggregates for each of the IR Risk Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL.
RiskFactorAggregateIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, double) - Constructor for class org.drip.simm.margin.RiskFactorAggregateIR
RiskFactorAggregateIR Constructor
riskFactorAggregateMap() - Method in class org.drip.simm.margin.BucketAggregate
Retrieve the Risk Factor Aggregate Map
riskFactorSensitivityMap() - Method in class org.drip.simm.product.BucketSensitivity
Retrieve the Map of Risk Factor Sensitivities
RiskFactorTenorSensitivity - Class in org.drip.simm.product
RiskFactorTenorSensitivity holds the ISDA SIMM 2.0 Risk Factor Tenor Bucket Sensitivities.
RiskFactorTenorSensitivity(Map<String, Double>) - Constructor for class org.drip.simm.product.RiskFactorTenorSensitivity
RiskFactorTenorSensitivity Constructor
RiskFactorThresholdContainer - Class in org.drip.simm.common
RiskFactorThresholdContainer holds the ISDA SIMM 2.0 Risk Factor Thresholds - the Concentration Limits for Interest Rate, Credit Spread, Equity, Commodity, and FX Risk Factors.
RiskFactorThresholdContainer() - Constructor for class org.drip.simm.common.RiskFactorThresholdContainer
 
riskFreeRate() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
Retrieve the Risk Free Rate
riskFreeRate() - Method in class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
Retrieve the Risk Free Rate
riskFreeRate() - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
Retrieve the Risk-Free Rate
riskFreeRate() - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Retrieve the Risk Free Rate
RiskGroupPrincipalCovariance - Class in org.drip.simm.foundation
RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance.
RiskGroupPrincipalCovariance(EigenComponent, double) - Constructor for class org.drip.simm.foundation.RiskGroupPrincipalCovariance
RiskGroupPrincipalCovariance Constructor
RiskMeasureAggregate - Class in org.drip.simm.margin
RiskMeasureAggregate holds the Bucket Aggregate and the Computed SIMM Margin for a single Risk Measure.
RiskMeasureAggregate(Map<String, BucketAggregate>, double, double) - Constructor for class org.drip.simm.margin.RiskMeasureAggregate
RiskMeasureAggregate Constructor
RiskMeasureAggregateCR - Class in org.drip.simm.margin
RiskMeasureAggregateCR holds the CR Bucket Aggregate and the Computed SIMM Margin for a single Risk Measure.
RiskMeasureAggregateCR(Map<String, BucketAggregateCR>, double, double) - Constructor for class org.drip.simm.margin.RiskMeasureAggregateCR
RiskMeasureAggregateCR Constructor
RiskMeasureAggregateIR - Class in org.drip.simm.margin
RiskMeasureAggregateIR holds the Bucket Aggregate and the Computed SIMM Margin for the IR Risk Measure.
RiskMeasureAggregateIR(Map<String, BucketAggregateIR>, double, double) - Constructor for class org.drip.simm.margin.RiskMeasureAggregateIR
RiskMeasureAggregateIR Constructor
RiskMeasureSensitivity - Class in org.drip.simm.product
RiskMeasureSensitivity holds the Risk Class Bucket Sensitivities for a single Risk Measure.
RiskMeasureSensitivity(Map<String, BucketSensitivity>) - Constructor for class org.drip.simm.product.RiskMeasureSensitivity
RiskMeasureSensitivity Constructor
RiskMeasureSensitivityCR - Class in org.drip.simm.product
RiskMeasureSensitivityCR holds the Risk Class Bucket Sensitivities for the CR Risk Measure.
RiskMeasureSensitivityCR(Map<String, BucketSensitivityCR>) - Constructor for class org.drip.simm.product.RiskMeasureSensitivityCR
RiskMeasureSensitivityCR Constructor
RiskMeasureSensitivityIR - Class in org.drip.simm.product
RiskMeasureSensitivityIR holds the Risk Class Bucket Sensitivities for the IR Risk Measure.
RiskMeasureSensitivityIR(Map<String, BucketSensitivityIR>) - Constructor for class org.drip.simm.product.RiskMeasureSensitivityIR
RiskMeasureSensitivityIR Constructor
RiskMeasureSensitivitySettings - Class in org.drip.simm.parameters
RiskMeasureSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual Risk Measure Buckets.
RiskMeasureSensitivitySettings(Map<String, BucketSensitivitySettings>, LabelCorrelation) - Constructor for class org.drip.simm.parameters.RiskMeasureSensitivitySettings
RiskMeasureSensitivitySettings Constructor
RiskMeasureSensitivitySettingsCR - Class in org.drip.simm.parameters
RiskMeasureSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual CR Class Risk Measure Buckets.
RiskMeasureSensitivitySettingsCR(Map<String, BucketSensitivitySettingsCR>, LabelCorrelation) - Constructor for class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
RiskMeasureSensitivitySettingsCR Constructor
RiskMeasureSensitivitySettingsIR - Class in org.drip.simm.parameters
RiskMeasureSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual IR Class Risk Measure Buckets.
RiskMeasureSensitivitySettingsIR(Map<String, BucketSensitivitySettingsIR>, LabelCorrelation) - Constructor for class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
RiskMeasureSensitivitySettingsIR Constructor
riskModel() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Risk Model
riskObjectiveUtility(String[], AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
Retrieve the Custom Risk Objective Utility Multivariate
RiskObjectiveUtilityMultivariate - Class in org.drip.function.rdtor1
RiskObjectiveUtilityMultivariate implements the Risk Objective R^d To R^1 Multivariate Function used in Portfolio Allocation.
RiskObjectiveUtilityMultivariate(double[][], double[], double, double, double) - Constructor for class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
RiskObjectiveUtilityMultivariate Constructor
RiskTerm - Class in org.drip.portfolioconstruction.objective
RiskTerm holds the Details of the Portfolio Risk Objective Term.
RiskTerm(String, String, String, double[], double[][], double[]) - Constructor for class org.drip.portfolioconstruction.objective.RiskTerm
 
riskTolerance() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
Retrieve the Risk Tolerance Factor
riskTolerance() - Method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
Retrieve the Risk Tolerance Factor
RiskTolerant(double) - Static method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance
RiskTolerantVarianceMinimizer - Class in org.drip.sample.assetallocation
RiskTolerantVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimization with a Fully Invested Constraint on a Risk Tolerance Objective Function.
RiskTolerantVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.RiskTolerantVarianceMinimizer
 
RiskUtilitySettingsEstimator - Class in org.drip.portfolioconstruction.allocator
RiskUtilitySettingsEstimator contains Utility Functions that help estimate the CustomRiskUtilitySettings Inputs Parameters.
RiskUtilitySettingsEstimator() - Constructor for class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
 
riskWeight() - Method in class org.drip.simm.credit.CRBucket
Retrieve the Risk Weight
riskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettings
 
riskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettings
Retrieve the Bucket Risk Factor Weight
riskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettings
 
RiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the IR Risk Weight for the specified Currency
RiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the IR Risk Weight for the specified Currency
RiskWeight() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Interest Rate Risk Weight Term Structure based on the Volatility Type
RiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the IR Risk Weight for the specified Currency
RiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the IR Risk Weight for the specified Currency
RiskWeight() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Interest Rate Risk Weight Term Structure based on the Volatility Type
Rizhao - Class in org.drip.sample.bondeos
Rizhao demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Rizhao.
Rizhao() - Constructor for class org.drip.sample.bondeos.Rizhao
 
rkhsFeatureMap() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
Retrieve the Feature Map Space represented via the Reproducing Kernel Hilbert Space
rkhsFeatureParallelepipedLength() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
Retrieve the RKHS Feature Map Parallelepiped Agnostic Upper Bound Length
RMBS_CMBS - Static variable in class org.drip.simm.credit.SectorSystemics
The RMBS/CMBS Sector
RobustErrorTerm - Class in org.drip.portfolioconstruction.objective
RobustErrorTerm optimizes the Error in the Target Expected Absolute Return of the Portfolio on the Absence of Benchmark, and the Error in the Benchmark-Adjusted Returns Otherwise.
RobustErrorTerm(String, double[], double[], double[][], double[][], double[]) - Constructor for class org.drip.portfolioconstruction.objective.RobustErrorTerm
RobustErrorTerm Constructor
Rohtak - Class in org.drip.sample.securitysuite
Rohtak generates the Full Suite of Replication Metrics for Bond Rohtak.
Rohtak() - Constructor for class org.drip.sample.securitysuite.Rohtak
 
roll(int) - Method in class org.drip.analytics.daycount.DateAdjustParams
Roll the given Date
RollDate(int, int, String, int) - Static method in class org.drip.analytics.daycount.Convention
Roll the given Date in accordance with the Roll Mode and the Calendar Set
rollDown() - Method in class org.drip.historical.attribution.PositionManifestMeasureSnap
Retrieve the Manifest Measure Roll Down
rollDownFairPremium() - Method in class org.drip.historical.attribution.CDSMarketSnap
Retrieve the Roll Down Fair Premium
rollDownMarketParameters() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the Map of the Roll Down Market Parameters
rollDownMeasureMap() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Generate the Map of the Roll Down Market Quote Metrics
rollDownMeasureMap() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
 
RollerCoasterSwap - Class in org.drip.sample.fixfloat
RollerCoasterSwap demonstrates the construction and Valuation of In-Advance Roller-Coaster Swap.
RollerCoasterSwap() - Constructor for class org.drip.sample.fixfloat.RollerCoasterSwap
 
rollHoliday(int, boolean, Weekend) - Static method in class org.drip.analytics.eventday.Base
Roll the date to a non-holiday according to the rule specified
rollingHorizon(MarketState[]) - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Generate the Continuous Coordinated Variation Rolling Horizon Trajectory
RollingHorizonOptimalHoldings - Class in org.drip.sample.almgren2012
RollingHorizonOptimalHoldings simulates the Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
RollingHorizonOptimalHoldings() - Constructor for class org.drip.sample.almgren2012.RollingHorizonOptimalHoldings
 
RollingHorizonOptimalTradeRate - Class in org.drip.sample.almgren2012
RollingHorizonOptimalTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
RollingHorizonOptimalTradeRate() - Constructor for class org.drip.sample.almgren2012.RollingHorizonOptimalTradeRate
 
rollMode() - Method in class org.drip.analytics.daycount.DateAdjustParams
Retrieve the Roll Mode
RotationCountPhaseTracker - Class in org.drip.quant.fourier
RotationCountPhaseTracker implements the standard technique to preserve the trajectory along the principal branch in multi-valued complex operations.
RotationCountPhaseTracker() - Constructor for class org.drip.quant.fourier.RotationCountPhaseTracker
Empty RotationCountPhaseTracker constructor - Initialize to "NO ROTATION COUNT"
Rourkela - Class in org.drip.sample.bondmetrics
Rourkela demonstrates the Analytics Calculation/Reconciliation for the Bond Rourkela.
Rourkela() - Constructor for class org.drip.sample.bondmetrics.Rourkela
 
rsg() - Method in class org.drip.dynamics.hjm.G2PlusPlus
Retrieve the Random Sequence Generator Array
rsg() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Retrieve the Random Sequence Generator
RUBHoliday - Class in org.drip.analytics.holset
 
RUBHoliday() - Constructor for class org.drip.analytics.holset.RUBHoliday
 
Rugao - Class in org.drip.sample.bondeos
Rugao demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Rugao.
Rugao() - Constructor for class org.drip.sample.bondeos.Rugao
 
RURHoliday - Class in org.drip.analytics.holset
 
RURHoliday() - Constructor for class org.drip.analytics.holset.RURHoliday
 
RX1 - Class in org.drip.sample.treasuryfuturesapi
RX1 demonstrates the Invocation and Examination of the RX1 10Y DBR BUND Treasury Futures.
RX1() - Constructor for class org.drip.sample.treasuryfuturesapi.RX1
 
RX1Attribution - Class in org.drip.sample.treasuryfuturespnl
RX1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the RX1 Series.
RX1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.RX1Attribution
 
RX1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
RX1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated RX1 Closes Feed.
RX1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.RX1ClosesReconstitutor
 
RX1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
RX1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the RX1 Treasury Futures.
RX1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.RX1KeyRateDuration
 

S

s_astrDepositTenor - Static variable in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
The Standard Deposit Maturity Tenors
s_astrFixFloatTenor - Static variable in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
The Standard Fix Float Maturity Tenors
s_astrMaturityTenor - Static variable in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
The Standard Overnight Swap Maturity Tenors
s_astrOutputBenchmarkTenor - Static variable in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
The Standard Treasury Market Yield Re-constitution Benchmark Tenors
s_bPostBoundBlog - Static variable in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Flag Indicating whether the Variate Contents are to be Logged "After" Bounding
s_bPreBoundBlog - Static variable in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Flag Indicating whether the Variate Contents are to be Logged "Before" Bounding
s_bVerifierIncrementBlog - Static variable in class org.drip.function.rdtor1solver.FixedRdFinder
Flag Indicating whether the Verifier Increment Metrics are to be Traced
s_dblScaler - Static variable in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
The Standard Funding Input Calibration Manifest Measure Scaler
s_dblScaler - Static variable in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
The Standard Treasury Input Calibration Manifest Measure Scaler
s_dblScaler - Static variable in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
The Standard Overnight Input Calibration Manifest Measure Scaler
S_END - Static variable in class org.drip.json.parser.JSONParser
 
S_IN_ARRAY - Static variable in class org.drip.json.parser.JSONParser
 
S_IN_ERROR - Static variable in class org.drip.json.parser.JSONParser
 
S_IN_FINISHED_VALUE - Static variable in class org.drip.json.parser.JSONParser
 
S_IN_OBJECT - Static variable in class org.drip.json.parser.JSONParser
 
S_IN_PAIR_VALUE - Static variable in class org.drip.json.parser.JSONParser
 
S_INIT - Static variable in class org.drip.json.parser.JSONParser
 
S_PASSED_PAIR_KEY - Static variable in class org.drip.json.parser.JSONParser
 
s_strCalibrationMeasure - Static variable in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
The Standard Treasury Input Calibration Manifest Measure
SABRLIBORCapVolatility - Class in org.drip.function.r1tor1
SABRLIBORCapVolatility implements the Deterministic, Non-local Cap Volatility Scheme detailed in: - Rebonato, R., K.
SABRLIBORCapVolatility(double, double, double, double, double) - Constructor for class org.drip.function.r1tor1.SABRLIBORCapVolatility
SABRLIBORCapVolatility Constructor
Saharanpur - Class in org.drip.sample.bondsink
Saharanpur generates the Full Suite of Replication Metrics for the Sinker Bond Saharanpur.
Saharanpur() - Constructor for class org.drip.sample.bondsink.Saharanpur
 
Salem - Class in org.drip.sample.bondsink
Salem generates the Full Suite of Replication Metrics for the Sinker Bond Salem.
Salem() - Constructor for class org.drip.sample.bondsink.Salem
 
Sambalpur - Class in org.drip.sample.loan
Sambalpur demonstrates the Analytics Calculation/Reconciliation for the Loan Sambalpur.
Sambalpur() - Constructor for class org.drip.sample.loan.Sambalpur
 
SAME_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Regular Bucket
SAME_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Regular Bucket
SAME_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Residual Bucket
SAME_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Residual Bucket
SameSign(double[]) - Static method in class org.drip.quant.common.NumberUtil
Check if the specified array contains elements all of the same sign
sampleCoefficient() - Method in class org.drip.learning.bound.CoveringNumberLossBound
Retrieve the Sample Coefficient Function
sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
Estimate for the Scale-Sensitive Sample Covering Number for the specified Cover Size
sampleCoveringNumber(GeneralizedValidatedVector, double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Scale-Sensitive Sample Covering Number Array for the specified Cover Size
sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Scale-Sensitive Sample Covering Number Array for the specified Cover Size
sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Sample Covering Number
sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Sample Covering Number Array
sampleMetricCoveringBounds(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Maurey Covering Number Upper Bounds for Operator Sample Metric Norm
sampleMetricEntropyNorm(GeneralizedValidatedVector, GeneralizedValidatedVector, int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Sample Metric Carl-Stephani Entropy Number Upper Bound using either the Metric/Supremum Population Norm
sampleMetricEntropyNumber(GeneralizedValidatedVector, GeneralizedValidatedVector, int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Upper Bound for the Entropy Number of the Operator Sample Metric Covering Number Convolution Product across both the Function Classes
sampleMetricNorm(double) - Method in class org.drip.spaces.metric.R1Combinatorial
 
sampleMetricNorm(double) - Method in class org.drip.spaces.metric.R1Continuous
 
sampleMetricNorm(double) - Method in interface org.drip.spaces.metric.R1Normed
Compute the Metric Norm of the Sample
sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialHilbert
 
sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdContinuousBanach
 
sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdContinuousHilbert
 
sampleMetricNorm(double[]) - Method in interface org.drip.spaces.metric.RdNormed
Compute the Metric Norm of the Sample
sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
 
sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
 
sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Sample Metric Norm
sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
 
sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
 
sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Sample Metric Norm Array
sampleRdMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Compute the Sample R^d Metric Norm
sampleRdSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Compute the Sample R^d Supremum Norm
sampleSize() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
Retrieve the Sample Size
sampleSize() - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
Retrieve the Sample Size
sampleSize() - Method in interface org.drip.spaces.instance.GeneralizedValidatedVector
Retrieve the Sample Size
sampleSize() - Method in class org.drip.spaces.instance.ValidatedR1
 
sampleSize() - Method in class org.drip.spaces.instance.ValidatedRd
 
sampleSizeLowerBound(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
Compute the Minimum Sample Size required to Estimate the Cardinality corresponding to the Specified Cover
sampleSupremumCoveringBounds(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Compute the Maurey Covering Number Upper Bounds for Operator Sample Supremum Norm
sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
Estimate for the Scale-Sensitive Sample Supremum Covering Number for the specified Cover Size
sampleSupremumCoveringNumber(GeneralizedValidatedVector, double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Scale-Sensitive Sample Supremum Covering Number for the specified Cover Size
sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
Estimate for the Scale-Sensitive Sample Supremum Covering Number for the specified Cover Size
sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Sample Supremum Covering Number
sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Sample Supremum Covering Number Array
sampleSupremumEntropyNorm(GeneralizedValidatedVector, GeneralizedValidatedVector, int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Sample Supremum Carl-Stephani Entropy Number Upper Bound using either the Metric/Supremum Population Norm
sampleSupremumEntropyNumber(GeneralizedValidatedVector, GeneralizedValidatedVector, int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
Compute the Upper Bound for the Entropy Number of the Operator Sample Supremum Covering Number Convolution Product across both the Function Classes
sampleSupremumNorm(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialBanach
 
sampleSupremumNorm(double[]) - Method in class org.drip.spaces.metric.RdContinuousBanach
 
sampleSupremumNorm(double[]) - Method in interface org.drip.spaces.metric.RdNormed
Compute the Supremum Norm of the Sample
sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
 
sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
 
sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
Retrieve the Sample Supremum Norm
sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
 
sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
 
sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
Retrieve the Sample Supremum Norm Array
SangliMirajKhupwad - Class in org.drip.sample.bondmetrics
SangliMirajKhupwad demonstrates the Analytics Calculation/Reconciliation for the Bond SangliMirajKhupwad.
SangliMirajKhupwad() - Constructor for class org.drip.sample.bondmetrics.SangliMirajKhupwad
 
SARHoliday - Class in org.drip.analytics.holset
 
SARHoliday() - Constructor for class org.drip.analytics.holset.SARHoliday
 
Satara - Class in org.drip.sample.loan
Satara demonstrates the Analytics Calculation/Reconciliation for the Loan Satara.
Satara() - Constructor for class org.drip.sample.loan.Satara
 
SATURDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Saturday
sba() - Method in class org.drip.simm.margin.RiskMeasureAggregate
Retrieve the SBA Based Margin
sba() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
Retrieve the SBA Based Margin
sba() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
Retrieve the Total SBA Margin
scale(double) - Method in class org.drip.quant.calculus.WengertJacobian
Scale the partial entries
Scale(ComplexNumber, double) - Static method in class org.drip.quant.fourier.ComplexNumber
Scale the Complex Number with the factor
Scale1D(double[], double) - Static method in class org.drip.quant.linearalgebra.Matrix
Scale the Entries of the Input Vector by the Factor
Scale2D(double[][], double) - Static method in class org.drip.quant.linearalgebra.Matrix
Scale the Entries of the Input Matrix by the Factor
scaledCoveringNumberBounds(DiagonalScalingOperator) - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
Generate the Operator Class Covering Number Bounds of the RKHS Feature Space Bounds that result on the Application of the Diagonal Scaling Operator
scaledNonDimensionalTradeRate() - Method in class org.drip.execution.adaptive.CoordinatedVariationDynamic
Retrieve the Array of the Scaled Non Dimensional Trade Rate
scaledPrincipalEigenvector() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
Retrieve the Scaled Principal Eigen-vector
scaler() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
Retrieve the Diagonal Scaling Multiplier Array
ScaleSensitiveCoveringBounds - Class in org.drip.spaces.cover
ScaleSensitiveCoveringBounds implements the Lower/Upper Bounds for the General Class of Functions in terms of their scale-sensitive dimensions (i.e., the fat shattering coefficients).
ScaleSensitiveCoveringBounds(R1ToR1, int) - Constructor for class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
ScaleSensitiveCoveringBounds Constructor
scaleSensitiveCoveringBounds(GeneralizedValidatedVector, R1ToR1) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
Retrieve the Scale-Sensitive Covering Number Upper/Lower Bounds given the Specified Sample for the Function Class
ScaleSensitiveFunction - Class in org.drip.sample.coveringnumber
ScaleSensitiveFunction demonstrates Computation of the Restricted Covers, Restricted Probability Bounds, the Lower Bounds, and the Upper Bounds for Functions that are absolutely Bounded.
ScaleSensitiveFunction() - Constructor for class org.drip.sample.coveringnumber.ScaleSensitiveFunction
 
scalingNumeraire(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
Retrieve the Scaling Numeraire
ScalingNumeraire - Class in org.drip.exposure.evolver
ScalingNumeraire holds Parameters that guide the Diffusion of a Scaling Numeraire.
ScalingNumeraire(DiffusionEvolver) - Constructor for class org.drip.exposure.evolver.ScalingNumeraire
ScalingNumeraire Constructor
scalingNumeraireExists(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
Indicate if the Scaling Numeraire Exists
scalingNumeraireMap() - Method in class org.drip.exposure.evolver.DynamicsContainer
Retrieve the Scaling Numeraire Evolver Dynamics Settings Map
scbcContinuousForwardIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Instantaneous Continuously Compounded Forward Rate Increment Segment Custom Builder Control Instance
scbcDiscountFactor() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Discount Factor Segment Custom Builder Control Instance
scbcDiscountFactorIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Discount Factor Increment Segment Custom Builder Control Instance
scbcInstantaneousEffectiveForward() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Instantaneous Effective Annual Forward Rate Increment Segment Custom Builder Control Instance
scbcInstantaneousNominalForward() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Instantaneous Nominal Annual Forward Rate Increment Segment Custom Builder Control Instance
scbcLIBOR() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the LIBOR Curve Segment Custom Builder Control Instance
scbcLIBORIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the LIBOR Increment Segment Custom Builder Control Instance
scbcSpotRateIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Spot Rate Increment Segment Custom Builder Control Instance
sccq() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the SCCQ Constraint Qualifier
ScenarioBasisCurveBuilder - Class in org.drip.state.creator
ScenarioBasisCurveBuilder implements the construction of the scenario basis curve using the input instruments and their quotes.
ScenarioBasisCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioBasisCurveBuilder
 
ScenarioCreditCurveBuilder - Class in org.drip.state.creator
ScenarioCreditCurveBuilder implements the construction of the custom Scenario based credit curves.
ScenarioCreditCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioCreditCurveBuilder
 
scenarioCreditCurveMap() - Method in class org.drip.param.definition.ScenarioMarketParams
Retrieve the Map of ScenarioCreditCurve Instances
scenarioCreditCurveMap() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
ScenarioDeterministicVolatilityBuilder - Class in org.drip.state.creator
ScenarioDeterministicVolatilityBuilder implements the construction of the basis spline deterministic volatility term structure using the input instruments and their quotes.
ScenarioDeterministicVolatilityBuilder() - Constructor for class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
 
ScenarioDiscountCurveBuilder - Class in org.drip.state.creator
ScenarioDiscountCurveBuilder implements the the construction of the scenario discount curve using the input discount curve instruments, and a wide variety of custom builds.
ScenarioDiscountCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioDiscountCurveBuilder
 
scenarioDiscountCurveMap() - Method in class org.drip.param.definition.ScenarioMarketParams
Retrieve the Map of DiscountCurveScenarioContainer Instances
scenarioDiscountCurveMap() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
ScenarioForwardCurveBuilder - Class in org.drip.state.creator
ScenarioForwardCurveBuilder implements the the construction of the scenario Forward curve using the input discount curve instruments, and a wide variety of custom builds.
ScenarioForwardCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioForwardCurveBuilder
 
ScenarioFXCurveBuilder - Class in org.drip.state.creator
ScenarioFXCurveBuilder implements the construction of the scenario FX Curve using the input FX Curve instruments.
ScenarioFXCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioFXCurveBuilder
 
ScenarioGovvieCurveBuilder - Class in org.drip.state.creator
ScenarioGovvieCurveBuilder implements the Construction of the Scenario Govvie Curve using the Input Govvie Curve Instruments.
ScenarioGovvieCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioGovvieCurveBuilder
 
ScenarioLocalVolatilityBuilder - Class in org.drip.state.creator
ScenarioLocalVolatilityBuilder implements the construction of the Local Volatility surface using the input option instruments, their Call Prices, and a wide variety of custom build schemes.
ScenarioLocalVolatilityBuilder() - Constructor for class org.drip.state.creator.ScenarioLocalVolatilityBuilder
 
ScenarioMarketParams - Class in org.drip.param.definition
ScenarioMarketParams is the place holder for the comprehensive suite of the market set of curves for the given date.
ScenarioMarketParams() - Constructor for class org.drip.param.definition.ScenarioMarketParams
 
scenarioMarketParams(String) - Method in class org.drip.param.definition.ScenarioMarketParams
Retrieve the Named Scenario Market Parameters
scenarioMarketParams(Component, String) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Market Parameters corresponding to the component and the scenario
scenarioMarketParams(BasketProduct, String) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the Market Parameters for the given basket product and the scenario
scenarioMarketParams(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
scenarioMarketParams(Component, String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
scenarioMarketParams(BasketProduct, String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
ScenarioMarketSurfaceBuilder - Class in org.drip.state.creator
ScenarioMarketSurfaceBuilder implements the construction of the scenario market Node surface using the input option instruments, their quotes, and a wide variety of custom builds
ScenarioMarketSurfaceBuilder() - Constructor for class org.drip.state.creator.ScenarioMarketSurfaceBuilder
 
ScenarioRepoCurveBuilder - Class in org.drip.state.creator
ScenarioRepoCurveBuilder implements the Construction of the Scenario Repo Curve using the Input Instruments and their Quotes.
ScenarioRepoCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioRepoCurveBuilder
 
ScenarioTermStructureBuilder - Class in org.drip.state.creator
ScenarioTermStructureBuilder implements the construction of the basis spline term structure using the input instruments and their quotes.
ScenarioTermStructureBuilder() - Constructor for class org.drip.state.creator.ScenarioTermStructureBuilder
 
scheme() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
Retrieve the Ornstein-Uhlenbeck Generator Scheme Parameters
scope() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
Retrieve the Constraint Scope
Scope - Class in org.drip.portfolioconstruction.optimizer
Scope holds the Applicability "Zone" for a given Constraint Term.
Scope(int) - Constructor for class org.drip.portfolioconstruction.optimizer.Scope
Scope Constructor
scopingDistribution() - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
Retrieve the Scoping Distribution
scopingLoading() - Method in class org.drip.measure.bayesian.ProjectionDistributionLoading
Retrieve the Matrix of the Scoping Loadings
ScopingProjectionVariateDistribution - Class in org.drip.measure.bayesian
ScopingProjectionVariateContainer holds the Scoping Variate Distribution, the Projection Variate Distributions, and the Projection Variate Loadings based off of the Scoping Variates.
ScopingProjectionVariateDistribution(R1Multivariate) - Constructor for class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
ScopingProjectionVariateDistribution Constructor
score() - Method in class org.drip.assetbacked.borrower.OriginationFICO
Retrieve the Borrower's FICO Score at Origination
SEARCH_HARD_BRACKETS - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
Start search from Pre-specified Hard Search Brackets
secondary() - Method in class org.drip.product.params.TreasuryBenchmarks
Return an Array of Secondary Treasury Benchmarks
secondaryCode() - Method in class org.drip.product.credit.BondComponent
 
secondaryCode() - Method in class org.drip.product.definition.CalibratableComponent
Get the component's secondary codes
secondDate() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Second Date
secondDate() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the Second Date of the Horizon Change
secondMarketParameters() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the Second Date's Market Parameters
sector() - Method in class org.drip.portfolioconstruction.core.Asset
Retrieve the Asset Sector
sectorArray() - Method in class org.drip.simm.credit.CRBucket
Retrieve the SIMM 2.0 Sector Array
sectorArray() - Method in class org.drip.simm.equity.EQBucket
Retrieve the Bucket Sector Array
SectorSystemics - Class in org.drip.simm.credit
SectorSystemics contains the Systemic Settings that hold Sector-related Information.
SectorSystemics() - Constructor for class org.drip.simm.credit.SectorSystemics
 
secTreasurySpread(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
secTreasurySpread(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Retrieve the array of double for the bond's secondary treasury spreads from the Valuation Parameters and the component market parameters
SegmentBasisEvaluator - Class in org.drip.spline.segment
This Class implements the BasisEvaluator interface for the given set of the Segment Basis Evaluator Functions.
SegmentBasisEvaluator(FunctionSet, ResponseScalingShapeControl) - Constructor for class org.drip.spline.segment.SegmentBasisEvaluator
SegmentBasisEvaluator constructor
SegmentBasisFlexureConstraint - Class in org.drip.spline.params
SegmentBasisFlexureConstraint holds the set of fields needed to characterize a single local linear Constraint, expressed linearly as a combination of the local Predictor Ordinates and their corresponding Response Basis Function Realizations.
SegmentBasisFlexureConstraint(double[], double) - Constructor for class org.drip.spline.params.SegmentBasisFlexureConstraint
SegmentBasisFlexureConstraint constructor
SegmentBasisFunction - Class in org.drip.spline.bspline
SegmentBasisFunction is the abstract class over which the local ordered envelope functions for the B Splines are implemented.
SegmentBasisFunction(int, double, double, double) - Constructor for class org.drip.spline.bspline.SegmentBasisFunction
 
SegmentBasisFunctionGenerator - Class in org.drip.spline.bspline
SegmentBasisFunctionGenerator generates B Spline Functions of different order.
SegmentBasisFunctionGenerator() - Constructor for class org.drip.spline.bspline.SegmentBasisFunctionGenerator
 
SegmentBasisFunctionSet - Class in org.drip.spline.bspline
SegmentBasisFunctionSet class implements per-segment function set for B Splines and tension splines.
SegmentBasisFunctionSet(int, double, R1ToR1[]) - Constructor for class org.drip.spline.bspline.SegmentBasisFunctionSet
SegmentBasisFunctionSet constructor
SegmentBestFitResponse - Class in org.drip.spline.params
SegmentBestFitResponse implements basis per-segment Fitness Penalty Parameter Set.
segmentBuilderControl() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
segmentBuilderControl() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Segment Builder Parameters
segmentBuilderControl(String) - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
Retrieve the Segment Builder Parameters
SegmentCustomBuilderControl - Class in org.drip.spline.params
SegmentCustomBuilderControl holds the parameters the guide the creation/behavior of the segment.
SegmentCustomBuilderControl(String, FunctionSetBuilderParams, SegmentInelasticDesignControl, ResponseScalingShapeControl, PreceedingManifestSensitivityControl) - Constructor for class org.drip.spline.params.SegmentCustomBuilderControl
SegmentCustomBuilderControl constructor
segmentCustomBuilderControlArray() - Method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
Retrieve the Custom Segment Builder Control Array
SegmentFlexurePenaltyControl - Class in org.drip.spline.params
SegmentFlexurePenaltyControl implements basis per-segment Flexure Penalty Parameter Set.
SegmentFlexurePenaltyControl(int, double) - Constructor for class org.drip.spline.params.SegmentFlexurePenaltyControl
SegmentFlexurePenaltyControl constructor
SegmentInelasticDesignControl - Class in org.drip.spline.params
SegmentInelasticDesignControl implements basis per-segment inelastic parameter set.
SegmentInelasticDesignControl(int, SegmentFlexurePenaltyControl, SegmentFlexurePenaltyControl) - Constructor for class org.drip.spline.params.SegmentInelasticDesignControl
Constructor for the Segment Inelastic Design Parameters given the desired Ck, the Segment Length and the Roughness Penalty Order
SegmentMonicBasisFunction - Class in org.drip.spline.bspline
SegmentMonicBasisFunction implements the local monic B Spline that envelopes the predictor ordinates, and the corresponding set of ordinates/basis functions.
SegmentMonicBasisFunction(TensionBasisHat, TensionBasisHat) - Constructor for class org.drip.spline.bspline.SegmentMonicBasisFunction
SegmentMonicBasisFunction constructor
SegmentMulticBasisFunction - Class in org.drip.spline.bspline
SegmentMulticBasisFunction implements the local quadratic B Spline that envelopes the predictor ordinates, and the corresponding set of ordinates/basis functions.
SegmentMulticBasisFunction(SegmentBasisFunction, SegmentBasisFunction) - Constructor for class org.drip.spline.bspline.SegmentMulticBasisFunction
SegmentMulticBasisFunction constructor
SegmentPredictorResponseDerivative - Class in org.drip.spline.params
SegmentPredictorResponseDerivative contains the segment local parameters used for the segment calibration.
SegmentPredictorResponseDerivative(double, double[]) - Constructor for class org.drip.spline.params.SegmentPredictorResponseDerivative
SegmentPredictorResponseDerivative constructor
SegmentResponseConstraintSet - Class in org.drip.spline.params
SegmentResponseConstraintSet holds the set of SegmentResponseValueConstraint (Base + One/more Sensitivities) for the given Segment.
SegmentResponseConstraintSet() - Constructor for class org.drip.spline.params.SegmentResponseConstraintSet
Empty SegmentResponseConstraintSet Constructor
SegmentResponseValueConstraint - Class in org.drip.spline.params
SegmentResponseValueConstraint holds the following set of fields that characterize a single global linear constraint between the predictor and the response variables within a single segment, expressed linearly across the constituent nodes.
SegmentResponseValueConstraint(double[], double[], double) - Constructor for class org.drip.spline.params.SegmentResponseValueConstraint
SegmentResponseValueConstraint constructor
segments() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
segments() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Retrieve the Stretch Segments
SegmentSequenceBuilder - Interface in org.drip.spline.stretch
SegmentSequenceBuilder is the interface that contains the stubs required for the construction of the segment stretch.
segmentSpec() - Method in class org.drip.state.inference.LatentStateStretchSpec
Retrieve the Array of the Latent State Segment Product/Manifest Measure Sequence
SegmentStateCalibrationInputs - Class in org.drip.spline.params
SegmentStateCalibrationInputs implements basis per-segment Calibration Parameter Input Set.
SegmentStateCalibrationInputs(double[], double[], double[], double[], SegmentBasisFlexureConstraint[], SegmentBestFitResponse) - Constructor for class org.drip.spline.params.SegmentStateCalibrationInputs
SegmentStateCalibrationInputs Constructor
SEK - Class in org.drip.template.irs
SEK contains a Templated Pricing of the OTC Fix-Float SEK IRS Instrument.
SEK() - Constructor for class org.drip.template.irs.SEK
 
SEK3M6MUSD3M6M - Class in org.drip.sample.dual
SEK3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from SEK3M6MUSD3M6M CCBS, SEK 3M, SEK 6M, and USD 6M Quotes.
SEK3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.SEK3M6MUSD3M6M
 
SEKHoliday - Class in org.drip.analytics.holset
 
SEKHoliday() - Constructor for class org.drip.analytics.holset.SEKHoliday
 
SEKIRSAttribution - Class in org.drip.sample.fixfloatpnl
SEKIRSAttribution generates the Historical PnL Attribution for SEK IRS.
SEKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.SEKIRSAttribution
 
SEKOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
SEKOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the SEK Input OIS Marks.
SEKOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.SEKOISSmoothReconstitutor
 
SEKShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
SEKShapePreserving1YForward Generates the Historical SEK Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
SEKShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.SEKShapePreserving1YForward
 
SEKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
SEKShapePreserving1YStart Generates the Historical SEK Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
SEKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.SEKShapePreserving1YStart
 
SEKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
SEKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the SEK Input Marks.
SEKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.SEKShapePreservingReconstitutor
 
SEKSmooth1MForward - Class in org.drip.sample.overnighthistorical
SEKSmooth1MForward Generates the Historical SEK Smoothened Overnight Curve Native 1M Compounded Forward Rate.
SEKSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.SEKSmooth1MForward
 
SEKSmooth1YForward - Class in org.drip.sample.fundinghistorical
SEKSmooth1YForward Generates the Historical SEK Smoothened Funding Curve Native 1Y Compounded Forward Rate.
SEKSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.SEKSmooth1YForward
 
SEKSmoothReconstitutor - Class in org.drip.sample.fundingfeed
SEKSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the SEK Input Marks.
SEKSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.SEKSmoothReconstitutor
 
SELECTION - Static variable in class org.drip.portfolioconstruction.optimizer.Scope
Applicable Scope Level - SELECTION
SemiReplicationBaselProxy - Class in org.drip.sample.xvafixfloat
SemiReplicationBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer Semi Replication Dual Bond Vertexes.
SemiReplicationBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.SemiReplicationBaselProxy
 
SemiReplicationCollateralizedFunding - Class in org.drip.sample.burgard2013
SemiReplicationCollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SemiReplicationCollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SemiReplicationCollateralizedFunding
 
SemiReplicationCollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
SemiReplicationCollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SemiReplicationCollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SemiReplicationCollateralizedFundingStochastic
 
SemiReplicationDualBond(JulianDate, double, double, double, MarketEdge, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
Construct a Standard Instance of BurgardKjaerVertex using semi-replication with no Short-fall at own Default using Two Bonds
SemiReplicationUncollateralizedFunding - Class in org.drip.sample.burgard2013
PerfectReplicationUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SemiReplicationUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFunding
 
SemiReplicationUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
SemiReplicationUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SemiReplicationUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFundingStochastic
 
SemiReplicationZeroThresholdFunding - Class in org.drip.sample.burgard2013
SemiReplicationZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SemiReplicationZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFunding
 
SemiReplicationZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
SemiReplicationZeroThresholdFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SemiReplicationZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFundingStochastic
 
Senior(double, double, double, double, double, MarketVertexEntity) - Static method in class org.drip.exposure.universe.MarketVertexEntity
Instance of Senior MarketVertexEntity
Senior(double, double, double, double, double) - Static method in class org.drip.exposure.universe.MarketVertexEntity
Instance of Senior MarketVertexEntity
Senior(String, String) - Static method in class org.drip.state.identifier.EntityFundingLabel
Make a Standard SENIOR Entity Funding Label from the Reference Entity
Senior(String, String) - Static method in class org.drip.state.identifier.EntityRecoveryLabel
Make a Standard SENIOR Entity Recovery Label from the Reference Entity
seniorFundingReplicator() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Senior Funding Replicator Vertex Latent State
seniorFundingSpread() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Senior Funding Spread Vertex Latent State
seniority() - Method in class org.drip.state.identifier.EntityCreditLabel
Retrieve the Seniority
SENIORITY_SENIOR - Static variable in class org.drip.state.identifier.EntityCreditLabel
The "SENIOR" Seniority Setting
SENIORITY_SUBORDINATE - Static variable in class org.drip.state.identifier.EntityCreditLabel
The "SUBORDINATE" Seniority Setting
seniorNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
Retrieve the Number of Dealer Senior Numeraire Holdings
seniorRecoveryRate() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Senior Recovery Rate Vertex Latent State
SeniorSubordinate(double, double, double, double, double, double, double, MarketVertexEntity) - Static method in class org.drip.exposure.universe.MarketVertexEntity
Instance of Senior + Subordinate MarketVertexEntity
SeniorSubordinate(double, double, double, double, double, double, double) - Static method in class org.drip.exposure.universe.MarketVertexEntity
Instance of Senior + Subordinate MarketVertexEntity
sensitivity(TrajectoryControlNodesGreek, TrajectoryControlNodesGreek) - Method in class org.drip.execution.risk.MeanVarianceObjectiveUtility
 
sensitivity(TrajectoryControlNodesGreek, TrajectoryControlNodesGreek) - Method in interface org.drip.execution.risk.ObjectiveUtility
Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node Sensitivity
sensitivity(TrajectoryControlNodesGreek, TrajectoryControlNodesGreek) - Method in class org.drip.execution.risk.PowerVarianceObjectiveUtility
 
sensitivity() - Method in class org.drip.historical.attribution.PositionManifestMeasureSnap
Retrieve the Manifest Measure Sensitivity
sensitivity(String) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
Retrieve the Sensitivity for the Bucket Tenor
sensitivityAggregate() - Method in class org.drip.simm.margin.BucketAggregateCR
Retrieve the CR Sensitivity Aggregate
sensitivityAggregate() - Method in class org.drip.simm.margin.BucketAggregateIR
Retrieve the IR Sensitivity Aggregate
SensitivityAggregateCR - Class in org.drip.simm.margin
SensitivityAggregateCR holds the IM Margin Sensitivity Co-variances within a single Bucket for each of the CR Component Risk Factors.
SensitivityAggregateCR(Map<String, Double>, double) - Constructor for class org.drip.simm.margin.SensitivityAggregateCR
SensitivityAggregateCR Constructor
SensitivityAggregateIR - Class in org.drip.simm.margin
SensitivityAggregateIR holds the IM Margin Sensitivity Co-variances within a single Currency for each of the IR Risk Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL.
SensitivityAggregateIR(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.simm.margin.SensitivityAggregateIR
SensitivityAggregateIR Constructor
sensitivityConcentrationRiskFactor(double) - Method in class org.drip.simm.product.BucketSensitivityCR
Compute the Sensitivity Concentration Risk Factor
sensitivityConcentrationRiskFactor(double) - Method in class org.drip.simm.product.BucketSensitivityIR
Compute the Sensitivity Concentration Risk Factor
sensitivityKeys() - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Return the Set of Available Sensitivities (if any)
sensitivityMap() - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
Retrieve the Map of Tenor Sensitivities
sensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregate
Retrieve the Bucket Sensitivity Margin
sensitivityMargin(Map<String, Double>) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
Generate the Tenor Sensitivity Margin Map
sensitivityMarginVariance() - Method in class org.drip.simm.margin.BucketAggregate
Retrieve the Bucket's Sensitivity Margin Variance
sensitivityMarginVariance() - Method in class org.drip.simm.margin.BucketAggregateCR
Retrieve the CR Bucket Sensitivity Margin Variance
sensitivityMarginVariance() - Method in class org.drip.simm.margin.BucketAggregateIR
Retrieve the Bucket's Sensitivity Margin Variance
sensitivityShiftFactor() - Method in class org.drip.xva.definition.PDEEvolutionControl
Retrieve the Factor needed to evaluate Sensitivity Shifts
SeparableMultivariateRandom - Interface in org.drip.sequence.functional
SeparableMultivariateRandom exposes the Variance of the Objective Function dependent on Multivariate Random Variables where the Multivariate Function is a Linear Combination of Bounded Univariate Functions acting on each Random Variate.
separableUnivariateRandom() - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
Retrieve the Supremum Univariate Random Function
separableUnivariateRandom() - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
Retrieve the Separable Bounded Idempotent Univariate Random Function
separableVarianceUpperBound() - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Multivariate Variance Upper Bound using the Separable Variance Bound
SEPTEMBER - Static variable in class org.drip.analytics.date.DateUtil
Integer Month - September
sequence() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Retrieve the Input Sequence
sequence(int, R1) - Method in class org.drip.sequence.random.Bounded
 
sequence(int, R1) - Method in class org.drip.sequence.random.BoundedUniformInteger
 
sequence(int, R1) - Method in class org.drip.sequence.random.Poisson
 
sequence(int) - Method in class org.drip.sequence.random.UnivariateSequenceGenerator
Generate a Random Sequence
sequence(int, R1) - Method in class org.drip.sequence.random.UnivariateSequenceGenerator
Generate a Random Sequence along with its Metrics
sequence(int) - Method in class org.drip.state.sequence.PathRd
Generate the Sequence of Path Realizations
SequenceGenerator - Class in org.drip.measure.discrete
SequenceGenerator generates the specified Univariate Sequence of the Given Distribution Type.
SequenceGenerator() - Constructor for class org.drip.measure.discrete.SequenceGenerator
 
SequenceIndexIterator - Class in org.drip.spaces.iterator
SequenceIndexIterator contains the Functionality to iterate through a List of Sequence Indexes.
SequenceIndexIterator(int[], boolean) - Constructor for class org.drip.spaces.iterator.SequenceIndexIterator
IndexIterator Constructor
sequenceMetrics() - Method in class org.drip.sequence.functional.EfronSteinMetrics
Retrieve the Array of the Single Sequence Agnostic Metrics
sequenceMetrics(double[], double[]) - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
Generate the Function Metrics for the specified Variate Sequence and its corresponding Weight
sequenceMetrics(double[]) - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
Generate the Function Metrics for the specified Variate Sequence
sequenceMetrics() - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
Generate the Function Metrics using the Underlying Variate Distribution
sequenceMetrics(double[], double[]) - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
Generate the Function Metrics for the specified Variate Sequence and its corresponding Weight
sequenceMetrics(double[]) - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
Generate the Function Metrics for the specified Variate Sequence
sequenceMetrics() - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
Generate the Function Metrics using the Underlying Variate Distribution
serialCorrelation() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
Retrieve the Asset Serial Correlation
serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
Estimate the Optimal Adjustment Attributable to the Serial Correlation
serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
Estimate the Optimal Adjustment Attributable to the Serial Correlation
seriesName() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Series Name
set(String, double) - Method in class org.drip.product.calib.ProductQuoteSet
Set the named Manifest Measure Quote Value
set(String, String) - Method in class org.drip.regression.core.RegressionRunDetail
Set the Key Value Map Entry
setAccrued(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Accrued
setAlphaGroup(AlphaGroup) - Method in class org.drip.portfolioconstruction.core.Account
Set the Alpha Group
setAlphaUncertaintyGroup(AlphaUncertaintyGroup) - Method in class org.drip.portfolioconstruction.core.Account
Set the Alpha Uncertainty Group
setAnnounce(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Announce
setAnnounce(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Announce Date
setASP(AssetStatisticalProperties) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Set the ASP Instance
setBaseMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Base Measures Map
setBaseRate(double) - Method in class org.drip.product.calib.CompositePeriodQuoteSet
Set the Base Rate
setBasis(double) - Method in class org.drip.product.calib.CompositePeriodQuoteSet
Set the Basis
setBasis(double) - Method in class org.drip.product.calib.StreamQuoteSet
Set the Basis
setBBGID(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Bloomberg ID
setBBGParent(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Bloomberg Parent
setBBGTicker(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index BBG Ticker
setBBGUniqueID(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Unique Bloomberg ID
setC1(String, String) - Method in class org.drip.historical.attribution.PositionMarketSnap
Set the Custom C^1 Entry corresponding to the Specified Key
setC1(String, String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Set the Custom C^1 Entry corresponding to the Specified Key
setCalcTime(double) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Calculation Time
setCalculationType(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Calculation Type
setCalculationType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Calculation Type
setCCIS(CurveConstructionInputSet) - Method in interface org.drip.analytics.definition.Curve
Set the Curve Construction Input Set Parameters
setCCIS(CurveConstructionInputSet) - Method in class org.drip.analytics.definition.MarketSurface
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.analytics.definition.NodeStructure
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.basis.BasisCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.credit.CreditCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.curve.DerivedZeroRate
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.forward.ForwardCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.fx.FXCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.govvie.ExplicitBootGovvieCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.govvie.GovvieCurve
 
setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.repo.RepoCurve
 
setCDRCountryCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the CDR Country Code
setCDRSettleCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the CDR Settle Code
setCleanDV01(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Clean DV01
setCleanExpiryPrice(double) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Set the Clean Expiry Price
setCollateralCollateralCorrelation(String, String, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Collateral Currency Pair
setCollateralCredit(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Collateral/Credit Convexity Adjustment
setCollateralCreditCorrelation(String, EntityCDSLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Collateral and the Credit Latent States
setCollateralCustomCorrelation(String, CustomLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Collateral and the Custom Metric Latent States
setCollateralEquityCorrelation(String, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Collateral and the Equity Latent States
setCollateralForward(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Collateral/Forward Convexity Adjustment
setCollateralForwardCorrelation(String, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Collateral and the Forward Latent States
setCollateralFunding(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Collateral/Funding Convexity Adjustment
setCollateralFundingCorrelation(String, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Collateral and the Funding Latent States
setCollateralFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Collateral/FX Convexity Adjustment
setCollateralFXCorrelation(String, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Collateral and FX Latent States
setCollateralGovvieCorrelation(String, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Collateral and Govvie Latent State Labels
setCollateralGroupPath(CollateralGroupPath) - Method in class org.drip.exposure.holdings.PositionGroup
Set the Collateral Group Path
setCollateralGroupPath(int, CollateralGroupPath) - Method in class org.drip.exposure.holdings.PositionGroupContainer
Set the Specific Position Group's Collateral Group Path
setCollateralOvernightCorrelation(String, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Collateral and the Overnight Latent States
setCollateralPaydownCorrelation(String, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Collateral and Pay-down Latent State Labels
setCollateralRatingCorrelation(String, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Collateral and Rating Latent State Labels
setCollateralRecoveryCorrelation(String, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Collateral and Recovery Latent State Labels
setCollateralRepoCorrelation(String, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Collateral and Repo Latent State Labels
setCollateralType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Collateral Type
setCollateralVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the specified Collateral Label
setComponentCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component Credit Delta Double Measures Map
setComponentCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component Credit Gamma Double Measures Map
setComponentCustomMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component Custom Double Measures Map
setComponentIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component IR Delta Double Measures Map
setComponentIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component IR Gamma Double Measures Map
setComponentRRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component RR Delta Double Measures Map
setComponentRRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component RR Gamma Double Measures Map
setComponentTenorCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component/Tenor Credit Delta Triple Measures Map
setComponentTenorCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component/Tenor Credit Gamma Triple Measures Map
setComponentTenorIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component/Tenor IR Delta Triple Measures Map
setComponentTenorIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
Set the Component/Tenor IR Gamma Triple Measures Map
setConstructionString() - Method in class org.drip.product.params.CDXRefDataParams
Return the stringified set of parameters in a java call that can be statically used to re-construct the index.
setContainingInelastics(LatentStateInelastic) - Method in interface org.drip.spline.segment.BasisEvaluator
Set the Inelastics that provides the enveloping Context the Basis Evaluation
setContainingInelastics(LatentStateInelastic) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
setConversionFactor(double) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Set the CTD Conversion Factor at Expiry
setCorrelation(String, String, double) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
Set the Correlation Between the Specified Assets
setCountryOfDomicile(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Country Of Domicile
setCountryOfGuarantor(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Country Of Guarantor
setCountryOfIncorporation(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Country Of Incorporation
setCoupon(double) - Method in class org.drip.product.calib.FixedStreamQuoteSet
Set the Coupon
setCoupon(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Coupon
setCoupon(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the coupon
setCoupon(double) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Coupon
setCouponBasis(double) - Method in class org.drip.product.calib.FixedStreamQuoteSet
Set the Coupon Basis
setCouponCurrency(String) - Method in class org.drip.product.creator.BondProductBuilder
Set The Coupon Currency
setCouponCurrency(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Coupon Currency
setCouponFreq(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Coupon Frequency
setCouponPV(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Coupon PV
setCouponSetting(CouponSetting) - Method in class org.drip.product.credit.BondComponent
 
setCouponSetting(CouponSetting) - Method in interface org.drip.product.definition.BondProduct
Set the bond coupon setting
setCouponSpread(double) - Method in class org.drip.product.calib.StreamQuoteSet
Set the Coupon/Spread
setCouponType(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Coupon Type
setCouponType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Coupon Type
setCreditCreditCorrelation(EntityCDSLabel, EntityCDSLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Pair of Credit Latent States
setCreditCustomCorrelation(EntityCDSLabel, CustomLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Custom Metric Latent States
setCreditEquityCorrelation(EntityCDSLabel, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Equity Latent States
setCreditForward(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Credit/Forward Convexity Adjustment
setCreditForwardCorrelation(EntityCDSLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Forward Latent States
setCreditFunding(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Credit/Funding Convexity Adjustment
setCreditFundingCorrelation(EntityCDSLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Funding Latent States
setCreditFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Credit/FX Convexity Adjustment
setCreditFXCorrelation(EntityCDSLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the FX Latent States
setCreditGovvieCorrelation(EntityCDSLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Govvie Latent States
setCreditLabel(String) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Credit Label
setCreditOvernightCorrelation(EntityCDSLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Overnight Latent States
setCreditPaydownCorrelation(EntityCDSLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Pay-down Latent States
setCreditRatingCorrelation(EntityCDSLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Rating Latent States
setCreditRecoveryCorrelation(EntityCDSLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Recovery Latent States
setCreditRepoCorrelation(EntityCDSLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Credit and the Repo Latent States
setCreditSetting(CreditSetting) - Method in class org.drip.product.credit.BondComponent
 
setCreditSetting(CreditSetting) - Method in interface org.drip.product.definition.BondProduct
Set the bond Credit Setting
setCreditState(CreditCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Credit State
setCreditVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Credit Latent State
setCTDName(String) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Set the CTD Bond Name
setCumulativeCouponAmount(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Cumulative Coupon Amount
setCumulativeCouponAmount(double) - Method in class org.drip.historical.attribution.PositionMarketSnap
Set the Cumulative Coupon Amount
setCurrency(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Currency
setCurrentCoupon(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the bond's Current Coupon
setCurrentCoupon(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Current Coupon
setCurrentFairPremium(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Current Fair Premium
setCurveID(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Curve ID
setCurveName(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Curve Name
setCurvyCurveID(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Composite Curve ID
setCUSIP(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond CUSIP
setCUSIP(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the CUSIP
setCustomCustomCorrelation(CustomLabel, CustomLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric Latent State Pair
setCustomEquityCorrelation(CustomLabel, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Equity Latent States
setCustomForwardCorrelation(CustomLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Forward Latent States
setCustomFundingCorrelation(CustomLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Funding Latent States
setCustomFXCorrelation(CustomLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the FX Latent States
setCustomGovvieCorrelation(CustomLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Govvie Latent States
setCustomMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Custom Double Measures Map
setCustomOvernightCorrelation(CustomLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Overnight Latent States
setCustomPaydownCorrelation(CustomLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Pay-down Latent States
setCustomRatingCorrelation(CustomLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Rating Latent States
setCustomRecoveryCorrelation(CustomLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Recovery Latent States
setCustomRepoCorrelation(CustomLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Custom Metric and the Repo Latent States
setCustomVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Custom Metric Volatility Curve
setDate(String, JulianDate) - Method in class org.drip.historical.attribution.PositionMarketSnap
Set the Custom Date Entry corresponding to the Specified Key
setDate(String, JulianDate) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Set the Custom Date Entry corresponding to the Specified Key
setDayCount(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Day Count
setDayCountCode(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Day Count Code
setDayCountCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Day Count Code
setDBasisCoeffDLocalManifest(double[]) - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
Set the Array containing the Sensitivities of the Basis Coefficients to the Local Manifest Measure
setDBasisCoeffDPreceedingManifest(double[]) - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
Set the Array containing the Sensitivities of the Basis Coefficients to the Preceeding Manifest Measure
setDefaultedComponentCount(int) - Method in class org.drip.product.params.CDXRefDataParams
Set the Number of Defaulted Components in the Index
setDeliveryMonths(int[]) - Method in class org.drip.product.govvie.TreasuryFutures
Set the Delivery Months
setDerivedParBasisSpread(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
Set the Derived Par Basis Spread
setDerivedParBasisSpread(double) - Method in class org.drip.product.calib.FloatFloatQuoteSet
Set the Derived Par Basis Spread
setDescription(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Description
setDirection(int) - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
Set the Direction on which the rotation count is to be applied
setDResponseDPreceedingManifest(double) - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
Set the Sensitivity of the Segment Response to the Preceeding Manifest Measure
setEffectiveDate(JulianDate) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Effective Date
setEmbeddedCallSchedule(EmbeddedOptionSchedule) - Method in class org.drip.product.credit.BondComponent
 
setEmbeddedCallSchedule(EmbeddedOptionSchedule) - Method in interface org.drip.product.definition.BondProduct
Set the bond's embedded call schedule
setEmbeddedPutSchedule(EmbeddedOptionSchedule) - Method in class org.drip.product.credit.BondComponent
 
setEmbeddedPutSchedule(EmbeddedOptionSchedule) - Method in interface org.drip.product.definition.BondProduct
Set the bond's embedded put schedule
setEquityEquityCorrelation(EntityEquityLabel, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Pair of Equity Latent States
setEquityForwardCorrelation(EntityEquityLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Forward Latent States
setEquityFundingCorrelation(EntityEquityLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Funding Latent States
setEquityFXCorrelation(EntityEquityLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the FX Latent States
setEquityGovvieCorrelation(EntityEquityLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Govvie Latent States
setEquityOvernightCorrelation(EntityEquityLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Overnight Latent States
setEquityPaydownCorrelation(EntityEquityLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Pay-down Latent States
setEquityRatingCorrelation(EntityEquityLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Rating Latent States
setEquityRecoveryCorrelation(EntityEquityLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Recovery Latent States
setEquityRepoCorrelation(EntityEquityLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Equity and the Repo Latent States
setEquityState(EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Equity State for the specified Equity Latent State Label
setEquityVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Equity Latent State
setErrorType(int) - Method in exception org.drip.json.parser.ParseException
 
setExchangeCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Exchange Code
setExpiry(JulianDate) - Method in class org.drip.product.govvie.TreasuryFutures
Set the Futures Expiration Date
setExpiryDate(JulianDate) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Set the Expiry Date
setFairPremiumMarketFactor(double, double, double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Fair Premium and Position Sensitivity
setFinalMaturity(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the final maturity of the bond
setFinalMaturity(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Final Maturity
setFirstCoupon(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond First Coupon Date
setFirstCoupon(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the First Coupon
setFirstSettle(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond First Settle
setFirstSettle(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the First Settle
setFitch(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Fitch Rating
setFixedCoupon(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Fixed Coupon
setFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Set the Fixing corresponding to the Date/Label Pair
setFixing(int, LatentStateLabel, double) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Set the Fixing corresponding to the Date/Label Pair
setFixings(LatentStateFixingsContainer) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Set the Latent State Fixings Container Instance
setFlatCreditDeltaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Flat Credit Delta Measures Map
setFlatCreditGammaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Flat Credit Gamma Measures Map
setFlatIRDeltaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Flat IR Delta Measures Map
setFlatIRGammaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Flat IR Gamma Measures Map
setFlatRRDeltaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Flat RR Delta Measures Map
setFlatRRGammaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Flat RR Gamma Measures Map
setFlatValue(double) - Method in interface org.drip.analytics.definition.ExplicitBootCurve
Set the flat value across all the nodes
setFlatValue(double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
 
setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
 
setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
 
setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
 
setFlatValue(double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
setFloatCouponConvention(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the bond's Float Coupon Convention
setFloatCouponConvention(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Float Coupon Convention
setFloaterSetting(FloaterSetting) - Method in class org.drip.product.credit.BondComponent
 
setFloaterSetting(FloaterSetting) - Method in interface org.drip.product.definition.BondProduct
Set the bond floater setting
setFloatSpread(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the bond's floating rate spread
setFloatSpread(ScenarioMarketParams) - Method in class org.drip.product.creator.BondProductBuilder
Set the bond's floating rate spread from the MPC
setFloatSpread(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Float Spread
setForwardForwardCorrelation(ForwardLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Pair of Forward Latent States
setForwardFunding(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Forward/Funding Convexity Adjustment
setForwardFundingCorrelation(ForwardLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the Funding Latent States
setForwardFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Forward/FX Convexity Adjustment
setForwardFXCorrelation(ForwardLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the FX Latent State Labels
setForwardGovvieCorrelation(ForwardLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the Govvie Latent States
setForwardOvernightCorrelation(ForwardLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the Overnight Latent States
setForwardPaydownCorrelation(ForwardLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the Pay-down Latent States
setForwardRate(double) - Method in class org.drip.product.calib.DepositComponentQuoteSet
Set the Forward Rate
setForwardRate(double) - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Set the Forward Rate
setForwardRatingCorrelation(ForwardLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the Rating Latent States
setForwardRecoveryCorrelation(ForwardLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the Recovery Latent States
setForwardRepoCorrelation(ForwardLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Forward and the Repo Latent States
setForwardState(ForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Forward State
setForwardVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the specified Forward Latent State Label
setFRARate(double) - Method in class org.drip.product.calib.FRAComponentQuoteSet
Set the FRA Rate
setFrequency(int) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Coupon Frequency
setFullFirstStub(boolean) - Method in class org.drip.product.params.CDXRefDataParams
Set the flag indicating whether the Index has a Full First Stub
setFundingFundingCorrelation(FundingLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Pair of Funding Latent States
setFundingFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
Set the Funding/FX Convexity Adjustment
setFundingFXCorrelation(FundingLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Funding and the FX Latent States
setFundingGovvieCorrelation(FundingLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Funding and the Govvie Latent States
setFundingOvernightCorrelation(FundingLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Funding and the Overnight Latent States
setFundingPaydownCorrelation(FundingLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Funding and the Pay-down Latent States
setFundingRecoveryCorrelation(FundingLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Funding and the Rating Latent States
setFundingRecoveryCorrelation(FundingLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Funding and the Recovery Latent States
setFundingRepoCorrelation(FundingLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Funding and the Repo Latent States
setFundingState(MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Funding State
setFundingVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Funding Latent State Label
setFXFXCorrelation(FXLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified FX Latent State Label Set
setFXGovvieCorrelation(FXLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified FX and the Govvie Latent States
setFXOvernightCorrelation(FXLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified FX and the Overnight Latent States
setFXPaydownCorrelation(FXLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified FX and the Pay-down Latent States
setFXRatingCorrelation(FXLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified FX and the Rating Latent States
setFXRecoveryCorrelation(FXLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified FX and the Recovery Latent States
setFXRepoCorrelation(FXLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified FX and the Repo Latent States
setFXState(FXCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the FX State for the specified FX Latent State Label
setFXVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the specified FX Latent State
setGovvieGovvieCorrelation(GovvieLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the Govvie Latent State Pair
setGovvieOvernightCorrelation(GovvieLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Govvie and the Overnight Latent States
setGovviePaydownCorrelation(GovvieLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Govvie and the Pay-down Latent States
setGovvieRatingCorrelation(GovvieLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Govvie and the Rating Latent States
setGovvieRecoveryCorrelation(GovvieLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Govvie and the Recovery Latent States
setGovvieRepoCorrelation(GovvieLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Govvie and the Repo Latent States
setGovvieState(GovvieCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Govvie State Curve
setGovvieVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Govvie Latent State
setHasBeenCalled(String) - Method in class org.drip.product.creator.BondProductBuilder
Set whether the bond Has Been Called
setHasBeenCalled(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Flag indicating If bond has been called
setHeader(String[]) - Method in class org.drip.feed.loader.CSVGrid
Set the Column Headers
setIdentifierSet(IdentifierSet) - Method in class org.drip.product.credit.BondComponent
 
setIdentifierSet(IdentifierSet) - Method in interface org.drip.product.definition.BondProduct
Set the bond identifier set
setIndexClass(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Class
setIndexFactor(double) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Factor
setIndexGroupName(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Group Name
setIndexLabel(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Label
setIndexLifeSpan(int) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Life Span
setIndexName(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Name
setIndexSeries(int) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Series
setIndexShortGroupName(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Short Group Name
setIndexShortName(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Short Name
setIndexVersion(int) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Version
setIndustryGroup(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Industry Group
setIndustrySector(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Industry Sector
setIndustrySubgroup(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Industry Subgroup
setInitialFairPremium(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Initial Fair Premium
setInstrCalibInputs(ValuationParams, boolean, MergedDiscountForwardCurve, GovvieCurve, CreditPricerParams, CalibratableComponent[], double[], String[], LatentStateFixingsContainer, ValuationCustomizationParams) - Method in class org.drip.state.credit.CreditCurve
Set the calibration inputs for the CreditCurve
setInterestAccrualStart(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Interest Accrual Start Date
setInterestAccrualStart(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Interest Accrual Start Date
setIsBearer(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Flag indicating Bearer Bond
setIsCallable(String) - Method in class org.drip.product.creator.BondProductBuilder
Set whether the Bond Is Callable
setIsCallable(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set whether is Callable
setIsDefaulted(String) - Method in class org.drip.product.creator.BondProductBuilder
Set whether the bond is defaulted or not
setIsDefaulted(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Defaulted Flag
setIsFloater(String) - Method in class org.drip.product.creator.BondProductBuilder
Set whether the bond is a floater or not
setIsFloater(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Floater Flag
setISIN(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond ISIN
setISIN(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the ISIN
setIsPerpetual(String) - Method in class org.drip.product.creator.BondProductBuilder
Set whether the bond is perpetual or not
setIsPerpetual(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Perpetual Flag
setIsPrivatePlacement(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Private Placement Flag
setIsPutable(String) - Method in class org.drip.product.creator.BondProductBuilder
Set whether the Bond Is Putable
setIsPutable(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set whether is Putable
setIsRegistered(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Flag Registered
setIsReversibleConvertible(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Flag indicating Reverse Convertible
setIsSinkable(String) - Method in class org.drip.product.creator.BondProductBuilder
Set whether the Bond Is Sinkable
setIsSinkable(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set whether is Sinkable
setIsStructuredNote(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Flag indicating Structured Note
setIssue(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Issue Date
setIssue(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issue Date
setIssueAmount(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issue Amount
setIssueCountry(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issue Country
setIssueCountryCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issue Country Code
setIssueDate(JulianDate) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Issue Date
setIssuePrice(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set Issue Price
setIssuer(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issuer
setIssuerCategory(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issuer Category
setIssuerIndustry(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issuer Industry
setIssuerSPN(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the bond's Issuer SPN
setIssuerSPN(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set Issuer SPN
setIsUnitTraded(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Flag indicating Unit Traded
setKnockOutOnDefault(boolean) - Method in class org.drip.product.params.CDXRefDataParams
Set if the Index knocks out on Default
setLastTradingDayLag(int) - Method in class org.drip.product.govvie.TreasuryFutures
Set the Last Trading Day Lag
setLDTS(String, LastTradingDateSetting[]) - Method in class org.drip.market.exchange.FuturesOptions
Add a Named Exchange LTDS Array Map Entry
setLeadManager(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Lead Manager
setLeftNode(double, double, double, StretchBestFitResponse) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
setLeftNode(double, double, double, StretchBestFitResponse) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Set the Slope at the left Edge of the Stretch
setLocation(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Location
setLongCompanyName(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Long Company Name
setLossPV(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Loss PV
setMarketConvention(QuoteConvention) - Method in class org.drip.product.credit.BondComponent
 
setMarketConvention(QuoteConvention) - Method in interface org.drip.product.definition.BondProduct
Set the Bond's Market Convention
setMarketIssueType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Market Issue Type
setMarketMeasureName(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
Set the Market Measure Name
setMarketMeasureValue(double) - Method in class org.drip.historical.attribution.PositionMarketSnap
Set the Market Measure Value
setMarketQuote(String, Quote) - Method in class org.drip.param.definition.ProductQuote
Set the market quote for the component
setMarketQuote(String, Quote) - Method in class org.drip.param.quote.ProductMultiMeasure
 
setMaturity(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Maturity
setMaturity(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the maturity
setMaturityDate(JulianDate) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Maturity Date
setMaturityDate(JulianDate) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Maturity Date
setMaturityType(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Maturity Type
setMaturityType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Maturity Type
setMaximumMaturity(String) - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Deliverable Grade Maximum Maturity
setMinimumIncrement(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Minimum Increment
setMinimumMaturity(String) - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Deliverable Grade Minimum Maturity
setMinimumPiece(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Minimum Piece
setMinimumPriceMovement(double) - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Minimum Price Movement
setMoody(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Moodys Rating
setName(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issuer Name
setName(String) - Method in class org.drip.product.credit.CDSComponent
 
setNextCouponDate(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Next Coupon Date
setNodeValue(int, double) - Method in interface org.drip.analytics.definition.ExplicitBootCurve
Set the Value/Slope at the Node specified by the Index
setNodeValue(int, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
 
setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
 
setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
 
setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
 
setNodeValue(int, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
setNotionalSetting(NotionalSetting) - Method in class org.drip.product.credit.BondComponent
 
setNotionalSetting(NotionalSetting) - Method in interface org.drip.product.definition.BondProduct
Set the bond notional Setting
setNotionalValue(double) - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Notional Value
setObjectiveBenchmark(Benchmark) - Method in class org.drip.portfolioconstruction.core.Account
Set the Objective Benchmark Instance
setOF(double) - Method in class org.drip.function.r1tor1solver.IteratedVariate
Set the Objective Function Value
SetOff(JulianDate, double, double, double, MarketEdge) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
Construct a Standard Instance of BurgardKjaerVertex using the "Set Off" Legal Agreement Scheme
SetOffBaselProxy - Class in org.drip.sample.xvafixfloat
SetOffBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer Set Off CSA Vertexes.
SetOffBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.SetOffBaselProxy
 
SetOffCollateralizedFunding - Class in org.drip.sample.burgard2013
SetOffCollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SetOffCollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SetOffCollateralizedFunding
 
SetOffCollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
SetOffCollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SetOffCollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SetOffCollateralizedFundingStochastic
 
SetOffUncollateralizedFunding - Class in org.drip.sample.burgard2013
SetOffUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SetOffUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SetOffUncollateralizedFunding
 
SetOffUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
SetOffUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SetOffUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SetOffUncollateralizedFundingStochastic
 
SetOffZeroThresholdFunding - Class in org.drip.sample.burgard2013
SetOffZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SetOffZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.SetOffZeroThresholdFunding
 
SetOffZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
SetOffZeroThresholdFundingStohastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
SetOffZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SetOffZeroThresholdFundingStochastic
 
setOFLeft(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
Set the left objective function value
setOFRight(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
Set the right objective function value
setOptionPV(double) - Method in class org.drip.product.calib.VolatilityProductQuoteSet
Set the PV of an Option on the Product
setOriginalComponentCount(int) - Method in class org.drip.product.params.CDXRefDataParams
Set the Number of Original Components in the Index
setOutright(double) - Method in class org.drip.product.calib.FXForwardQuoteSet
Set the Terminal FX Forward Outright
setOutstandingAmount(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Outstanding Amount
setOvernightOvernightCorrelation(OvernightLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Pair of Overnight Latent States
setOvernightPaydownCorrelation(OvernightLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Overnight and the Pay-down Latent States
setOvernightRatingCorrelation(OvernightLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Overnight and the Rating Latent States
setOvernightRecoveryCorrelation(OvernightLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Overnight and the Recovery Latent States
setOvernightRepoCorrelation(OvernightLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Overnight and the Repo Latent States
setOvernightState(MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Overnight State
setOvernightVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Overnight Latent State Label
setParAmount(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Par Amount
setParForwardRate(double) - Method in class org.drip.product.calib.FRAComponentQuoteSet
Set the Par Forward Rate
setPayAccrued(boolean) - Method in class org.drip.product.params.CDXRefDataParams
Set if the Index pays accrued on termination
setPayCurrencyCollateralCurrencyCurve(String, String, MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
Set the Discount Curve associated with the Pay Cash-flow Collateralized using a different Collateral Currency Numeraire
setPaydownCurve(PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Pay-down State for the specified Pay-down Latent State Label
setPaydownPaydownCorrelation(PaydownLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the Pay-down Latent State Pair
setPaydownRatingCorrelation(PaydownLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Pay-down and the Rating Latent States
setPaydownRecoveryCorrelation(PaydownLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Pay-down and the Recovery Latent States
setPaydownRepoCorrelation(PaydownLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Pay-down and the Repo Latent States
setPaydownVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Pay-down Latent State
setPenultimateCouponDate(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Penultimate Coupon Date
setPIP(double) - Method in class org.drip.product.calib.FXForwardQuoteSet
Set the Terminal FX Forward PIP
setPosition(int) - Method in exception org.drip.json.parser.ParseException
 
setPreceeding(String) - Method in class org.drip.spaces.graph.ShortestPathVertex
Set the Preceeding Traversal Vertex
setPreceedingManifestSensitivityControl(String, PreceedingManifestSensitivityControl) - Method in class org.drip.spline.segment.LatentStateResponseModel
Set the Preceeding Manifest Sensitivity Control Parameters for the specified Manifest Measure
setPrevCouponDate(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Previous Coupon Date
setPreviousPhase(double) - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
Set the Previous Phase
setPrice(double) - Method in class org.drip.product.calib.FuturesComponentQuoteSet
Set the Price
setPrimaryCode(String) - Method in class org.drip.product.credit.BondComponent
 
setPrimaryCode(String) - Method in class org.drip.product.credit.CDSComponent
 
setPrimaryCode(String) - Method in class org.drip.product.definition.CalibratableComponent
Set the component's primary code
setPrimaryCode(String) - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
 
setPrimaryCode(String) - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
 
setPrimaryCode(String) - Method in class org.drip.product.fx.FXForwardComponent
 
setPrimaryCode(String) - Method in class org.drip.product.option.OptionComponent
 
setPrimaryCode(String) - Method in class org.drip.product.rates.FixFloatComponent
 
setPrimaryCode(String) - Method in class org.drip.product.rates.FloatFloatComponent
 
setPrimaryCode(String) - Method in class org.drip.product.rates.RatesBasket
 
setPrimaryCode(String) - Method in class org.drip.product.rates.SingleStreamComponent
 
setProductQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Product Quote
setPV(double) - Method in class org.drip.product.calib.DepositComponentQuoteSet
Set the PV
setPV(double) - Method in class org.drip.product.calib.FixedStreamQuoteSet
Set the PV
setPV(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
Set the PV
setPV(double) - Method in class org.drip.product.calib.FloatFloatQuoteSet
Set the PV
setPV(double) - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Set the PV
setPV(double) - Method in class org.drip.product.calib.StreamQuoteSet
Set the PV
setQM(LatentStateLabel, String, double) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
Set the LSQM Value
setQMCurve(String, Curve) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
Set the LSQM Curve
setQMSpan(LatentStateLabel, String, Span) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
Set the LSQM Increment Span
setQuoteAsCDS(boolean) - Method in class org.drip.product.params.CDXRefDataParams
Set whether the quote is marked as a CDS
setQuoteMap(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Map of Quote
setR1(String, double, boolean) - Method in class org.drip.historical.attribution.PositionMarketSnap
Set the Custom R^1 Entry corresponding to the Specified Key
setR1(String, double) - Method in class org.drip.historical.attribution.PositionMarketSnap
Set the Custom R^1 Entry corresponding to the Specified Key
setR1(String, double) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
Set the Custom R^1 Entry corresponding to the Specified Key
setRate(double) - Method in class org.drip.product.calib.DepositComponentQuoteSet
Set the Rate
setRate(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
Set the Rate
setRate(double) - Method in class org.drip.product.calib.FuturesComponentQuoteSet
Set the Rate
setRateIndex(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the bond's Rate Index
setRateIndex(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Rate Index
setRatingCurve(RatingLabel, MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Rating State for the specified Rating Latent State Label
setRatingRatingCorrelation(RatingLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Pair of Rating Latent States
setRatingRecoveryCorrelation(RatingLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Rating and Recovery Latent States
setRatingRepoCorrelation(RatingLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Rating and Repo Latent States
setRatingVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Rating Latent State
setRecovery(double) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Recovery
setRecoveryRate(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Recovery Rate
setRecoveryRecoveryCorrelation(EntityRecoveryLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the Recovery Latent State Pair
setRecoveryRepoCorrelation(EntityRecoveryLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface for the specified Recovery and the Repo Latent States
setRecoveryState(CreditCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Recovery State for the specified Recovery Latent State Label
setRecoveryVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Recovery Latent State
setRedemptionCurrency(String) - Method in class org.drip.product.creator.BondProductBuilder
Set The redemption Currency
setRedemptionCurrency(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Redemption Currency
setRedemptionValue(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Redemption Value
setRedemptionValue(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Redemption Value
setRedID(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index Red ID
setReferenceCoupon(double) - Method in class org.drip.product.govvie.TreasuryFutures
Set the Reference Coupon Rate
setReferenceParBasisSpread(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
Set the Reference Par Basis Spread
setReferenceParBasisSpread(double) - Method in class org.drip.product.calib.FloatFloatQuoteSet
Set the Reference Par Basis Spread
setRepoRepoCorrelation(RepoLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Correlation Surface between the Pair of Repo Latent States
setRepoState(RepoCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Repo State
setRepoVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
(Re)-set the Volatility Curve for the Repo Latent State Label
setRiskModel(AssetCovariance) - Method in class org.drip.portfolioconstruction.core.Account
Set the Risk Model
setRollDownFairPremium(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
Set the Roll Down Fair Premium
setRoot(double) - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Set the Root
setSecurityType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Security Type
setSeries(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issuer Series
setShortName(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issuer Short Name
setShortName(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the index short name
setSide(String, double, double) - Method in class org.drip.param.definition.Quote
Set the quote for the specified side
setSide(String, double, double) - Method in class org.drip.param.quote.MultiSided
 
setSnP(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the SnP Rating
setSnrSub(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set Senior or Sub-ordinate
setSoftConstraint(SoftConstraint) - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
Set the Soft Constraint
setSP(String) - Method in class org.drip.json.simple.ItemList
 
setSpecificDefault(int) - Method in class org.drip.state.credit.CreditCurve
Set the Specific Default Date
setSPN(String) - Method in class org.drip.product.params.CDXRefDataParams
Set the Index SPN
setSpread(double) - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Set the Spread
setStartingVariate(double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Set the Starting Variate
setStateIndexCursor(int[]) - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
 
setStream(BondStream) - Method in class org.drip.product.credit.BondComponent
 
setStream(BondStream) - Method in interface org.drip.product.definition.BondProduct
Set the bond Stream
setStretch(MultiSegmentSequence) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
 
setStretch(MultiSegmentSequence) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
Set the Stretch whose Segments are to be calibrated
setStretch(MultiSegmentSequence) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
 
setStretchSegmentBuilderControl(String, SegmentCustomBuilderControl) - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
Set the Stretch's Segment Builder Control
setSwapRate(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
Set the Swap Rate
setTenorCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Tenor Credit Delta Double Measures Map
setTenorCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Tenor Credit Gamma Double Measures Map
setTenorIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Tenor IR Delta Double Measures Map
setTenorIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Tenor IR Gamma Double Measures Map
setTenorRRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Tenor RR Delta Double Measures Map
setTenorRRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
Set the Tenor RR Gamma Double Measures Map
setTerminationSetting(TerminationSetting) - Method in class org.drip.product.credit.BondComponent
 
setTerminationSetting(TerminationSetting) - Method in interface org.drip.product.definition.BondProduct
Set the bond termination setting
setTerminationStatus(boolean) - Method in class org.drip.regression.core.RegressionRunOutput
Set the termination status for the regression output
setTicker(String) - Method in class org.drip.product.creator.BondProductBuilder
Set the Bond Ticker
setTicker(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Issuer Ticker
setTickValue(double) - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Tick Value
settle() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Settle Settings
SETTLE_TYPE_CASH - Static variable in class org.drip.market.exchange.TreasuryFuturesSettle
Cash Settled Futures
SETTLE_TYPE_PHYSICAL_DELIVERY - Static variable in class org.drip.market.exchange.TreasuryFuturesSettle
Physically Settled Futures
settleDate(ValuationParams) - Method in class org.drip.product.params.QuoteConvention
 
settleDate() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Settle Date
settleLag() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Retrieve the Component Settle Lag
settleLag() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Settle Lag
SETTLEMENT_QUOTE_EXACT_CURVE - Static variable in class org.drip.market.otc.SwapOptionSettlement
Swap Option Cash Settlement Quote Method - Exact Curve
SETTLEMENT_QUOTE_IRR - Static variable in class org.drip.market.otc.SwapOptionSettlement
Swap Option Cash Settlement Quote Method - Internal Rate of Return
SETTLEMENT_TYPE_CASH_SETTLED - Static variable in class org.drip.market.otc.SwapOptionSettlement
Swap Option Settlement Type - Cash Settled
SETTLEMENT_TYPE_PHYSICAL_DELIVERY - Static variable in class org.drip.market.otc.SwapOptionSettlement
Swap Option Settlement Type - Physical Delivery
settlementQuote() - Method in class org.drip.market.otc.SwapOptionSettlement
Retrieve the Settlement Quote
settlementType() - Method in class org.drip.market.otc.SwapOptionSettlement
Retrieve the Settlement Type
settleQuoteStyle() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Settle Quote Style
settleType() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Settle Type
setTrackingBenchmark(Benchmark) - Method in class org.drip.portfolioconstruction.core.Account
Set the Tracking Benchmark Instance
setTradeCurrency(String) - Method in class org.drip.product.creator.BondProductBuilder
Set The Trade Currency
setTradeCurrency(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set the Trade Currency
setTradeStatus(String) - Method in class org.drip.product.creator.BondRefDataBuilder
Set Trade Status
setTransactionCostGroup(TransactionChargeGroup) - Method in class org.drip.portfolioconstruction.core.Account
Set the Transaction Cost Group
setTransitionProbability(TrinomialTreeNodeMetrics, TrinomialTreeNodeMetrics, double) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Set the Transition Probability for the specified Pair of Nodes
setTreasuryBenchmark(TreasuryBenchmarks) - Method in class org.drip.product.credit.BondComponent
 
setTreasuryBenchmark(TreasuryBenchmarks) - Method in interface org.drip.product.definition.BondProduct
Set the bond treasury benchmark Set
setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.definition.ScenarioMarketParams
Set the full set of named Treasury Quote Map
setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
setTurns(TurnListDiscountFactor) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Set the Discount Curve Turns'
setType(String) - Method in class org.drip.product.govvie.TreasuryFutures
Set the Futures Type
setUnexpectedObject(Object) - Method in exception org.drip.json.parser.ParseException
 
Setup() - Static method in class org.drip.service.env.InvocationManager
Setup the Invocation Manager
setup(boolean) - Method in class org.drip.service.env.InvocationRecord
Retrieve the Setup Time
setup(String) - Method in class org.drip.spaces.graph.BellmanFordScheme
Initialize the Bellman Ford Scheme
setup(String) - Method in class org.drip.spaces.graph.DijkstraScheme
Initialize the Dijsktra Scheme
setup(SegmentSequenceBuilder, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
setup(SegmentResponseValueConstraint, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
setup(double, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
setup(double, double[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
setup(SegmentSequenceBuilder, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Edge, the Target Constraints, and the custom segment sequence builder.
setup(SegmentResponseValueConstraint, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge and the Target Constraints.
setup(double, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge Response and the Target Constraints.
setup(double, double[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
setup(double, double[], StretchBestFitResponse, BoundarySettings, int) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Set up (i.e., calibrate) the individual Segments in the Stretch to the Response Values corresponding to each Segment Predictor right Ordinate.
setupHermite(SegmentPredictorResponseDerivative[], SegmentPredictorResponseDerivative[], SegmentResponseValueConstraint[][], StretchBestFitResponse, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
setupHermite(SegmentPredictorResponseDerivative[], SegmentPredictorResponseDerivative[], SegmentResponseValueConstraint[][], StretchBestFitResponse, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
Set up (i.e., calibrate) the individual Segment in the Stretch to the Target Segment Edge Values and Constraints.
setupRegressors() - Method in interface org.drip.regression.core.RegressorSet
Set up the list of Regressors in the set
setupRegressors() - Method in class org.drip.regression.curve.CreditCurveRegressor
 
setupRegressors() - Method in class org.drip.regression.curve.DiscountCurveRegressor
 
setupRegressors() - Method in class org.drip.regression.curve.ZeroCurveRegressor
 
setupRegressors() - Method in class org.drip.regression.curvejacobian.CashJacobianRegressorSet
 
setupRegressors() - Method in class org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet
 
setupRegressors() - Method in class org.drip.regression.curvejacobian.EDFJacobianRegressorSet
 
setupRegressors() - Method in class org.drip.regression.curvejacobian.IRSJacobianRegressorSet
 
setupRegressors() - Method in class org.drip.regression.fixedpointfinder.BracketingRegressorSet
 
setupRegressors() - Method in class org.drip.regression.fixedpointfinder.CompoundBracketingRegressorSet
 
setupRegressors() - Method in class org.drip.regression.fixedpointfinder.OpenRegressorSet
 
setupRegressors() - Method in class org.drip.regression.spline.BasisSplineRegressorSet
 
setupSnap() - Method in class org.drip.service.env.InvocationRecord
Retrieve the Setup Snapshot
setVariate(double) - Method in class org.drip.function.r1tor1solver.IteratedVariate
Set the variate
setVariateLeft(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
Set the left variate
setVariateRight(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
Set the right variate
setVisited(boolean) - Method in class org.drip.spaces.graph.ShortestPathVertex
Set the Visitation Status of the Vertex
setWeightFromSource(double) - Method in class org.drip.spaces.graph.ShortestPathVertex
Set the Weight From Source
setWengert(int, double) - Method in class org.drip.quant.calculus.WengertJacobian
Set the Value for the Wengert variable
setYield(double) - Method in class org.drip.product.calib.TreasuryBondQuoteSet
Set the Yield
setYieldMarketFactor(double, double, double) - Method in class org.drip.historical.attribution.BondMarketSnap
Set the Yield Level and Position Sensitivity
setYieldMarketFactor(double, double, double) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
Set the Yield Level and Position Sensitivity
sfva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected SFVA
sfva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for SFVA
SGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
SGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the SGB Benchmark Bond Series.
SGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.SGBBenchmarkAttribution
 
SGBReconstitutor - Class in org.drip.sample.treasuryfeed
SGBReconstitutor demonstrates the Cleansing and Re-constitution of the SGB Yield Marks obtained from Historical Yield Curve Prints.
SGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.SGBReconstitutor
 
SGD - Class in org.drip.template.irs
SGD contains a Templated Pricing of the OTC Fix-Float SGD IRS Instrument.
SGD() - Constructor for class org.drip.template.irs.SGD
 
SGDHoliday - Class in org.drip.analytics.holset
 
SGDHoliday() - Constructor for class org.drip.analytics.holset.SGDHoliday
 
SGDIRSAttribution - Class in org.drip.sample.fixfloatpnl
SGDIRSAttribution generates the Historical PnL Attribution for SGD IRS.
SGDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.SGDIRSAttribution
 
SGDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
SGDShapePreserving1YStart Generates the Historical SGD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
SGDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.SGDShapePreserving1YStart
 
SGDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
SGDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the SGD Input Marks.
SGDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.SGDShapePreservingReconstitutor
 
ShadowScopingProjection(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Shadow of the Scoping on Projection
ShadowScopingProjectionTranspose(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
Compute the Shadow of the Scoping on Projection Transpose
Shahjahanpur - Class in org.drip.sample.loan
Shahjahanpur demonstrates the Analytics Calculation/Reconciliation for the Loan Shahjahanpur.
Shahjahanpur() - Constructor for class org.drip.sample.loan.Shahjahanpur
 
Shanghai - Class in org.drip.sample.bondeos
Shanghai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Shanghai.
Shanghai() - Constructor for class org.drip.sample.bondeos.Shanghai
 
Shantou - Class in org.drip.sample.bondeos
Shantou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Shantou.
Shantou() - Constructor for class org.drip.sample.bondeos.Shantou
 
Shaoxing - Class in org.drip.sample.bondeos
Shaoxing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Shaoxing.
Shaoxing() - Constructor for class org.drip.sample.bondeos.Shaoxing
 
Shaoyang - Class in org.drip.sample.bondeos
Shaoyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Shaoyang.
Shaoyang() - Constructor for class org.drip.sample.bondeos.Shaoyang
 
SHAPE_CONTROL_RATIONAL_EXPONENTIAL - Static variable in class org.drip.spline.bspline.BasisHatShapeControl
Cubic Polynomial with Rational Exponential Shape Controller
SHAPE_CONTROL_RATIONAL_LINEAR - Static variable in class org.drip.spline.bspline.BasisHatShapeControl
Cubic Polynomial with Rational Linear Shape Controller
SHAPE_CONTROL_RATIONAL_QUADRATIC - Static variable in class org.drip.spline.bspline.BasisHatShapeControl
Cubic Polynomial with Rational Quadratic Shape Controller
SHAPE_PRESERVING - Static variable in class org.drip.service.template.LatentMarketStateBuilder
Shape Preserving Latent State
shapeControl() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the Shape Control Type
shapeController() - Method in class org.drip.spline.params.ResponseScalingShapeControl
Retrieve the Shape Control Univariate Function
shapeController() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
Retrieve the Segment Shape Controller
shapeControlType() - Method in class org.drip.spline.bspline.BasisHatShapeControl
Retrieve the Type of the Shape Controller
shapedBasisFunctionDerivative(double, int, int) - Method in interface org.drip.spline.segment.BasisEvaluator
Compute the Ordered Derivative of the Response Value off of the indexed Basis Function at the specified Predictor Ordinate
shapedBasisFunctionDerivative(double, int, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
shapedBasisFunctionResponse(double, int) - Method in interface org.drip.spline.segment.BasisEvaluator
Compute the Response Value of the indexed Basis Function at the specified Predictor Ordinate
shapedBasisFunctionResponse(double, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
ShapeOvernightZeroLocalSmooth - Class in org.drip.sample.overnight
ShapeOvernightZeroLocalSmooth demonstrates the usage of different local smoothing techniques involved in the Overnight curve creation.
ShapeOvernightZeroLocalSmooth() - Constructor for class org.drip.sample.overnight.ShapeOvernightZeroLocalSmooth
 
ShapePreservingDFBuild(String, LinearLatentStateCalibrator, LatentStateStretchSpec[], ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Build the Shape Preserving Discount Curve using the Custom Parameters
ShapePreservingForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
ShapePreservingForwardCurve(LinearLatentStateCalibrator, LatentStateStretchSpec[], ForwardLabel, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioForwardCurveBuilder
Build the Shape Preserving Forward Curve using the Custom Parameters
ShapePreservingForwardCurve(String, ForwardLabel, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, CalibratableComponent[], String, double[], double) - Static method in class org.drip.state.creator.ScenarioForwardCurveBuilder
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
ShapePreservingFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
ShapePreservingFXCurve(JulianDate, CurrencyPair, String[], double[], String, double) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Shape Preserving FX Curve from the FX Forward Instruments
ShapePreservingFXCurve(LinearLatentStateCalibrator, LatentStateStretchSpec[], CurrencyPair, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Build the Shape Preserving FX Curve using the Custom Parameters
ShapePreservingFXCurve(String, CurrencyPair, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, CalibratableComponent[], String, double[], double, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
ShapePreservingFXCurve(String, CurrencyPair, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, CalibratableComponent[], String, double[], double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set builder parameters.
ShapePreservingGovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Shape Preserving Govvie Curve from the Treasury Instruments
ShapePreservingGovvieCurve(LinearLatentStateCalibrator, LatentStateStretchSpec[], String, String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Build the Shape Preserving Govvie Curve using the Custom Parameters
ShapePreservingGovvieCurve(String, String, String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, SegmentInelasticDesignControl, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified Basis Spline Set Builder Parameters.
shapePreservingLLSC() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
Retrieve the Shape Preserving Linear Latent State Calibrator
ShapePreservingOvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
ShapePreservingOvernightZeroSmooth - Class in org.drip.sample.overnight
ShapePreservingOvernightZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques involved in the Overnight curve creation.
ShapePreservingOvernightZeroSmooth() - Constructor for class org.drip.sample.overnight.ShapePreservingOvernightZeroSmooth
 
ShapePreservingRegularization(String, String) - Static method in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
ShapePreservingRegularization(String, String) - Static method in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
ShapePreservingZeroSmooth - Class in org.drip.sample.funding
ShapePreservingZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques involved in the funding curve creation.
ShapePreservingZeroSmooth() - Constructor for class org.drip.sample.funding.ShapePreservingZeroSmooth
 
ShapeZeroLocalSmooth - Class in org.drip.sample.funding
ShapeZeroLocalSmooth demonstrates the usage of different local smoothing techniques involved in the funding curve creation.
ShapeZeroLocalSmooth() - Constructor for class org.drip.sample.funding.ShapeZeroLocalSmooth
 
sharpeRatio() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
Retrieve the Portfolio Sharpe Ratio
Shenyang - Class in org.drip.sample.bondeos
Shenyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Shenyang.
Shenyang() - Constructor for class org.drip.sample.bondeos.Shenyang
 
Shenzhen - Class in org.drip.sample.bondeos
Shenzhen demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Shenzhen.
Shenzhen() - Constructor for class org.drip.sample.bondeos.Shenzhen
 
shiftedLIBORForwardIncrement(int, int, int, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Compute the Shifted LIBOR Forward Rate Increment given the Spot Date, the View Date, the Target Date, the Current Shifted LIBOR Forward Rate, and the View Time Increment
shiftedLIBORForwardRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Shifted LIBOR Forward Rate
shiftedLIBORForwardRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Shifted LIBOR Forward Rate Increment
shiftEnd(double) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Shift/Adjust the End Date
shiftManifestMeasure(int, String, double) - Method in class org.drip.analytics.definition.MarketSurface
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.analytics.definition.NodeStructure
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.basis.BasisCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.DerivedZeroRate
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.forward.ForwardCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.fx.FXCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.govvie.GovvieCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
shiftManifestMeasure(int, String, double) - Method in class org.drip.state.repo.RepoCurve
 
shiftManifestMeasure(int, String, double) - Method in interface org.drip.state.representation.LatentState
Create a LatentState Instance from the Shift of the Specified Manifest Measure
ShiftRegisterDouble - Class in org.drip.sample.rng
ShiftRegisterDouble demonstrates the Construction and Invocation of Shift Register Generator based Random Number Double's.
ShiftRegisterDouble() - Constructor for class org.drip.sample.rng.ShiftRegisterDouble
 
ShiftRegisterGenerator - Class in org.drip.measure.crng
ShiftRegisterGenerator implements a RNG based on the Shift Register Generation Scheme.
ShiftRegisterGenerator(boolean[], boolean[]) - Constructor for class org.drip.measure.crng.ShiftRegisterGenerator
ShiftRegisterGenerator Constructor
ShiftRegisterLong - Class in org.drip.sample.rng
ShiftRegisterLong demonstrates the Construction and Invocation of Shift Register Generator based Random Number Long's.
ShiftRegisterLong() - Constructor for class org.drip.sample.rng.ShiftRegisterLong
 
shiftStart(double) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Shift/Adjust the Start Date
ShijiaZhuang - Class in org.drip.sample.bondeos
ShijiaZhuang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for ShijiaZhuang.
ShijiaZhuang() - Constructor for class org.drip.sample.bondeos.ShijiaZhuang
 
Shivamogga - Class in org.drip.sample.loan
Shivamogga demonstrates the Analytics Calculation/Reconciliation for the Loan Shivamogga.
Shivamogga() - Constructor for class org.drip.sample.loan.Shivamogga
 
SHORT_STUB - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
Period Set Generation Customization - Short Stub (i.e., No adjustment on either end)
shortestMaturity() - Method in class org.drip.market.definition.IBORIndex
Retrieve the Index Shortest Maturity
ShortestPathFirstWengert - Class in org.drip.spaces.graph
ShortestPathFirstWengert maintains the Intermediate Wengert Objects generated during a Single Sequence of the Scheme Run.
ShortestPathFirstWengert(ShortestPathTree) - Constructor for class org.drip.spaces.graph.ShortestPathFirstWengert
ShortestPathFirstWengert Constructor
ShortestPathTree - Class in org.drip.spaces.graph
ShortestPathTree holds the Map of Vertex Peripheries by Weight and Vertex Name.
ShortestPathTree() - Constructor for class org.drip.spaces.graph.ShortestPathTree
Empty ShortestPathTree Constructor
shortestPathVertex(String) - Method in class org.drip.spaces.graph.ShortestPathTree
Retrieve the Vertex Periphery by Name
ShortestPathVertex - Class in org.drip.spaces.graph
ShortestPathVertex holds the given Vertex's Previous Traversal Vertex and the Weight from the Source.
ShortestPathVertex(String) - Constructor for class org.drip.spaces.graph.ShortestPathVertex
ShortestPathVertex Constructor
shortfallExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Expected Short-fall
ShortfallIncrement - Class in org.drip.execution.discrete
ShortfallIncrement generates the Realized Incremental Stochastic Trading/Execution Short-fall and the corresponding Implementation Short-fall corresponding to the Trajectory of a Holdings Block that is to be executed over Time.
ShortfallIncrementDistribution - Class in org.drip.execution.discrete
ShortfallIncrementDistribution holds the Parameters of the R^1 Normal Short fall Increment Distribution.
ShortfallIncrementDistribution(double, double, double, double, double, double) - Constructor for class org.drip.execution.discrete.ShortfallIncrementDistribution
ShortfallIncrementDistribution Constructor
shortfallVariance() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Short-fall Variance
ShortFixedAggressiveTimeline - Class in org.drip.sample.mporstream
ShortFixedAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
ShortFixedAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedAggressiveTimeline
 
ShortFixedClassicalMinusTimeline - Class in org.drip.sample.mporstream
ShortFixedClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
ShortFixedClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedClassicalMinusTimeline
 
ShortFixedClassicalPlusTimeline - Class in org.drip.sample.mporstream
ShortFixedClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
ShortFixedClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedClassicalPlusTimeline
 
ShortFixedConservativeTimeline - Class in org.drip.sample.mporstream
ShortFixedConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
ShortFixedConservativeTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedConservativeTimeline
 
ShortFloatAggressiveTimeline - Class in org.drip.sample.mporstream
ShortFloatAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
ShortFloatAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatAggressiveTimeline
 
ShortFloatClassicalMinusTimeline - Class in org.drip.sample.mporstream
ShortFloatClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
ShortFloatClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatClassicalMinusTimeline
 
ShortFloatClassicalPlusTimeline - Class in org.drip.sample.mporstream
ShortFloatClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
ShortFloatClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatClassicalPlusTimeline
 
ShortFloatConservativeTimeline - Class in org.drip.sample.mporstream
ShortFloatConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
ShortFloatConservativeTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatConservativeTimeline
 
ShortForwardRateUpdate - Class in org.drip.dynamics.hjm
ShortForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State Quantification Metrics.
shortRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Short Rate
shortRate() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
Retrieve the Node's Short Rate
ShortRateDynamics - Class in org.drip.sample.hullwhite
ShortRateDynamics demonstrates the Construction and Usage of the Hull-White 1F Model Dynamics for the Evolution of the Short Rate.
ShortRateDynamics() - Constructor for class org.drip.sample.hullwhite.ShortRateDynamics
 
shortRateIncrement(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
Compute the Short Rate Increment given the Spot Date, the View Date, and the View Time Increment
shortRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
Retrieve the Short Rate Increment
shortRateIncrement() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Retrieve the Short Rate Increment
shortRateIncrement(int, int, double, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Calculate the Short Rate Increment
ShortRateProcess - Class in org.drip.dynamics.lmm
ShortRateProcess implements the Short Rate Process defined in the LIBOR Market Model.
ShortRateProcess(int, R1R1ToR1) - Constructor for class org.drip.dynamics.lmm.ShortRateProcess
ShortRateProcess Constructor
ShortRateUpdate - Class in org.drip.dynamics.hullwhite
ShortRateUpdate records the Metrics associated with the Evolution of the Instantaneous Short Rate from a Starting to the Terminal Date.
ShortSellChargeTerm - Class in org.drip.portfolioconstruction.objective
ShortSellChargeTerm implements the Objective Term that optimizes the Charge incurred by Short Sell Trades in the Target Portfolio from the Starting Allocation.
ShortSellChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.ShortSellChargeTerm
ShortSellChargeTerm Conastructor
ShortTenorSwap - Class in org.drip.sample.fixfloat
ShortTenorSwap demonstrates the Construction and Valuation of In-Advance and In-Arrears Short Tenor Swap.
ShortTenorSwap() - Constructor for class org.drip.sample.fixfloat.ShortTenorSwap
 
shortTermDays() - Method in class org.drip.portfolioconstruction.core.TaxAccountingScheme
Retrieve the Short Term Days
ShortTermFutures - Class in org.drip.market.exchange
ShortTermFutures contains the details of the exchange-traded Short-Term Futures Contracts.
ShortTermFutures(String[], double) - Constructor for class org.drip.market.exchange.ShortTermFutures
ShortTermFutures constructor
ShortTermFuturesContainer - Class in org.drip.market.exchange
ShortTermFuturesContainer holds the short term futures contracts.
ShortTermFuturesContainer() - Constructor for class org.drip.market.exchange.ShortTermFuturesContainer
 
ShortTermFuturesDefinition - Class in org.drip.sample.forwardratefutures
ShortTermFuturesDefinition illustrates the Construction and Usage of the Short Term Futures Exchange Details.
ShortTermFuturesDefinition() - Constructor for class org.drip.sample.forwardratefutures.ShortTermFuturesDefinition
 
shortTermTaxRate() - Method in class org.drip.portfolioconstruction.core.TaxAccountingScheme
Retrieve the Short Term Tax Rate
ShortTiltTerm - Class in org.drip.portfolioconstruction.objective
ShortTiltTerm holds the Details of Short Tilt Unit Objective Term.
ShortTiltTerm(String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.ShortTiltTerm
ShortTiltTerm Constructor
Shouguang - Class in org.drip.sample.bondeos
Shouguang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Shouguang.
Shouguang() - Constructor for class org.drip.sample.bondeos.Shouguang
 
showPeriods() - Method in class org.drip.product.credit.BondComponent
 
showPeriods() - Method in class org.drip.product.definition.Bond
Display all the coupon periods onto stdout
sigma() - Method in class org.drip.dynamics.hjm.G2PlusPlus
Retrieve Sigma
sigma() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Retrieve Sigma
sigma() - Method in class org.drip.param.pricer.HestonOptionPricerParams
Retrieve Sigma
Siliguri - Class in org.drip.sample.bondmetrics
Siliguri demonstrates the Analytics Calculation/Reconciliation for the Bond Siliguri.
Siliguri() - Constructor for class org.drip.sample.bondmetrics.Siliguri
 
SimpleBalanceSheet - Class in org.drip.xva.definition
SimpleBalanceSheet implements a Simple Dealer Balance Sheet Model as specified in Burgard and Kjaer (2012).
SimpleBalanceSheet(double, double) - Constructor for class org.drip.xva.definition.SimpleBalanceSheet
SimpleBalanceSheet Constructor
Simpson(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Compute the function's integral within the specified limits using the Simpson rule.
Simpson38(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Compute the function's integral within the specified limits using the Simpson 3/8 rule.
simulate(List<LatentStateLabel>, MarketVertex, CorrelatedPathVertexDimension) - Method in class org.drip.xva.dynamics.PathSimulator
Simulate the Realized State/Entity Values and their Aggregates over the Paths
simulatePrincipalMetric(int, int, int, int, LSQMCurveUpdate, int) - Method in interface org.drip.dynamics.evolution.CurveStateEvolver
Simulate the Principal Metric from the Start to the End Date
simulatePrincipalMetric(int, int, int, int, LSQMCurveUpdate, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
 
simulateTerminalLatentState(int, int, int, int, LSQMCurveUpdate, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Construct an Array of Forward Curves that Result from the Simulation
SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
Single Currency Basis Swap Spread Inflation Correlation
SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
Single Currency Basis Swap Spread Inflation Correlation
SINGLE_CURRENCY_CROSS_CURVE_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
Single Currency Cross-Curve Correlation
SINGLE_CURRENCY_CROSS_CURVE_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
Single Currency Cross-Curve Correlation
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
Single Currency Curve Basis Swap Spread Correlation
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
Single Currency Curve Basis Swap Spread Correlation
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics20
Single Currency Single Curve Basis Swap Spread
SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics21
Single Currency Single Curve Basis Swap Spread
SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
Single Currency Curve Inflation Correlation
SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
Single Currency Curve Inflation Correlation
SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics20
Same Currency Curve Inflation Rate Risk Weight
SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics21
Same Currency Curve Inflation Rate Risk Weight
SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
Single Currency Curve Volatility Inflation Volatility Correlation
SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
Single Currency Curve Volatility Inflation Volatility Correlation
SingleCurveTenorCorrelation() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Interest Rate Single Curve Tenor Correlation Instance
SingleCurveTenorCorrelation() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Interest Rate Single Curve Tenor Correlation Instance
SingleFactorStateEvolver - Class in org.drip.dynamics.hullwhite
SingleFactorStateEvolver provides the Hull-White One-Factor Gaussian HJM Short Rate Dynamics Implementation.
SingleFactorStateEvolver(FundingLabel, double, double, R1ToR1, UnivariateSequenceGenerator) - Constructor for class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
SingleFactorStateEvolver Constructor
SingleInterval(OrderSpecification) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Create a Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification
SingleJumpEvaluator - Class in org.drip.measure.dynamics
SingleJumpEvaluator implements the Single Point Jump Event Indication Evaluator that guides the One Factor Jump Random Process Variable Evolution.
SingleJumpEvaluator(LocalEvaluator, LocalEvaluator) - Constructor for class org.drip.measure.dynamics.SingleJumpEvaluator
SingleJumpEvaluator Constructor
singleNodeCalib() - Method in class org.drip.param.definition.CreditManifestMeasureTweak
Single Node Calibration Flag
SinglePeriodStreamDecompose(Stream, int) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
Decompose the Stream into an Array of Single Forward Period Floating Streams
SingleRandomSequenceBound - Class in org.drip.sample.sequence
SingleRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random Sequence.
SingleRandomSequenceBound() - Constructor for class org.drip.sample.sequence.SingleRandomSequenceBound
 
SingleSegmentLagrangePolynomial - Class in org.drip.spline.stretch
SingleSegmentLagrangePolynomial implements the SingleSegmentSequence Stretch interface using the Lagrange Polynomial Estimator.
SingleSegmentLagrangePolynomial(double[]) - Constructor for class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
SingleSegmentLagrangePolynomial constructor
SingleSegmentSequence - Interface in org.drip.spline.stretch
SingleSegmentSequence is the interface that exposes functionality that spans multiple segments.
SingleSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
SingleSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the specified Sequence.
SingleSequenceAgnosticMetrics(double[], R1) - Constructor for class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Build out the Sequence and their Metrics
SingleStreamComponent - Class in org.drip.product.rates
SingleStreamComponent implements fixed income component that is based off of a single stream.
SingleStreamComponent(String, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.SingleStreamComponent
SingleStreamComponent constructor
SingleStreamComponentBuilder - Class in org.drip.product.creator
IRFutureBuilder contains the suite of helper functions for creating the Futures product and product pack from the parameters/codes/byte array streams.
SingleStreamComponentBuilder() - Constructor for class org.drip.product.creator.SingleStreamComponentBuilder
 
SingleStreamOptionBuilder - Class in org.drip.product.creator
SingleStreamOptionBuilder contains the suite of helper functions for creating the Options Product Instance off of a single stream underlying.
SingleStreamOptionBuilder() - Constructor for class org.drip.product.creator.SingleStreamOptionBuilder
 
SingleStretchCurveBuilder - Class in org.drip.sample.overnight
SingleStretchCurveBuilder contains a sample of the construction and usage of the Overnight Curve built using the Overnight Indexed Swap Product Instruments inside a single stretch.
SingleStretchCurveBuilder() - Constructor for class org.drip.sample.overnight.SingleStretchCurveBuilder
 
SingleStretchFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified Spline
SingleStretchFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
SingleStretchShapePreservingFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
SingleStretchSmoothFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
singleTrajectory(MarketVertex, LatentStateWeiner) - Method in class org.drip.xva.dynamics.PathSimulator
Generate a Single Trajectory from the Specified Initial Market Vertex and the Evolver Sequence
SinglyLinkedNode - Class in org.drip.spaces.graph
SinglyLinkedNode implements the Node behind a Singly Linked List.
SinglyLinkedNode(double, SinglyLinkedNode) - Constructor for class org.drip.spaces.graph.SinglyLinkedNode
SinglyLinkedNode Constructor
SINGULAR_URGENCY_THRESHOLD - Static variable in class org.drip.execution.hjb.NonDimensionalCostEvolver
 
SINH - Static variable in class org.drip.function.r1tor1.HyperbolicTension
Hyperbolic Tension Function Type - sinh
sinkable() - Method in class org.drip.product.credit.BondComponent
 
sinkable() - Method in class org.drip.product.definition.Bond
Indicate if the bond is sinkable
SITHoliday - Class in org.drip.analytics.holset
 
SITHoliday() - Constructor for class org.drip.analytics.holset.SITHoliday
 
size() - Method in class org.drip.execution.strategy.OrderSpecification
Retrieve the Order Size
size() - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Size of the Sample Set
size() - Method in class org.drip.json.simple.ItemList
 
size(String) - Method in class org.drip.param.definition.Quote
Get the quote size for the given side
size(String) - Method in class org.drip.param.quote.MultiSided
 
size() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTerm
Retrieve the Size of the Holdings
size() - Method in class org.drip.quant.linearalgebra.MatrixComplementTransform
Retrieve the Dimension Length
size() - Method in class org.drip.simm.equity.EQBucket
Retrieve the Bucket Size
size() - Method in class org.drip.spaces.iterator.SequenceIndexIterator
Retrieve the Size of the Iterator
SizedVector - Class in org.drip.function.definition
SizedVector holds the R^d Unit Direction Vector along with its Magnitude.
SizedVector(UnitVector, double) - Constructor for class org.drip.function.definition.SizedVector
SizedVector Constructor
sizeToSegment(LatentStateInelastic) - Method in class org.drip.spline.params.StretchBestFitResponse
Generate the Segment Local Best Fit Weighted Response contained within the specified Segment
SkipAhead(RandomNumberGenerator, int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
Generate Multiple Independent Streams using the Skip Ahead Technique
SkipAhead(int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
Generate Multiple Independent Streams using the Skip Ahead Technique from the Default Random Number Generator
SKKHoliday - Class in org.drip.analytics.holset
 
SKKHoliday() - Constructor for class org.drip.analytics.holset.SKKHoliday
 
Slice - Class in org.drip.execution.discrete
Slice implements the Arithmetic Dynamics of the Price/Cost Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors on a Trajectory Slice.
Slice(double, double, double) - Constructor for class org.drip.execution.discrete.Slice
Slice Constructor
sliceGreeks() - Method in class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
Retrieve the List of the Slice Control Nodes Greek
slope() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
 
slope() - Method in class org.drip.execution.impact.ParticipationRateLinear
Retrieve the Linear Market Impact Slope Parameter
slope() - Method in class org.drip.execution.impact.TransactionFunctionLinear
Retrieve the Slope Market Impact Parameter
SlopeOnly(double) - Static method in class org.drip.execution.impact.ParticipationRateLinear
Construct a Vanilla Slope-Only ParticipationRateLinear Instance
SMALL - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
The "Small" Market Capitalization
SMOOTH - Static variable in class org.drip.service.template.LatentMarketStateBuilder
Smoothened Latent State
smootheningQuantificationMetric() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
Retrieve the Curve Smoothening Quantification Metric
SmoothForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments
SmoothFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
SmoothFXCurve(JulianDate, CurrencyPair, String[], double[], String, double) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Smooth FX Curve from the FX Forward Instruments
SmoothGovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Smooth Govvie Curve from the Treasury Instruments
SmoothingCurveStretchParams - Class in org.drip.state.estimator
SmoothingCurveStretchParams contains the Parameters needed to hold the Stretch.
SmoothingCurveStretchParams(String, SegmentCustomBuilderControl, int, StretchBestFitResponse, StretchBestFitResponse) - Constructor for class org.drip.state.estimator.SmoothingCurveStretchParams
SmoothingCurveStretchParams constructor
SmoothingGlobalControlBuild(MergedDiscountForwardCurve, LinearLatentStateCalibrator, GlobalControlCurveParams, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
SmoothingLocalControlBuild(MergedDiscountForwardCurve, LinearLatentStateCalibrator, LocalControlCurveParams, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
smoothingParameter() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
Retrieve the Smoothing Parameter
SmoothOvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments
SmoothRegularization(String, String) - Static method in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor
SmoothRegularization(String, String) - Static method in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor
SNAC_CDS - Static variable in class org.drip.param.quoting.QuotedSpreadInterpreter
SNAC CDS Contract
snapDate() - Method in class org.drip.historical.attribution.PositionMarketSnap
Retrieve the Date of the Snap
snapFirstMarketValue() - Method in class org.drip.historical.engine.FixFloatExplainProcessor
 
snapFirstMarketValue() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Generate and Snap Relevant Fields from the First Market Valuation Parameters
snapFirstMarketValue() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
 
snapSecondMarketValue() - Method in class org.drip.historical.engine.FixFloatExplainProcessor
 
snapSecondMarketValue() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Generate and Snap Relevant Fields from the Second Market Valuation Parameters
snapSecondMarketValue() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
 
snapshot() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
Retrieve the LSQM Curve Snapshot
snapshot() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
Retrieve the LSQM Point Snapshot
SoftConstraint - Class in org.drip.portfolioconstruction.optimizer
SoftConstraint holds the Details of a Soft Constraint.
SoftConstraint(String, double, double) - Constructor for class org.drip.portfolioconstruction.optimizer.SoftConstraint
SoftConstraint Constructor
softContraint() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
Retrieve the Soft Constraint
Solapur - Class in org.drip.sample.bondeos
Solapur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Solapur.
Solapur() - Constructor for class org.drip.sample.bondeos.Solapur
 
Solo(PositionGroup) - Static method in class org.drip.exposure.holdings.PositionGroupContainer
Generate a PositionGroupContainer Instance with a Solo Group
solve(double[]) - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple using the Barrier Iteration Parameters provided by the IPBC Instance
SolveUsingGaussianElimination(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
Solve the Linear System using Gaussian Elimination from the Set of Values in the Array
SolveUsingGaussSeidel(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
Solve the Linear System using the Gauss-Seidel algorithm from the Set of Values in the Array
SolveUsingMatrixInversion(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
Solve the Linear System using Matrix Inversion from the Set of Values in the Array
Soontornkit2010 - Class in org.drip.sample.blacklitterman
Soontornkit2010 reconciles the Outputs of the Black-Litterman Model Process.
Soontornkit2010() - Constructor for class org.drip.sample.blacklitterman.Soontornkit2010
 
sosc() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Second Order Sufficiency Condition
source() - Method in class org.drip.param.quote.ProductTick
Retrieve the Quote Source
source() - Method in class org.drip.spaces.graph.Edge
Retrieve the Source Vertex
sourceTargetTransitionProbability(TrinomialTreeNodeMetrics, TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the Source-To-Target Transition Probability
sourceTargetTransitionProbability() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the FULL Source-Target Transition Probability Map
SovereignFixedBullet - Class in org.drip.sample.sovereign
SovereignFixedBullet demonstrates Non-EOS Fixed Coupon Sovereign Bond Pricing and Relative Value Measure Generation Functionality.
SovereignFixedBullet() - Constructor for class org.drip.sample.sovereign.SovereignFixedBullet
 
SOVEREIGNS - Static variable in class org.drip.simm.credit.SectorSystemics
The Sovereigns Sector
span(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
Retrieve the specified Latent State Quantification Metric Span Increment
Span - Interface in org.drip.spline.grid
Span is the interface that exposes the functionality behind the collection of Stretches that may be overlapping or non-overlapping.
spanTenor() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
Retrieve the Number of Forward Tenors comprising the Span Tenor
sparseDateArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
Retrieve the Sparse Exposure Date Array
sparseExposureArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
Retrieve the Sparse Exposure Array
sparseExposureDateArray() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Retrieve the Array of Sparse Exposure Dates
sparseExposureDateCount() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
Retrieve the Number of Sparse Exposure Dates
sparseLocalVolatilityArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
Retrieve the Sparse Local Volatility R1 To R1 Array
sparseVertexExposureTrajectory() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
Retrieve the Path Sparse Vertex Exposure Trajectory
specificDayInMonth() - Method in class org.drip.analytics.eventday.DateInMonth
Retrieve the Specific Day in Month
specificMarketRealizationChange(String) - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Specific Manifest Measure Market Realization Position Change
specificMarketRollDownChange(String) - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Specific Manifest Measure Market Roll-down Position Change
specificMarketSensitivityChange(String) - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Specific Manifest Measure Market Sensitivity Position Change
specificRisk() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Retrieve the Asset Specific Attribute
speed() - Method in class org.drip.pricer.option.Greeks
The Option Speed
spf(String) - Method in class org.drip.spaces.graph.BellmanFordScheme
Run the Bellman Ford SPF Algorithm
spf(String) - Method in class org.drip.spaces.graph.DijkstraScheme
Run the Dijsktra SPF Algorithm
SPGB(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the Spanish Treasury EUR SPGB Bond
spin() - Method in class org.drip.service.engine.ComputeServer
Spin on the Listener Loop
SplineGovvieCurve - Class in org.drip.sample.govvie
SplineGovvieCurve demonstrates the Construction and Usage of the Spline-based Govvie Curve.
SplineGovvieCurve() - Constructor for class org.drip.sample.govvie.SplineGovvieCurve
 
split(String, String, List, boolean) - Method in class org.drip.json.simple.ItemList
 
split(String, String, List) - Method in class org.drip.json.simple.ItemList
 
Split(String, String) - Static method in class org.drip.quant.common.StringUtil
Parse and Split the Input Phrase into a String Array using the specified Delimiter
SPLITS_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
Indicator specifying that the knot splits the constraint ordinates
spot() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Spot Date
Spot(JulianDate, int, String, int) - Static method in class org.drip.param.valuation.ValuationParams
Create the valuation parameters object instance from the valuation date, the cash settle lag, and the settle calendar.
Spot(int) - Static method in class org.drip.param.valuation.ValuationParams
Create the spot valuation parameters for the given valuation date (uses the T+0 settle)
spot() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Spot Date
spotDate() - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
Retrieve the Spot Date
spotDate() - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
Retrieve the Spot Date
spotDate() - Method in class org.drip.dynamics.lmm.ShortRateProcess
Retrieve the Spot Date
spotDate() - Method in class org.drip.exposure.universe.MarketVertexGenerator
Retrieve the Spot Date
spotDate() - Method in class org.drip.service.api.FixFloatFundingInstrument
Retrieve the Spot Date
SpotDateArray(JulianDate, int) - Static method in class org.drip.analytics.support.Helper
Generate an Array of Repeated Spot Dates
SpotDatePeriodTenor(int, String, int) - Static method in class org.drip.analytics.support.VertexDateBuilder
Construct an Array of Vertex Dates from the Spot Date, Tenor Spacing Width, and the Vertex Count
SpotDateVertexTenor(int, String[]) - Static method in class org.drip.analytics.support.VertexDateBuilder
Construct an Array of Dates from the Spot Date and the Vertex Tenor Array
spotHoldings() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Spot Holdings
spotLag() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Index Spot Lag
spotLag() - Method in class org.drip.market.definition.IBORIndex
 
spotLag() - Method in class org.drip.market.definition.OvernightIndex
 
spotLag() - Method in class org.drip.market.otc.CrossFloatSwapConvention
Retrieve the Spot Lag
spotLag() - Method in class org.drip.market.otc.FixedFloatSwapConvention
Retrieve the Spot Lag
spotLag() - Method in class org.drip.market.otc.FloatFloatSwapConvention
Retrieve the Spot Lag
spotLagDAPBackward() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Spot Lag DAP with Date Roll Previous
spotLagDAPForward() - Method in class org.drip.market.definition.FloaterIndex
Retrieve the Spot Lag DAP with Date Roll Following
spotRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Spot Rate
spotRate() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Spot Rate
spotRateIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
Retrieve the Spot Rate Discount Curve Increment
spotRateIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
Retrieve the Spot Rate Increment
spotRateIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
Retrieve the Spot Rate Increment
spotRateIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
Retrieve the Spot Rate Increment
spotRateIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
Retrieve the Array of Tenor Spot Rate Increments
SpotStandard(JulianDate, AndersenPykhtinSokolLag, String) - Static method in class org.drip.exposure.csatimeline.LastFlowDates
Generate a LastFlowDates Instance from the Spot Date and the AndersenPykhtinSokolLag
spotTime() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Spot Time
spread() - Method in class org.drip.analytics.definition.Turn
Retrieve the Spread
spread() - Method in class org.drip.param.period.ComposableFloatingUnitSetting
Retrieve the Floating Unit Spread
spread() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
Retrieve the Spread
spread() - Method in class org.drip.product.params.FloaterSetting
Retrieve the Floating Spread
SpreadCalibOP(double, CreditCurve) - Constructor for class org.drip.product.credit.CDSComponent.SpreadCalibOP
 
SpreadCalibrator(CreditDefaultSwap, int) - Constructor for class org.drip.product.credit.CDSComponent.SpreadCalibrator
Constructor: Construct the SpreadCalibrator from the CDS parent, and whether the calibration is off of a single node
spreadDurationMultiplier() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Spread Duration Multiplier
spreadQuoted() - Method in class org.drip.param.valuation.ValuationCustomizationParams
Indicate if spread Quoted
Square(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Square the Complex Number
SQUARE_ROOT_OF_TIME - Static variable in class org.drip.xva.settings.BrokenDateScheme
Square Root of Time Based Broken Date Interpolation Scheme
SquareRoot(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Compute the Square Root of the Complex Number
SquareSubMatrixList(double[][], int, int) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
Generate the List of all the sub-matrices contained within a specified Square Matrix starting from the given Row and Column
Srinagar - Class in org.drip.sample.bondeos
Srinagar demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Srinagar.
Srinagar() - Constructor for class org.drip.sample.bondeos.Srinagar
 
Standard(int, int, FloaterLabel) - Static method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Standard Instance of ReferenceIndexPeriod
Standard(JulianDate) - Static method in class org.drip.assetbacked.loan.Vintage
Construct a Vintage Instance from the Origination Date
Standard(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear) - Static method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
Generate a ConstrainedLinearTemporaryImpact Instance
Standard(PriceIncrement, double, double) - Static method in class org.drip.execution.discrete.ShortfallIncrement
Generate a Standard ShortfallIncrement Instance
Standard(MarketImpactComponent, MarketImpactComponent) - Static method in class org.drip.execution.evolution.MarketImpactComposite
Construct a Standard Instance of MarketImpactComposite
Standard(OrnsteinUhlenbeck) - Static method in class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
Construct a Standard NonDimensionalCostEvolverSystemic Instance
Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousAlmgrenChriss
Create the Standard ContinuousAlmgrenChriss Instance
Standard(double, double, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousConstantTradingEnhanced
Create the Standard ContinuousConstantTradingEnhanced Instance
Standard(double, double, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousCoordinatedVariationDeterministic
Create the Standard ContinuousCoordinatedVariationDeterministic Instance
Standard(double, double, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousCoordinatedVariationStochastic
Create the Standard ContinuousCoordinatedVariationStochastic Instance
Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousHighUrgencyAsymptote
Create the Standard ContinuousHighUrgencyAsymptote Instance
Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousLowUrgencyAsymptote
Create the Standard ContinuousLowUrgencyAsymptote Instance
Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousPowerImpact
Create the Standard ContinuousPowerImpact Instance
Standard(double, double, int, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.DiscreteAlmgrenChriss
Create the Standard DiscreteAlmgrenChriss Instance
Standard(double, double, int, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.DiscreteAlmgrenChrissDrift
Create the Standard DiscreteAlmgrenChrissDrift Instance
Standard(double, double, int, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.DiscreteLinearTradingEnhanced
Create the Standard DiscreteLinearTradingEnhanced Instance
Standard(double[], double[], ArithmeticPriceEvolutionParameters) - Static method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
Construct a Standard EfficientTradingTrajectoryDiscrete Instance
Standard(double, double, double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1) - Static method in class org.drip.execution.optimum.PowerImpactContinuous
Construct the Standard PowerImpactContinuous Instance
Standard(DiscreteTradingTrajectory, ArithmeticPriceEvolutionParameters, double, double) - Static method in class org.drip.execution.optimum.TradingEnhancedDiscrete
Construct a Standard TradingEnhancedDiscrete Instance
Standard(double, R1ToR1, R1ToR1, R1ToR1) - Static method in class org.drip.execution.strategy.ContinuousTradingTrajectory
Construct a Standard Instance of ContinuousTradingTrajectory
Standard(double[], double[]) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectory
Construct a Standard DiscreteTradingTrajectory Instance
Standard(double, double, double, double, int) - Static method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
Create a MinimumImpactTradingTrajectory Instance from Equal Intervals
Standard() - Static method in class org.drip.exposure.mpor.MarginPeriodOfRisk
Construct a Standard Instance of MarginPeriodOfRisk
Standard(int[], String, VariationMarginTradePaymentVertex, MarketPath, AndersenPykhtinSokolLag) - Static method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Generate a Standard Instance of PathVariationMarginTrajectoryEstimator
Standard(double) - Static method in class org.drip.exposure.mpor.TradePayment
Construct a "Standard" TradePayment Instance
Standard(int) - Static method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
Construct a Standard Instance of LocalVolatilityGenerationControl
Standard(double[]) - Static method in class org.drip.exposure.regression.PykhtinPillarDynamics
Construct an Instance of PykhtinPillarDynamics from the Exposure Array
Standard(double[]) - Static method in class org.drip.function.definition.SizedVector
Construct an Instance of the Sized Vector from the Input Array
Standard(double[]) - Static method in class org.drip.function.definition.UnitVector
Construct an Instance of the Unit Vector from the Input Vector
Standard() - Static method in class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
Construct the Standard ISDA Bucket Curvature Tenor Scaler
Standard() - Static method in class org.drip.function.rdtor1solver.ConvergenceControl
Construct a Standard ConvergenceControl Instance
Standard() - Static method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
Construct a Standard InteriorPointBarrierControl Instance
Standard(int) - Static method in class org.drip.measure.crng.ShiftRegisterGenerator
Construct a Standard Instance of ShiftRegisterGenerator from the Specified Period Power
Standard(double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorLinear
Generate a Standard Instance of DiffusionEvaluatorLinear
Standard(double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic
Generate a Standard Instance of DiffusionEvaluatorLogarithmic
Standard(double, double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion
Generate a Standard Instance of DiffusionEvaluatorMeanReversion
Standard(double, double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
Construct a Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck
Standard(double, double) - Static method in class org.drip.measure.dynamics.HazardJumpEvaluator
Generate a Standard Instance of HazardJumpEvaluator
Standard(MultivariateMeta, double[], double[][]) - Static method in class org.drip.measure.gaussian.R1MultivariateNormal
Construct a Standard R1MultivariateNormal Instance
Standard(String[], double[], double[][]) - Static method in class org.drip.measure.gaussian.R1MultivariateNormal
Construct a Standard R1MultivariateNormal Instance
Standard() - Static method in class org.drip.measure.gaussian.R1UnivariateNormal
Generate a N (0, 1) distribution
Standard(double, double, double[], double[], double) - Static method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
Calibrate an R1PiecewiseDisplaced Lebesgue Instance
Standard(double, double, double[], double[]) - Static method in class org.drip.measure.lebesgue.R1PiecewiseLinear
Calibrate an R1PiecewiseLinear Lebesgue Instance
Standard(double, double, double, boolean, double, double, double, double, double, double) - Static method in class org.drip.measure.realization.JumpDiffusionEdge
Construct the Standard JumpDiffusionEdge Instance
Standard(double, double, double, StochasticEdgeJump, JumpDiffusionEdgeUnit) - Static method in class org.drip.measure.realization.JumpDiffusionEdge
Construct the Standard JumpDiffusionEdge Instance
Standard(String[], double[][]) - Static method in class org.drip.measure.statistics.MultivariateMoments
Generate the MultivariateMetrics Instance from the Series Realizations provided
Standard(String[], double[], double[][]) - Static method in class org.drip.measure.statistics.MultivariateMoments
Generate the MultivariateMetrics Instance from the Specified Mean and Co-variance Inputs
Standard(String, double[], int[]) - Static method in class org.drip.measure.statistics.UnivariateMoments
Construct a UnivariateMoments Instance for the specified Series
Standard(String, double[]) - Static method in class org.drip.measure.statistics.UnivariateMoments
Construct a UnivariateMoments Instance for the specified Series
Standard(double[], FritzJohnMultipliers, boolean, boolean, boolean, boolean, boolean, boolean) - Static method in class org.drip.optimization.constrained.NecessarySufficientConditions
Create a Standard Instance of NecessarySufficientConditions
Standard(double[], FritzJohnMultipliers, boolean, boolean, boolean, boolean, boolean, boolean, boolean) - Static method in class org.drip.optimization.constrained.RegularityConditions
Construct a Standard Instance of RegularityConditions
Standard() - Static method in class org.drip.param.definition.CalibrationParams
Create a standard calibration parameter instance around the price measure and base type
Standard() - Static method in class org.drip.param.pricer.CreditPricerParams
Create the standard Credit pricer parameters object instance
Standard(JulianDate, String) - Static method in class org.drip.param.valuation.ValuationParams
Create the standard T+2B settle parameters for the given valuation date and calendar
Standard(Portfolio, double, double[][], double[]) - Static method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
Construct a Standard Instance of ForwardReverseOptimizationOutput
Standard(String[], double[]) - Static method in class org.drip.portfolioconstruction.asset.Portfolio
Construct a Portfolio Instance from the Array of Asset ID's and their Amounts
Standard(String, String, String, Holdings) - Static method in class org.drip.portfolioconstruction.composite.Benchmark
Construct a Standard Benchmark Instance Without Cash
Standard(String, Scope, Unit, double, double, double[], TransactionCharge[]) - Static method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
Construct a Static Instance of LimitChargeTermIssuer
Standard(String) - Static method in class org.drip.portfolioconstruction.core.Block
Construct a Standard Instance of a Block
Standard(String, String, String, String[], String[], double[][], double[][], double[]) - Static method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
Generate a Standard Instance of AttributeJointFactor
Standard(String, JulianDate, String, int, String, int, double, double, double, double) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
Construct an Instance of the Constant Payment Bond
Standard() - Static method in class org.drip.service.engine.ComputeClient
Construct Standard LocalHost-based Instance of the ComputeClient
Standard() - Static method in class org.drip.service.engine.ComputeServer
Create a Standard Instance of the ComputeServer
Standard(BondComponent, ValuationParams, CurveSurfaceQuoteContainer, GovvieBuilderSettings, double, double) - Static method in class org.drip.service.scenario.EOSMetricsReplicator
Standard Static EOSMetricsReplicator Creator
Standard(double, Map<String, Double>) - Static method in class org.drip.simm.estimator.AdditionalInitialMargin
Construct a Standard Instance of AdditionalInitialMargin
Standard() - Static method in class org.drip.simm.foundation.CurvatureResponseCornishFischer
Construct the Standard Instance of CurvatureResponseCornishFischer
Standard(double[][], double) - Static method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
Construct the Standard RiskGroupPrincipalCovariance Instance from the Bucket Correlation Matrix and the Cross Correlation Entry
Standard(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>) - Static method in class org.drip.simm.product.BucketSensitivityIR
Generate a Standard Instance of BucketSensitivityIR from the Tenor Sensitivity Maps
Standard(R1CombinatorialVector[]) - Static method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
Retrieve the RdSpanningCombinatorialIterator Instance associated with the Underlying Vector Space
Standard(int, int) - Static method in class org.drip.spaces.iterator.SequenceIndexIterator
Create a Standard Sequence/Index Iterator
Standard(List<Double>, R1, int) - Static method in class org.drip.spaces.metric.R1Combinatorial
Construct the Standard l^p R^1 Combinatorial Space Instance
Standard(double, double, R1, int) - Static method in class org.drip.spaces.metric.R1Continuous
Construct the Standard l^p R^1 Continuous Space Instance
Standard() - Static method in class org.drip.spaces.tensor.BinaryBooleanVector
Construct the Standard Binary Boolean Vector Space
Standard() - Static method in class org.drip.spaces.tensor.R1ContinuousVector
Create the Standard R^1 Continuous Vector Space
Standard(int) - Static method in class org.drip.spaces.tensor.RdContinuousVector
Construct the RdContinuousVector Instance
Standard(String, ValuationParams, CalibratableComponent[], double[], String[], double, boolean, MergedDiscountForwardCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams, CalibrationParams) - Static method in class org.drip.state.boot.CreditCurveScenario
Calibrate a Credit Curve
Standard(ValuationParams, CalibratableComponent[], double[], String[], double, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.DiscountCurveScenario
Calibrate a discount curve
Standard(String, ValuationParams, LatentStateLabel, FRAStandardCapFloor[], double[], String[], boolean, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.VolatilityCurveScenario
Calibrate a Volatility Curve
Standard(String) - Static method in class org.drip.state.identifier.CollateralLabel
Make a Standard Collateral Label from the Collateral Currency
Standard(String) - Static method in class org.drip.state.identifier.CustomLabel
Make a Standard Custom Metric Label Instance
Standard(String, String) - Static method in class org.drip.state.identifier.EntityCDSLabel
Make a Standard SENIOR Entity Credit Label from the Reference Entity
Standard(String, String) - Static method in class org.drip.state.identifier.EntityEquityLabel
Make a Standard Equity Entity Label from the Reference Entity Name
Standard(String, String) - Static method in class org.drip.state.identifier.EntityHazardLabel
Make a Standard Entity Hazard Label from the Reference Entity Name
Standard(String) - Static method in class org.drip.state.identifier.ForwardLabel
Construct a ForwardLabel from the corresponding Fully Qualified Name
Standard(String) - Static method in class org.drip.state.identifier.FundingLabel
Make a Standard Funding Label from the Funding Currency
Standard(CurrencyPair) - Static method in class org.drip.state.identifier.FXLabel
Make a Standard FX Label from the Currency Pair Instance
Standard(String) - Static method in class org.drip.state.identifier.FXLabel
Make a Standard FX Label from the Currency Pair Code
Standard(String) - Static method in class org.drip.state.identifier.GovvieLabel
Make a Standard Govvie Label from the Treasury Code
Standard(String) - Static method in class org.drip.state.identifier.OTCFixFloatLabel
Construct a OTCFixFloatLabel from the corresponding Fully Qualified Name
Standard(String) - Static method in class org.drip.state.identifier.PaydownLabel
Make a Standard Pay-down Label from the Reference Entity Name
Standard(String, String) - Static method in class org.drip.state.identifier.RatingLabel
Make a Standard Rating Label from the Rating Agency and the Rated Code.
Standard(String) - Static method in class org.drip.state.identifier.RepoLabel
Make a Standard Repo Label from the Product Code
Standard(LatentStateLabel) - Static method in class org.drip.state.identifier.VolatilityLabel
Make a Standard Volatility Latent State Label from the Underlying Latent State Label
Standard(GovvieBuilderSettings, CorrelatedPathVertexDimension, DiffusionEvolver) - Static method in class org.drip.state.sequence.PathVertexGovvie
Generate a Standard Instance of PathVertexGovvie
Standard(CorrelatedPathVertexDimension, DiffusionEvolver) - Static method in class org.drip.state.sequence.PathVertexRd
Generate a Standard Instance of PathVertexRd
Standard(double, double, double, double) - Static method in class org.drip.xva.derivative.ReplicationPortfolioVertex
Construct a ReplicationPortfolioVertex Instance without the Zero Recovery Dealer Numeraire
Standard(double) - Static method in class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
Construct a ReplicationPortfolioVertexDealer Instance from the Senior Dealer Numeraire alone
Standard(CloseOut, double, double) - Static method in class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
Construct a Static Instance of CollateralGroupVertexCloseOut
Standard(String, String, EntityHazardLabel, EntityHazardLabel, EntityRecoveryLabel, EntityRecoveryLabel, EntityRecoveryLabel) - Static method in class org.drip.xva.proto.CreditDebtGroupSpecification
Generate a Standard Instance of CreditDebtGroupSpecification
StandardBanach(int, Rd, int) - Static method in class org.drip.spaces.metric.RdContinuousBanach
Construct the Standard l^p R^d Continuous Banach Space Instance
StandardCDXManager - Class in org.drip.service.env
StandardCDXManager implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA standardized CDS indices.
StandardCDXManager() - Constructor for class org.drip.service.env.StandardCDXManager
 
StandardCDXParams - Class in org.drip.product.params
StandardCDXParams implements the parameters used to create the standard CDX - the coupon, the number of components, and the currency.
StandardCDXParams(int, String, double) - Constructor for class org.drip.product.params.StandardCDXParams
Create the Standard CDX Parameters object using the components, the currency, and the coupon
standardDeviation() - Method in class org.drip.measure.statistics.MultivariateDiscrete
Retrieve the Multivariate Standard Deviation
StandardDeviationTerm - Class in org.drip.portfolioconstruction.objective
StandardDeviationTerm holds the Details of the Portfolio Risk (Standard Deviation) Objective Term.
StandardDeviationTerm(String, double[], double[][], double[]) - Constructor for class org.drip.portfolioconstruction.objective.StandardDeviationTerm
StandardDeviationTerm Constructor
StandardHestonPricingMeasures - Class in org.drip.sample.stochasticvolatility
StandardHestonPricingMeasures contains an illustration of the Stochastic Volatility based Pricing Algorithm of an European Call Using the Heston Algorithm.
StandardHestonPricingMeasures() - Constructor for class org.drip.sample.stochasticvolatility.StandardHestonPricingMeasures
 
StandardHilbert(int, Rd) - Static method in class org.drip.spaces.metric.RdContinuousHilbert
Construct the Standard l^2 R^d Hilbert Space Instance
StandardizedExposureGeneratorScheme - Class in org.drip.xva.settings
StandardizedExposureGeneratorScheme holds the Fields for the Generation of the Conservative Exposure Measures generated using the Standardized Basel Scheme.
StandardizedExposureGeneratorScheme(double, int, SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Constructor for class org.drip.xva.settings.StandardizedExposureGeneratorScheme
StandardizedExposureGeneratorScheme Constructor
standardMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, WorkoutInfo, double) - Method in class org.drip.product.credit.BondComponent
 
standardMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, WorkoutInfo, double) - Method in class org.drip.product.definition.Bond
Calculate the full set of Bond RV Measures from the Price Input
standardNetTaxGainUS(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
Compute the Standard Net US Tax Gain
StandardWeekend() - Static method in class org.drip.analytics.eventday.Weekend
Create a Weekend Instance with SATURDAY and SUNDAY
start() - Method in class org.drip.exposure.universe.MarketEdge
Retrieve the Market State Vertex Start
start() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
Retrieve the Start
start() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Start Realization
start() - Method in class org.drip.sequence.random.BoundedUniformInteger
Retrieve the Start
start() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
Retrieve the Merge Stretch Start Date
startArray() - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the beginning of a JSON array.
startDate() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Retrieve the Accrual Start Date
startDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
Retrieve the Period Start Date
startDate() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Period Start Date
startDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
Reference Period Start Date
startDate() - Method in class org.drip.analytics.definition.Turn
Retrieve the Start Date
startDate() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
Retrieve the Start Date
startHoldings() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
Retrieve the Initial Holdings, i.e., the Starting Number of Units to the Executed
startJSON() - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the beginning of JSON processing.
startObject() - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the beginning of a JSON object.
startObjectEntry(String) - Method in interface org.drip.json.parser.ContentHandler
Receive notification of the beginning of a JSON object entry.
startSnap() - Method in class org.drip.service.env.InvocationRecord
Retrieve the Begin Snapshot
startSurvival() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
Survival Probability at the Period Beginning
stateCount() - Method in class org.drip.exposure.universe.LatentStateWeiner
Retrieve the Count of the Latent States Available
stateIndexCursor() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
Retrieve the State Index Cursor
Static - Class in org.drip.analytics.eventday
Static implements a complete date as a specific holiday.
Static(JulianDate, String) - Constructor for class org.drip.analytics.eventday.Static
Construct a static holiday from the date and the description
StaticContinuousOptimalTrajectory - Class in org.drip.sample.almgren2009
StaticContinuousOptimalTrajectory demonstrates the Generation and Usage of Continuous Version of the Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
StaticContinuousOptimalTrajectory() - Constructor for class org.drip.sample.almgren2009.StaticContinuousOptimalTrajectory
 
staticDate() - Method in class org.drip.param.period.FixingSetting
Retrieve the Static Fixing Date
StaticOptimalScheme - Class in org.drip.execution.nonadaptive
StaticOptimalScheme generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Discrete/Continuous Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function.
StaticOptimalScheme(ArithmeticPriceEvolutionParameters, ObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.StaticOptimalScheme
 
StaticOptimalSchemeContinuous - Class in org.drip.execution.nonadaptive
StaticOptimalSchemeContinuous generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Continuous Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function.
StaticOptimalSchemeContinuous(OrderSpecification, ArithmeticPriceEvolutionParameters, ObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous
StaticOptimalSchemeContinuous Constructor
StaticOptimalSchemeDiscrete - Class in org.drip.execution.nonadaptive
StaticOptimalSchemeDiscrete generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Discrete Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function.
StaticOptimalSchemeDiscrete(DiscreteTradingTrajectoryControl, ArithmeticPriceEvolutionParameters, ObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete
StaticOptimalSchemeDiscrete Constructor
StaticOptimalTrajectoryHoldings - Class in org.drip.sample.almgren2012
StaticOptimalTrajectoryHoldings simulates the Outstanding Holdings from the Sample Realization of the Static Cost Strategy extracted using the Mean Market State that follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
StaticOptimalTrajectoryHoldings() - Constructor for class org.drip.sample.almgren2012.StaticOptimalTrajectoryHoldings
 
StaticOptimalTrajectoryTradeRate - Class in org.drip.sample.almgren2012
StaticOptimalTrajectoryTradeRate simulates the Trade Rate from the Sample Realization of the Static Cost Strategy extracted using the Mean Market State that follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
StaticOptimalTrajectoryTradeRate() - Constructor for class org.drip.sample.almgren2012.StaticOptimalTrajectoryTradeRate
 
staticTransactionCost() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Estimate of the Static Transaction Cost
stayNodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the "Stay" Node Metrics
stdDev() - Method in class org.drip.measure.statistics.UnivariateMoments
Retrieve the Series Standard Deviation
STEM_CDS - Static variable in class org.drip.param.quoting.QuotedSpreadInterpreter
STEM CDS Contract
stepLength() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
Retrieve the Step Length
StepUpStepDown - Class in org.drip.sample.fixfloat
StepUpStepDown demonstrates the construction and Valuation of in-advance step-up and step-down swaps.
StepUpStepDown() - Constructor for class org.drip.sample.fixfloat.StepUpStepDown
 
stochastic() - Method in class org.drip.execution.evolution.MarketImpactComposite
Retrieve the Stochastic Impact Component Instance
stochasticDiffusionEdge() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Stochastic Diffusion Edge Instance
StochasticEdgeDiffusion - Class in org.drip.measure.realization
StochasticEdgeDiffusion holds the Edge of the Diffusion Stochastic Evaluator Outcome.
StochasticEdgeDiffusion(double) - Constructor for class org.drip.measure.realization.StochasticEdgeDiffusion
StochasticEdgeDiffusion Constructor
StochasticEdgeJump - Class in org.drip.measure.realization
StochasticEdgeJump holds the Edge of the Jump Stochastic Evaluator Outcome.
StochasticEdgeJump(boolean, double, double, double) - Constructor for class org.drip.measure.realization.StochasticEdgeJump
StochasticEdgeJump Constructor
stochasticForwardRateFunction() - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
Retrieve the Stochastic Forward Rate Function
stochasticJumpEdge() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Stochastic Jump Edge Instance
stochasticShortRateFunction() - Method in class org.drip.dynamics.lmm.ShortRateProcess
Retrieve the Stochastic Short Rate Function
StochasticVolatilityStateEvolver - Class in org.drip.dynamics.sabr
StochasticVolatilityStateEvolver provides the SABR Stochastic Volatility Evolution Dynamics.
StochasticVolatilityStateEvolver(ForwardLabel, double, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Constructor for class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
StochasticVolatilityStateEvolver Constructor
straightMultiPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Generate Straight Multi-Path R^d Vertex Realizations Array
straightPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Generate a Single Straight Path R^d Vertex Realization
straightVertexRealization() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
Generate a Straight Single R^d Vertex Realization
strategy() - Method in class org.drip.portfolioconstruction.optimizer.Rebalancer
Retrieve the Strategy Instance
Strategy - Class in org.drip.portfolioconstruction.optimizer
Strategy holds the Details of a given Strategy.
Strategy(String, String, String, ObjectiveFunction, ConstraintHierarchy, boolean, boolean, boolean) - Constructor for class org.drip.portfolioconstruction.optimizer.Strategy
Strategy Constructor
stream() - Method in class org.drip.exposure.generator.StreamMPoR
Retrieve the Underlying Stream Instance
stream() - Method in class org.drip.product.credit.BondComponent
 
stream() - Method in interface org.drip.product.definition.BondProduct
Retrieve the Bond Stream
stream() - Method in class org.drip.product.fra.FRAStandardCapFloor
Retrieve the Stream Instance Underlying the Cap
stream() - Method in class org.drip.product.rates.SingleStreamComponent
Retrieve the Stream Instance
Stream - Class in org.drip.product.rates
Stream implements the fixed and the floating streams.
Stream(List<CompositePeriod>) - Constructor for class org.drip.product.rates.Stream
Stream constructor
StreamBuilder - Class in org.drip.product.creator
StreamBuilder contains Utility Functions to construct Fixed, Floating, and Mixed Streams.
StreamBuilder() - Constructor for class org.drip.product.creator.StreamBuilder
 
StreamMPoR - Class in org.drip.exposure.generator
StreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the generic Stream off of the Realized Market Path.
StreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.StreamMPoR
 
StreamQuoteSet - Class in org.drip.product.calib
StreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Universal Stream.
StreamQuoteSet() - Constructor for class org.drip.product.calib.StreamQuoteSet
Empty StreamQuoteSet Constructor
strengthOrder() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the Array of Strength Orders as specified in Eustaquio, Karas, and Ribeiro (2008)
StretchBestFitResponse - Class in org.drip.spline.params
StretchBestFitResponse implements basis per-Stretch Fitness Penalty Parameter Set.
StretchEstimationTestSequence() - Static method in class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
 
stretchSpec() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
Retrieve the Array of Latent State Stretch Representation Specifications
strike() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve the Strike
strike() - Method in class org.drip.product.fra.FRAStandardComponent
Retrieve the FRA Strike
strike() - Method in class org.drip.product.option.EuropeanCallPut
Retrieve the Option Strike
strike() - Method in class org.drip.product.option.OptionComponent
Retrieve the Strike
STRING_BEGIN - Static variable in class org.drip.json.parser.Yylex
 
stringArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
Retrieve the Array of String Values corresponding to the specified Column Index
StringArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a String Array
StringArrayToString(String[], String, String) - Static method in class org.drip.quant.common.StringUtil
Convert the String Array to a Record Delimited String
StringEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
Convert the JSON Entry to a String
StringGrid(String, boolean) - Static method in class org.drip.feed.loader.CSVParser
Parse the Contents of the CSV File into a List of String Arrays
StringMatch(String, String) - Static method in class org.drip.quant.common.StringUtil
Indicate it the pair of Strings Match each other in Value
StringUtil - Class in org.drip.quant.common
StringUtil implements string utility functions.
StringUtil() - Constructor for class org.drip.quant.common.StringUtil
 
stripPiecewiseForwardVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, Map<JulianDate, Double>) - Method in class org.drip.product.fra.FRAStandardCapFloor
Strip the Piece-wise Constant Forward Rate Volatility of the Unmarked Segment of the Volatility Term Structure
strongCriterion() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
strongCriterion() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
strongCriterion() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
strongCurvatureCriterion() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
StrongCurvatureEvolutionMetrics - Class in org.drip.sample.descentverifier
StrongCurvatureEvolutionMetrics demonstrates the Impact of applying the Strong Curvature Criterion on the Evolution of the R^d Fixed Point of a Constrained Minimization Search.
StrongCurvatureEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.StrongCurvatureEvolutionMetrics
 
StrongWolfeEvolutionMetrics - Class in org.drip.sample.descentverifier
StrongWolfeEvolutionMetrics demonstrates the Impact of applying the Strong Wolfe Criterion on the Evolution of the R^d Fixed Point of a Constrained Minimization Search.
StrongWolfeEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.StrongWolfeEvolutionMetrics
 
structuralLoss(R1ToR1, double[]) - Method in class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
 
structuralLoss(R1ToR1, double[]) - Method in class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
 
structuralLoss(R1ToR1, double[]) - Method in interface org.drip.learning.regularization.RegularizerR1ToR1
Compute the Regularization Sample Structural Loss
structuralLoss(RdToR1, double[][]) - Method in class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
 
structuralLoss(RdToR1, double[][]) - Method in class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
 
structuralLoss(RdToR1, double[][]) - Method in interface org.drip.learning.regularization.RegularizerRdToR1
Compute the Regularization Sample Structural Loss
structuralLoss(R1ToR1, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Structural Sample Loss
structuralLoss(RdToR1, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Structural Sample Loss
structuralLoss(R1ToR1, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
structuralLoss(RdToR1, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
structuralRisk(R1R1, R1ToR1, double[], double[]) - Method in class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
 
structuralRisk(R1R1, R1ToR1, double[], double[]) - Method in class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
 
structuralRisk(R1R1, R1ToR1, double[], double[]) - Method in interface org.drip.learning.regularization.RegularizerR1ToR1
Compute the Regularization Sample Structural Loss
structuralRisk(RdR1, RdToR1, double[][], double[]) - Method in class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
 
structuralRisk(RdR1, RdToR1, double[][], double[]) - Method in class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
 
structuralRisk(RdR1, RdToR1, double[][], double[]) - Method in interface org.drip.learning.regularization.RegularizerRdToR1
Compute the Regularization Sample Structural Loss
structuralRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Structural Sample Risk
structuralRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Structural Sample Risk
structuralRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
structuralRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
SUB_CURVE_LIBOR_12M - Static variable in class org.drip.simm.rates.IRSystemics
Sub Curve - LIBOR-12M
SUB_CURVE_LIBOR_1M - Static variable in class org.drip.simm.rates.IRSystemics
Sub Curve LIBOR-1M
SUB_CURVE_LIBOR_3M - Static variable in class org.drip.simm.rates.IRSystemics
Sub Curve LIBOR-3M
SUB_CURVE_LIBOR_6M - Static variable in class org.drip.simm.rates.IRSystemics
Sub Curve LIBOR-6M
SUB_CURVE_MUNICIPAL - Static variable in class org.drip.simm.rates.IRSystemics
Sub Curve - MUNICIPAL
SUB_CURVE_OIS - Static variable in class org.drip.simm.rates.IRSystemics
Sub Curve OIS
SUB_CURVE_PRIME - Static variable in class org.drip.simm.rates.IRSystemics
Sub Curve - PRIME
SubCurveSupported(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
Indicate if the Sub-Curve is supported for the specified Currency
SubCurveSupported(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
Indicate if the Sub-Curve is supported for the specified Currency
SubMatrixSetExtraction - Class in org.drip.sample.algo
SubMatrixSetStringExtraction demonstrates the Extraction and Usage of the Inner Sub-matrices of a given Master Matrix.
SubMatrixSetExtraction() - Constructor for class org.drip.sample.algo.SubMatrixSetExtraction
 
SubMatrixSetExtractor - Class in org.drip.spaces.big
SubMatrixSetExtractor contains the Functionality to extract the Set of the Sub-matrices contained inside of the given Matrix.
SubMatrixSetExtractor() - Constructor for class org.drip.spaces.big.SubMatrixSetExtractor
 
Subordinate(String, String) - Static method in class org.drip.state.identifier.EntityFundingLabel
Make a Standard SUBORDINATE Entity Funding Label from the Reference Entity
Subordinate(String, String) - Static method in class org.drip.state.identifier.EntityRecoveryLabel
Make a Standard SUBORDINATE Entity Recovery Label from the Reference Entity
subordinateFundingReplicator() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Subordinate Funding Replicator Vertex Latent State
subordinateFundingSpread() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Subordinate Funding Spread Vertex Latent State
subordinateNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
Retrieve the Number of Dealer Subordinate Numeraire Holdings
subordinateRecoveryRate() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Subordinate Recovery Rate Vertex Latent State
subset(GeneralizedVector) - Method in interface org.drip.spaces.tensor.GeneralizedVector
Indicate if the "Other" Generalized Vector Space is a Subset of "this"
subset(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
subset(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
subset(GeneralizedVector) - Method in class org.drip.spaces.tensor.RdAggregate
 
SubStringSetExtraction - Class in org.drip.sample.algo
SubStringSetExtraction demonstrates the Extraction of Permuted and Contiguous Sub-string Sets.
SubStringSetExtraction() - Constructor for class org.drip.sample.algo.SubStringSetExtraction
 
SubStringSetExtractor - Class in org.drip.spaces.big
SubStringSetExtractor contains the Functionality to extract the Full Suite of the Sub-strings contained inside of the given String.
SubStringSetExtractor() - Constructor for class org.drip.spaces.big.SubStringSetExtractor
 
subTenor(List<String>) - Method in class org.drip.measure.stochastic.LabelCorrelation
Generate the InterestRateTenorCorrelation Instance that corresponds to the Tenor sub-space
Subtract(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Subtract the Second VICM Instance from the First
Subtract(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Subtract the Second VICM Instance from the First
Subtract(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
Subtract the Second Complex Number from the First
subtractBusDays(int, String) - Method in class org.drip.analytics.date.JulianDate
Subtract the given Number of Business Days and return a new JulianDate Instance
subtractDays(int) - Method in class org.drip.analytics.date.JulianDate
Subtract the given Number of Days and return the JulianDate Instance
subtractTenor(String) - Method in class org.drip.analytics.date.JulianDate
Subtract the tenor to the JulianDate to create a new date
subtractTenorAndAdjust(String, String) - Method in class org.drip.analytics.date.JulianDate
Subtract the tenor to the JulianDate to create a new business date
Suihua - Class in org.drip.sample.bondeos
Suihua demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Suihua.
Suihua() - Constructor for class org.drip.sample.bondeos.Suihua
 
Sum(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
Compute the Sum of the Input Vector
SUNDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Sunday
support() - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
Retrieve the Random Sequence Support
support() - Method in class org.drip.spaces.cover.L1R1CoveringBounds
Retrieve the Ordinate Support
supremum(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Compute the Empirical Penalty Supremum for the specified R^1/R^d Input Space
Supremum(List<Double>, R1) - Static method in class org.drip.spaces.metric.R1Combinatorial
Construct the Supremum (i.e., l^Infinity) R^1 Combinatorial Space Instance
Supremum(double, double, R1) - Static method in class org.drip.spaces.metric.R1Continuous
Construct the Supremum (i.e., l^Infinity) R^1 Continuous Space Instance
SUPREMUM_PENALTY_EMPIRICAL_LOSS - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Supremum Penalty computed off of Empirical Loss
SUPREMUM_PENALTY_EMPIRICAL_RISK - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Supremum Penalty computed off of Empirical Risk
SUPREMUM_PENALTY_REGULARIZED_LOSS - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Supremum Penalty computed off of Regularized Loss
SUPREMUM_PENALTY_REGULARIZED_RISK - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Supremum Penalty computed off of Regularized Risk
SUPREMUM_PENALTY_STRUCTURAL_LOSS - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Supremum Penalty computed off of Structural Loss
SUPREMUM_PENALTY_STRUCTURAL_RISK - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Supremum Penalty computed off of Structural Risk
SupremumBanach(int, Rd) - Static method in class org.drip.spaces.metric.RdContinuousBanach
Construct the Supremum (i.e., l^Infinity) R^d Continuous Banach Space Instance
supremumDimension() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Retrieve the Supremum Dimension
supremumEmpiricalLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Empirical Sample Loss
supremumEmpiricalLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumEmpiricalRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Empirical Sample Risk
supremumEmpiricalRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Empirical Sample Risk
supremumEmpiricalRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumEmpiricalRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumFunction(double) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
Retrieve the Supremum Function corresponding to the specified Variate
supremumPenaltyLossMode() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
The Supremum Penalty Loss Mode Flag
supremumR1(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Compute the Empirical Penalty Supremum for the specified R^1 Input Space
supremumR1ToR1(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Retrieve the Supremum R^1 To R^1 Function Instance for the specified Variate Sequence
supremumRd(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Compute the Empirical Penalty Supremum for the specified R^d Input Space
supremumRdToR1(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
Retrieve the Supremum R^d To R^1 Function Instance for the specified Variate Sequence
supremumRegularizedLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Regularized Sample Loss
supremumRegularizedLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumRegularizedRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Regularized Sample Risk
supremumRegularizedRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Regularized Sample Risk
supremumRegularizedRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumRegularizedRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumStructuralLoss(GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Structural Sample Loss
supremumStructuralLoss(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumStructuralRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Structural Sample Risk
supremumStructuralRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
Compute the Supremum Structural Sample Risk
supremumStructuralRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumStructuralRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
 
supremumUpperBound() - Method in class org.drip.learning.bound.LipschitzCoveringNumberBound
Retrieve the Supremum-based Covering Number Upper Bound
Surat - Class in org.drip.sample.bondeos
Surat demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Surat.
Surat() - Constructor for class org.drip.sample.bondeos.Surat
 
survival(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Coupon Period Survival Probability
survival() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal Survival Probability
Survival(int, String, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create a CreditCurve Instance from the Input Array of Survival Probabilities
Survival(int, String, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
Create a CreditCurve Instance from the Input Array of Survival Probabilities
survival(int) - Method in class org.drip.state.credit.CreditCurve
Calculate the survival to the given date
survival(JulianDate) - Method in class org.drip.state.credit.CreditCurve
Calculate the survival to the given date
survival(String) - Method in class org.drip.state.credit.CreditCurve
Calculate the survival to the given tenor
survival(int) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
 
survivalProbability() - Method in class org.drip.exposure.universe.MarketVertexEntity
Retrieve the Realized Entity Survival Probability
survivalProbability(JulianDate) - Method in class org.drip.historical.state.CreditCurveMetrics
Retrieve the Survival Probability corresponding to the specified Date
survivalProbabilityCreditLoading(EntityCDSLabel) - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal Survival Probability Loading Coefficient for the specified Credit Latent State
SurvivalRecoveryState - Class in org.drip.template.state
SurvivalRecoveryState sets up the Calibration and the Construction of the Survival and the Recovery Latent States and examine the Emitted Metrics.
SurvivalRecoveryState() - Constructor for class org.drip.template.state.SurvivalRecoveryState
 
SurvivalRecoveryStateShifted - Class in org.drip.template.statebump
SurvivalRecoveryStateShifted demonstrates the Generation of the Tenor Bumped Credit Curves.
SurvivalRecoveryStateShifted() - Constructor for class org.drip.template.statebump.SurvivalRecoveryStateShifted
 
survivalToPayDate() - Method in class org.drip.param.pricer.CreditPricerParams
Retrieve the flag indicating whether the Survival is to be computed to the Pay Date (TRUE) or not
Suzhou - Class in org.drip.sample.bondeos
Suzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Suzhou.
Suzhou() - Constructor for class org.drip.sample.bondeos.Suzhou
 
SVCHoliday - Class in org.drip.analytics.holset
 
SVCHoliday() - Constructor for class org.drip.analytics.holset.SVCHoliday
 
SwapOptionSettlement - Class in org.drip.market.otc
SwapOptionSettlement contains the details of the OTC Swap Option Settlements.
SwapOptionSettlement(int, int) - Constructor for class org.drip.market.otc.SwapOptionSettlement
SwapOptionSettlement Constructor
SwapOptionSettlementContainer - Class in org.drip.market.otc
SwapOptionSettlementContainer holds the Settlement Settings of the standard Option on an OTC Fix-Float Swap Contract.
SwapOptionSettlementContainer() - Constructor for class org.drip.market.otc.SwapOptionSettlementContainer
 
swapQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Swap Quotes
swapRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
Retrieve the Swap Rate
swapTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
Retrieve the Array of Swap Tenors
SwitchIRCurve(String) - Static method in class org.drip.analytics.support.Helper
Switch the given IR curve if necessary
SWPM - Class in org.drip.sample.bloomberg
SWPM contains the sample demonstrating the replication of Bloomberg's SWPM functionality.
SWPM() - Constructor for class org.drip.sample.bloomberg.SWPM
 
SWPM_NEW - Class in org.drip.sample.bloomberg
SWPM_NEW contains the sample demonstrating the replication of Bloomberg's Latest SWPM Functionality.
SWPM_NEW() - Constructor for class org.drip.sample.bloomberg.SWPM_NEW
 
SWPMOIS - Class in org.drip.sample.bloomberg
SWPM contains the sample demonstrating the replication of Bloomberg's SWPM OIS functionality.
SWPMOIS() - Constructor for class org.drip.sample.bloomberg.SWPMOIS
 
symmetricFundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
symmetricFundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
symmetricFundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Symmetric Funding Value Adjustment
symmetricFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Symmetric Funding Value Adjustment
symmetricFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Symmetric Funding Value Spread 01
symmetricFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Symmetric Funding Value Spread 01
SymmetricRdToNormedR1Kernel - Class in org.drip.learning.kernel
SymmetricRdToNormedR1Kernel exposes the Functionality behind the Kernel that is Normed R^d X Normed R^d To Supremum R^1, that is, a Kernel that symmetric in the Input Metric Vector Space in terms of both the Metric and the Dimensionality.
SymmetricRdToNormedR1Kernel(RdNormed, R1Normed) - Constructor for class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
SymmetricRdToNormedR1Kernel Constructor
SymmetricRdToNormedRdKernel - Class in org.drip.learning.kernel
SymmetricRdToNormedRdKernel exposes the Functionality behind the Kernel that is Normed R^d X Normed R^d To Normed R^d, that is, a Kernel that symmetric in the Input Metric Vector Space in terms of both the Metric and the Dimensionality.
SymmetricRdToNormedRdKernel(RdNormed, RdNormed) - Constructor for class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
SymmetricRdToNormedRdKernel Constructor
symmetrizedDifferenceSequenceMetrics(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Function Sequence Agnostic Metrics associated with each Variate using the specified Ghost Symmetric Variable Copy
Systemic(DiffusionEvaluatorOrnsteinUhlenbeck, double, double, int) - Static method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
Construct a Standard Systemic Instance of OrnsteinUhlenbeckSequence

T

t() - Method in class org.drip.execution.athl.TransactionRealization
Retrieve the Transaction Completion Time T in Days
t1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
Retrieve T1
t1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
Retrieve T1
t1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
Retrieve T1
t2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
Retrieve T2
t2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
Retrieve T2
t2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
Retrieve T2
t3() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
Retrieve T3
TABHoliday - Class in org.drip.analytics.holset
 
TABHoliday() - Constructor for class org.drip.analytics.holset.TABHoliday
 
Table4DetailedBlowout - Class in org.drip.sample.helitterman
Table4DetailedBlowout replicates the detailed Steps involved in the Black-Litterman Model Process as illustrated in Table #4 the Following Paper: - He.
Table4DetailedBlowout() - Constructor for class org.drip.sample.helitterman.Table4DetailedBlowout
 
Table4Reconciler - Class in org.drip.sample.helitterman
Table4Reconciler reconciles the First Set of Outputs (Table #4) of the Black-Litterman Model Process as illustrated in the Following Paper: - He.
Table4Reconciler() - Constructor for class org.drip.sample.helitterman.Table4Reconciler
 
Table5Reconciler - Class in org.drip.sample.helitterman
Table5Reconciler reconciles the First Set of Outputs (Table #5) of the Black-Litterman Model Process as illustrated in the Following Paper: - He.
Table5Reconciler() - Constructor for class org.drip.sample.helitterman.Table5Reconciler
 
Table6Reconciler - Class in org.drip.sample.helitterman
Table6Reconciler reconciles the First Set of Outputs (Table #6) of the Black-Litterman Model Process as illustrated in the Following Paper: - He.
Table6Reconciler() - Constructor for class org.drip.sample.helitterman.Table6Reconciler
 
Table7Reconciler - Class in org.drip.sample.helitterman
Table7Reconciler reconciles the First Set of Outputs (Table #7) of the Black-Litterman Model Process as illustrated in the Following Paper: - He.
Table7Reconciler() - Constructor for class org.drip.sample.helitterman.Table7Reconciler
 
Table8Reconciler - Class in org.drip.sample.helitterman
Table8Reconciler reconciles the First Set of Outputs (Table #8) of the Black-Litterman Model Process as illustrated in the Following Paper: - He.
Table8Reconciler() - Constructor for class org.drip.sample.helitterman.Table8Reconciler
 
Taian - Class in org.drip.sample.bondeos
Taian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Taian.
Taian() - Constructor for class org.drip.sample.bondeos.Taian
 
tail() - Method in class org.drip.spaces.graph.SinglyLinkedNode
Retrieve the Tail Node
tail() - Method in class org.drip.xva.basel.BalanceSheetEdge
Retrieve the Balance Sheet Account Vertex Tail Instance
Taixing - Class in org.drip.sample.bondeos
Taixing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Taixing.
Taixing() - Constructor for class org.drip.sample.bondeos.Taixing
 
Taiyuan - Class in org.drip.sample.bondeos
Taiyuan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Taiyuan.
Taiyuan() - Constructor for class org.drip.sample.bondeos.Taiyuan
 
Taizhou - Class in org.drip.sample.bondeos
Taizhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Taizhou.
Taizhou() - Constructor for class org.drip.sample.bondeos.Taizhou
 
tangencyPortfolioMetrics() - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
Retrieve the Tangency Portfolio Metrics
Tangshan - Class in org.drip.sample.bondeos
Tangshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Tangshan.
Tangshan() - Constructor for class org.drip.sample.bondeos.Tangshan
 
Tanjin - Class in org.drip.sample.bondeos
Tanjin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Tanjin.
Tanjin() - Constructor for class org.drip.sample.bondeos.Tanjin
 
target() - Method in class org.drip.measure.realization.StochasticEdgeJump
Retrieve the Jump Target Value
targetDate() - Method in class org.drip.dynamics.lmm.PathwiseQMRealization
Retrieve the Array of the Target Date Nodes
targetDirection() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
Retrieve the Target Direction Unit Vector
targetSourceTransitionProbability(TrinomialTreeNodeMetrics, TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the Target-From-Source Transition Probability
targetSourceTransitionProbability() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the FULL Target-Source Transition Probability Map
targetVariateVariance(int) - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
 
targetVariateVariance(int) - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
 
targetVariateVariance(int) - Method in interface org.drip.sequence.functional.SeparableMultivariateRandom
Compute the Variance associated with the Target Variate Function
targetVariateVarianceBound(int) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
 
targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
 
targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
 
targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
 
targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
 
targetVariateVarianceBound(int) - Method in class org.drip.sequence.functional.BoundedMultivariateRandom
Retrieve the Maximal Agnostic Variance Bound over the Non-target Variate Space for the Target Variate
tau() - Method in class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
Retrieve Tau
taxAccountingScheme() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Tax Accounting Scheme
TaxAccountingScheme - Class in org.drip.portfolioconstruction.core
TaxAccountingScheme contains the Attributes for the specified Tax Accounting Scheme.
TaxAccountingScheme(String, String, String, double, double, int, int) - Constructor for class org.drip.portfolioconstruction.core.TaxAccountingScheme
TaxAccountingScheme Constructor
taxationScheme() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTerm
Retrieve the Taxation Scheme
TaxationScheme - Interface in org.drip.portfolioconstruction.objective
TaxationScheme exposes Taxation related Functionality.
taxationScheme() - Method in class org.drip.portfolioconstruction.objective.TaxTerm
Retrieve the Taxation Scheme
taxLiability(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
Compute the Tax Liability
TaxLiabilityTerm - Class in org.drip.portfolioconstruction.objective
TaxLiabilityTerm holds the Details of the Portfolio Net Tax Liability Objective Term.
TaxLiabilityTerm(String, double[], TaxationScheme) - Constructor for class org.drip.portfolioconstruction.objective.TaxLiabilityTerm
TaxLiabilityTerm Constructor
TaxTerm - Class in org.drip.portfolioconstruction.objective
TaxTerm holds the Details of Abstract Tax Unit Objective Term.
TaxTerm(String, String, String, double[], TaxationScheme) - Constructor for class org.drip.portfolioconstruction.objective.TaxTerm
 
TELECOMMUNICATIONS_INDUSTRIALS - Static variable in class org.drip.simm.credit.SectorSystemics
The Telecommunications/Industrials Sector
TemplatedDiscountCurveBuilderSample(JulianDate, String) - Static method in class org.drip.sample.funding.TemplatedFundingCurveBuilder
 
TemplatedFundingCurveBuilder - Class in org.drip.sample.funding
TemplatedFundingCurveBuilder sample demonstrates the usage of the different pre-built Funding Curve Builders.
TemplatedFundingCurveBuilder() - Constructor for class org.drip.sample.funding.TemplatedFundingCurveBuilder
 
TEMPORARY_IMPACT_COEFFICIENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Universal Temporary Impact Coefficient
TEMPORARY_IMPACT_COEFFICIENT_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Universal Temporary Impact Coefficient One Sigma
TEMPORARY_IMPACT_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Universal Temporary Impact Exponent
TEMPORARY_IMPACT_EXPONENT_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
Universal Temporary Impact Exponent One Sigma
temporaryExpectation() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
Retrieve the Background Participation Temporary Market Impact Expectation Function
TemporaryImpact - Class in org.drip.execution.athl
TemporaryImpact implements the Temporary Market Impact with Exponent/Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
TemporaryImpact(AssetFlowSettings) - Constructor for class org.drip.execution.athl.TemporaryImpact
TemporaryImpact Constructor
temporaryImpact() - Method in class org.drip.execution.evolution.MarketImpactComponent
Retrieve the Temporary Market Impact Contribution
temporaryImpactDrift() - Method in class org.drip.execution.discrete.EvolutionIncrement
Retrieve the Change induced by the Deterministic Asset Price Temporary Market Impact Drivers
temporaryImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
temporaryImpactExpectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
Retrieve the Temporary Market Impact Expectation Component
temporaryImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
temporaryImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Temporary Impact Expectation Contribution
temporaryImpactFactor() - Method in class org.drip.execution.parameters.PriceMarketImpact
Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Temporary Impact Cost
temporaryImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
temporaryImpactVariance() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
Retrieve the Temporary Market Impact Variance Component
temporaryImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
temporaryImpactVariance(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Temporary Impact Variance Contribution
temporaryImpactWander() - Method in class org.drip.execution.discrete.EvolutionIncrement
Retrieve the Change induced by the Stochastic Asset Price Temporary Market Impact Drivers
temporaryImpactWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
Retrieve the Previous Instance of the Temporary Impact Walk Wanderer
temporaryMarketImpactFunction() - Method in class org.drip.execution.athl.TransactionRealization
Retrieve the Temporary Market Impact Transaction Function
temporaryTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpact
Generate the Temporary Impact Transaction Function
temporaryTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactLinear
Generate the Temporary Impact Transaction Function
temporaryTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
Generate the Temporary Impact Transaction Function
temporaryVolatility() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
Retrieve the Background Participation Temporary Market Impact Volatility Function
Tengzhou - Class in org.drip.sample.bondeos
CUSIP_74526QLS9 demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for CUSIP 74526QLS9.
Tengzhou() - Constructor for class org.drip.sample.bondeos.Tengzhou
 
tenor() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
Convert the Coupon Frequency into a Tenor
tenor() - Method in class org.drip.analytics.cashflow.CompositePeriod
Convert the Coupon Frequency into a Tenor
tenor() - Method in class org.drip.feed.loader.TenorQuote
Retrieve the Closing Tenor
tenor() - Method in class org.drip.market.exchange.DeliverableSwapFutures
Retrieve the Tenor
tenor() - Method in class org.drip.market.exchange.TreasuryFuturesContract
Retrieve the Contract Tenor
tenor() - Method in class org.drip.market.otc.CreditIndexConvention
Retrieve the Tenor
tenor() - Method in class org.drip.market.otc.CrossFloatStreamConvention
Retrieve the Tenor
tenor() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
Retrieve the Tenor
tenor() - Method in class org.drip.param.period.CompositePeriodSetting
Retrieve the Tenor
tenor() - Method in class org.drip.product.definition.Component
Retrieve the Instrument's Imputed Tenor
Tenor(String, ValuationParams, CalibratableComponent[], double[], String[], double, boolean, double, MergedDiscountForwardCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.CreditCurveScenario
Create an array of tenor bumped credit curves
Tenor(ValuationParams, CalibratableComponent[], double[], String[], double, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.DiscountCurveScenario
Calibrate an array of tenor bumped discount curves
Tenor(String, ValuationParams, LatentStateLabel, FRAStandardCapFloor[], double[], String[], boolean, double, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.VolatilityCurveScenario
Create an array of tenor bumped Volatility curves
tenor() - Method in class org.drip.state.forward.ForwardCurve
 
tenor() - Method in interface org.drip.state.forward.ForwardRateEstimator
Retrieve the Forward Rate Tenor
tenor() - Method in class org.drip.state.identifier.FloaterLabel
Retrieve the Tenor
tenor() - Method in class org.drip.state.identifier.OvernightLabel
Retrieve the Tenor
tenorBump() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Tenor Quote Bump
tenorBumpDown() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the tenor bump Down credit curve map
tenorBumpDown() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
Return the map of the tenor Bump Down Discount Curve
tenorBumpUp() - Method in class org.drip.param.market.CreditCurveScenarioContainer
Return the tenor bump up credit curve map
tenorBumpUp() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
Return the map of the tenor Bump Up Discount Curve
TenorCompare(String, String) - Static method in class org.drip.analytics.support.Helper
Compare the Left and the Right Tenors
tenorCreditDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Tenor Credit Delta Double Measure Map
tenorCreditGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Tenor Credit Gamma Double Measure Map
tenorDelta() - Method in class org.drip.simm.rates.IRWeight
Retrieve the Tenor Delta Weight Map
tenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the Tenor Delta Risk Weight
TenorDurationNodeMetrics - Class in org.drip.historical.sensitivity
TenorDurationNodeMetrics holds the KRD Duration Nodes and associated Metrics.
TenorDurationNodeMetrics(JulianDate) - Constructor for class org.drip.historical.sensitivity.TenorDurationNodeMetrics
TenorDurationNodeMetrics Constructor
tenorExists(String) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
Indicate of the Sensitivity exists for the specified Tenor
TenorHorizonExplainComponents(String, String, int, String, String[], int[], String[], int[], String[]) - Static method in class org.drip.feed.metric.FixFloatPnLAttributor
Generate the Explain Components for the specified Fix Float Product
TenorHorizonExplainComponents(String, String[], int[], String, String[], int[], String[], int[], String[]) - Static method in class org.drip.feed.metric.FixFloatPnLAttributor
Generate the Tenor Horizon Explain Components
TenorHorizonExplainComponents(String, String, int, String, String[], int[], String[]) - Static method in class org.drip.feed.metric.TreasuryBondPnLAttributor
Generate the Explain Components for the specified Treasury Bond
TenorHorizonExplainComponents(String[], String, int[], String, String[], int[], String[]) - Static method in class org.drip.feed.metric.TreasuryBondPnLAttributor
Generate the Tenor Horizon Explain Components
tenorIRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Tenor IR Delta Double Measure Map
tenorIRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Tenor IR Gamma Double Measure Map
TenorMap(String, ValuationParams, CalibratableComponent[], double[], String[], double, boolean, double, MergedDiscountForwardCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.CreditCurveScenario
Create an tenor named map of tenor bumped credit curves
TenorMap(ValuationParams, CalibratableComponent[], double[], String[], double, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.DiscountCurveScenario
Calibrate a tenor map of tenor bumped discount curves
TenorMap(String, ValuationParams, LatentStateLabel, FRAStandardCapFloor[], double[], String[], boolean, double, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Method in class org.drip.state.boot.VolatilityCurveScenario
Create an tenor named map of tenor bumped Volatility curves
TenorQuote - Class in org.drip.feed.loader
TenorQuote holds the Instrument Tenor and Closing Quote.
TenorQuote(String, double) - Constructor for class org.drip.feed.loader.TenorQuote
TenorQuote Constructor
tenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
 
tenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
Retrieve the Tenor Risk Weight Map
tenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
 
TenorRiskWeightMap(double) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
 
tenorRRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Tenor RR Delta Double Measure Map
tenorRRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
Retrieve the Tenor RR Gamma Double Measure Map
tenors() - Method in class org.drip.simm.rates.IRWeight
Retrieve the Tenors
tenors() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Treasury Maturity Tenor Array
tenorScalingFactor() - Method in class org.drip.simm.parameters.BucketCurvatureSettings
Retrieve the Tenor Scaling Factor
tenorScalingFactorMap() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
Retrieve the Tenor Scaling Factor Map
tenorScalingFactorMap() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
Retrieve the Tenor Scaling Factor Map
tenorSensitivityMap() - Method in class org.drip.simm.product.BucketSensitivityCR
Retrieve the Risk Factor Tenor Sensitivity Map
tenorSensitivityMargin(BucketSensitivitySettingsCR) - Method in class org.drip.simm.product.BucketSensitivityCR
Generate the Tenor Sensitivity Margin Map
TenorSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
Retrieve the Standard ISDA Credit Tenor Set
TenorSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
Retrieve the Standard ISDA Credit Tenor Set
TenorSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
Retrieve the Standard ISDA Credit Tenor Set
TenorSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
Retrieve the Standard ISDA Credit Tenor Set
tenorSet() - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
Retrieve the Set of Tenors
TenorSet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Standard ISDA Rates Tenor Set
TenorSet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Standard ISDA Rates Tenor Set
TenorToDate(JulianDate, String[]) - Static method in class org.drip.analytics.support.Helper
Retrieve the Date Array From the Tenor Array
TenorToDays(String) - Static method in class org.drip.analytics.support.Helper
Retrieve the Number of Days from the Tenor
TenorToFreq(String) - Static method in class org.drip.analytics.support.Helper
Retrieve the Annual Frequency from the Tenor
TenorToMonths(String) - Static method in class org.drip.analytics.support.Helper
Retrieve the Number of Months from the Tenor
TenorToYearFraction(String) - Static method in class org.drip.analytics.support.Helper
Retrieve the Year Fraction from the Tenor
TenorToYearFraction(String[], boolean) - Static method in class org.drip.analytics.support.Helper
Retrieve the Year Fraction from the Tenor Array
TenorToYears(String) - Static method in class org.drip.analytics.support.Helper
Retrieve the Number of Years from the Tenor
tenorVega() - Method in class org.drip.simm.rates.IRWeight
Retrieve the Tenor Vega Weight Map
tenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the Tenor Vega Risk Weight
tenorWeightMap(Set<String>) - Method in class org.drip.simm.credit.CRBucket
Retrieve the Credit Tenor Risk Weight Map
tension() - Method in class org.drip.spline.basis.BSplineSequenceParams
Retrieve the Tension
tension(int) - Method in class org.drip.spline.basis.ExponentialMixtureSetParams
Get the Indexed Exponential Tension Entry
tension() - Method in class org.drip.spline.basis.ExponentialTensionSetParams
Get the Segment Tension
tension() - Method in class org.drip.spline.bspline.SegmentBasisFunctionSet
Retrieve the Tension Parameter
tension() - Method in class org.drip.spline.bspline.TensionBasisHat
Retrieve the Tension
TensionBasisHat - Class in org.drip.spline.bspline
TensionBasisHat implements the common basis hat function that form the basis for all B Splines.
TensionBasisHat(double, double, double) - Constructor for class org.drip.spline.bspline.TensionBasisHat
 
TensionProcessedBasisHat - Class in org.drip.spline.bspline
TensionProcessedBasisHat implements the processed hat basis function of the form laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
TensionProcessedBasisHat(TensionBasisHat, int) - Constructor for class org.drip.spline.bspline.TensionProcessedBasisHat
TensionProcessedBasisHat constructor
TensionStretchEstimationSample() - Static method in class org.drip.sample.stretch.KnotInsertionTensionEstimator
 
tensorSpaceType() - Method in interface org.drip.spaces.instance.GeneralizedValidatedVector
Retrieve the Generalized Tensor Space Type
tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedR1
 
tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedR1Combinatorial
 
tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedR1Continuous
 
tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedRd
 
tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedRdCombinatorial
 
tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedRdContinuous
 
Term - Class in org.drip.assetbacked.loan
Term contains the original Term of the Loan in Months
Term(double) - Constructor for class org.drip.assetbacked.loan.Term
Term Constructor
term() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
Retrieve the Objective Term
terminal(LatentStateLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Terminal Latent State corresponding to the Label
terminalAlpha() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Final/Terminal Alpha
terminalConvexityAdjustment(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Compute the Convexity Adjustment for the Composable Periods that use geometric Compounding using the specified Value Date using the Market Data provided
terminalDate() - Method in class org.drip.analytics.cashflow.Bullet
Retrieve the Terminal Date
terminalDate() - Method in class org.drip.analytics.output.BulletMetrics
Retrieve the Terminal Date
terminalDate() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Terminal Date
TerminalLatentState - Class in org.drip.exposure.evolver
TerminalLatentState contains the Latent State Label and the corresponding Terminal Diffusion Evolver.
TerminalLatentState(LatentStateLabel, DiffusionEvolver) - Constructor for class org.drip.exposure.evolver.TerminalLatentState
TerminalLatentState Constructor
terminalLatentStateContainer() - Method in class org.drip.exposure.evolver.DynamicsContainer
Retrieve the Terminal Latent State Evolver Dynamics Settings Map
terminalLatentStateExists(LatentStateLabel) - Method in class org.drip.exposure.evolver.DynamicsContainer
Indicate if the Terminal Latent State Exists
terminalMarketVertex() - Method in class org.drip.exposure.universe.MarketPath
Retrieve the Terminal Market Vertex
TerminalPayout - Class in org.drip.xva.derivative
TerminalPayout implements the Pay-out Function on the given Asset, using its Marginal Evolution Process, at the specified Terminal Time Instance.
TerminalPayout(JulianDate, R1ToR1) - Constructor for class org.drip.xva.derivative.TerminalPayout
TerminalPayout Constructor
terminalStateIndex() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
Retrieve the Array of the Terminal State Indexes
terminalVariance() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
Return the Terminal Variance of the Underlying
Terminate() - Static method in class org.drip.service.env.InvocationManager
Terminate the Invocation Manager
TerminateEnv() - Static method in class org.drip.service.env.EnvManager
Terminate the Environment Frame Context
terminationSetting() - Method in class org.drip.product.credit.BondComponent
 
terminationSetting() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond termination setting
TerminationSetting - Class in org.drip.product.params
TerminationSetting class contains the current "liveness" state of the component, and, if inactive, how it entered that state.
TerminationSetting(boolean, boolean, boolean, DateAdjustParams) - Constructor for class org.drip.product.params.TerminationSetting
Construct the TerminationSetting object from the perpetual flag, defaulted flag, and the has been exercised flag.
Test - Class in org.drip.sample.json
Test is an Adaptation of the Test Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
Test() - Constructor for class org.drip.sample.json.Test
 
testDecode() - Static method in class org.drip.sample.json.Test
 
testEncode() - Static method in class org.drip.sample.json.Test
 
TestPayoffScheme(double, int, boolean) - Static method in class org.drip.sample.stochasticvolatility.HestonAMSTPayoffTransform
 
testYylex() - Static method in class org.drip.sample.json.YylexTest
 
TGTHoliday - Class in org.drip.analytics.holset
 
TGTHoliday() - Constructor for class org.drip.analytics.holset.TGTHoliday
 
Thane - Class in org.drip.sample.bondmetrics
Thane generates the Full Suite of Replication Metrics for Bond Thane.
Thane() - Constructor for class org.drip.sample.bondmetrics.Thane
 
THB - Class in org.drip.template.irs
THB contains a Templated Pricing of the OTC Fix-Float THB IRS Instrument.
THB() - Constructor for class org.drip.template.irs.THB
 
THBHoliday - Class in org.drip.analytics.holset
 
THBHoliday() - Constructor for class org.drip.analytics.holset.THBHoliday
 
TheilMixedEstimationModel - Class in org.drip.measure.bayesian
TheilMixedEstimationModel implements the Theil's Mixed Model for the Estimation of the Distribution Parameters.
TheilMixedEstimationModel() - Constructor for class org.drip.measure.bayesian.TheilMixedEstimationModel
 
theta(int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
Calculate the Theta
theta() - Method in class org.drip.param.pricer.HestonOptionPricerParams
Retrieve Theta
theta() - Method in class org.drip.pricer.option.Greeks
The Option Theta
theta() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Compute the Gross Theta from Position Value Base
theta() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
 
theta() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
 
theta(EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.ParabolicDifferentialOperator
Compute the Theta for the Derivative from the Asset Edge Value
thetaPositionValueDown() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Compute the Gross Theta from Position Value Down
thetaPositionValueDown() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
 
thetaPositionValueDown() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
 
thetaPositionValueUp() - Method in class org.drip.xva.pde.BurgardKjaerEdge
Compute the Gross Theta from Position Value Up
thetaPositionValueUp() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
 
thetaPositionValueUp() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
 
thetaUpDown(EvolutionTrajectoryVertex, double, double) - Method in class org.drip.xva.pde.ParabolicDifferentialOperator
Compute the Up/Down Thetas
Thiruvananthapuram - Class in org.drip.sample.bondmetrics
Thiruvananthapuram generates the Full Suite of Replication Metrics for Bond Thiruvananthapuram.
Thiruvananthapuram() - Constructor for class org.drip.sample.bondmetrics.Thiruvananthapuram
 
THREE_POINT_BROWNIAN_BRIDGE - Static variable in class org.drip.xva.settings.BrokenDateScheme
Three Point Brownian Bridge Based Broken Date Interpolation Scheme
ThreeDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>, String, String, String) - Static method in class org.drip.quant.common.CollectionUtil
Flatten a 3D SSD map structure onto a string array
ThreeFifthsPowerLaw(String, String, String, double) - Static method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
Construction of the Three-Fifth's Power Law TransactionChargeMarketImpact Instance
Threshold(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
Retrieve the Threshold indicated by the Bucket Number
Threshold(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
Retrieve the Threshold indicated by the Bucket Number
Threshold(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
Retrieve the Equity Threshold specified by the Bucket Number
Threshold(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
Retrieve the Equity Threshold specified by the Bucket Number
Threshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer20
Retrieve the Interest Rate Threshold denoted by the Currency
Threshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer20
Retrieve the Interest Rate Threshold denoted by the Group Number
Threshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer21
Retrieve the Interest Rate Threshold denoted by the Currency
Threshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer21
Retrieve the Interest Rate Threshold denoted by the Group Number
ThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer20
Retrieve the Interest Rate Threshold Map
ThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer21
Retrieve the Interest Rate Threshold Map
Thrissur - Class in org.drip.sample.loan
Thrissur demonstrates the Analytics Calculation/Reconciliation for the Loan Thrissur.
Thrissur() - Constructor for class org.drip.sample.loan.Thrissur
 
Thunker(JSONObject) - Static method in class org.drip.service.json.KeyHoleSkeleton
JSON Based in/out Generic Thunker
Thunker(String) - Static method in class org.drip.service.json.KeyHoleSkeleton
JSON String Based in/out Generic Thunker
THURSDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Thursday
Tianshui - Class in org.drip.sample.bondeos
Tianshui demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Tianshui.
Tianshui() - Constructor for class org.drip.sample.bondeos.Tianshui
 
ticker() - Method in class org.drip.product.credit.BondComponent
 
ticker() - Method in class org.drip.product.definition.Bond
Return the bond ticker
ticker() - Method in class org.drip.product.params.IdentifierSet
Retrieve the Ticker
tickValue() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Tick Value
Tieling - Class in org.drip.sample.bondeos
Tieling demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Tieling.
Tieling() - Constructor for class org.drip.sample.bondeos.Tieling
 
tiltDepartureR1ToR1(double[], int, boolean) - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Generate the Squared Tilt Departure R^1 To R^1
tiltMismatch(double[], int, double) - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Compute the Mismatch between the User Specified Projection and the Custom Confidence Implied Tilts
TiltTerm - Class in org.drip.portfolioconstruction.objective
TiltTerm holds the Details of Abstract Tilt Unit Objective Term.
TiltTerm(String, String, String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.TiltTerm
 
time() - Method in class org.drip.analytics.date.DateTime
Retrieve the time
time() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
Retrieve the Trajectory State Time Node
time() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
Retrieve the Distribution Time Horizon
time() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
Return the time elapsed for the execution initialization operation
time() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
Return the time elapsed for the the full root finding operation
time() - Method in class org.drip.measure.joint.Vertex
Retrieve the Evolution Time Instant
time() - Method in class org.drip.measure.realization.JumpDiffusionVertex
Retrieve the Evolution Time Instant
time(String) - Method in class org.drip.param.definition.Quote
Get the time of the quote
time(String) - Method in class org.drip.param.quote.MultiSided
 
time() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Retrieve the Time Instant
timeIncrement() - Method in class org.drip.measure.realization.JumpDiffusionEdge
Retrieve the Edge Time Increment
timeIncrement() - Method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Retrieve the Edge Time Increment
timeIndex() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
Retrieve the Tree Node's Time Index
timeIntegrand() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
Retrieve the Time Integrand
timeInterval() - Method in class org.drip.execution.discrete.Slice
Retrieve the Evolution Time Interval of the Arithmetic Dynamics
timeRoll1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Time Roll PnL
timeRollSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Time Roll Swap Rate
timeScale() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
Retrieve the Time Scale
timeStamp() - Method in class org.drip.portfolioconstruction.core.Block
Retrieve the Creation Time Stamp
timeStamp() - Method in class org.drip.service.env.BuildRecord
Retrieve the Build Time Stamp
timeWidth() - Method in class org.drip.exposure.universe.MarketVertexGenerator
Retrieve the Time Width Array
Tiruchirapalli - Class in org.drip.sample.bondfixed
Tiruchirapalli demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Tiruchirapalli.
Tiruchirapalli() - Constructor for class org.drip.sample.bondfixed.Tiruchirapalli
 
Tirunelveli - Class in org.drip.sample.bondmetrics
Tirunelveli generates the Full Suite of Replication Metrics for Bond Tirunelveli.
Tirunelveli() - Constructor for class org.drip.sample.bondmetrics.Tirunelveli
 
Tirupati - Class in org.drip.sample.securitysuite
Tirupati generates the Full Suite of Replication Metrics for Bond Tirupati.
Tirupati() - Constructor for class org.drip.sample.securitysuite.Tirupati
 
Tiruppur - Class in org.drip.sample.bondfixed
Tiruppur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Tiruppur.
Tiruppur() - Constructor for class org.drip.sample.bondfixed.Tiruppur
 
TMT - Static variable in class org.drip.simm.credit.SectorSystemics
The Technology/Media/Telecommunications Sector
toArray() - Method in class org.drip.portfolioconstruction.composite.Holdings
Retrieve the Array Form of the Holdings Quantity
toArray() - Method in class org.drip.service.api.ForwardRates
Convert the List of Forwards to an Array
toArray() - Method in class org.drip.service.api.InstrMetric
Reduce the PnL/forward metrics to an array
toArray() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the Array of Metrics
toAU() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
 
toAU() - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
 
toAU() - Method in interface org.drip.spline.stretch.SingleSegmentSequence
Convert the Segment Sequence into an AbstractUnivariate Instance
ToDate(String) - Static method in class org.drip.feed.loader.CSVGrid
Convert the String Element to a JulianDate Instance.
Today() - Static method in class org.drip.analytics.date.DateUtil
Return a Julian Date corresponding to Today
ToDouble(String) - Static method in class org.drip.feed.loader.CSVGrid
Convert the String Element to double.
ToInteger(String) - Static method in class org.drip.feed.loader.CSVGrid
Convert the String Element to int.
toJSON() - Method in class org.drip.product.creator.BondRefDataBuilder
 
toJSONString(List) - Static method in class org.drip.json.simple.JSONArray
Convert a list to JSON text.
toJSONString() - Method in class org.drip.json.simple.JSONArray
 
toJSONString() - Method in interface org.drip.json.simple.JSONAware
 
toJSONString(Map) - Static method in class org.drip.json.simple.JSONObject
Convert a map to JSON text.
toJSONString() - Method in class org.drip.json.simple.JSONObject
 
toJSONString(Object) - Static method in class org.drip.json.simple.JSONValue
Convert an object to JSON text.
ToJulian(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
Convert YMD to an Integer Julian Date.
tolerance() - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
Retrieve the Tolerance Level
tolerance() - Method in class org.drip.quant.eigen.QREigenComponentExtractor
Retrieve the Tolerance Level
toList() - Method in class org.drip.spaces.graph.SinglyLinkedNode
Convert the Linked List to an Array List
toMap(String) - Method in class org.drip.analytics.output.BondCouponMeasures
Return the state as a named measure map
toMap(String) - Method in class org.drip.analytics.output.BondRVMeasures
Return the state as a measure map
toMap(String) - Method in class org.drip.analytics.output.BondWorkoutMeasures
Return the state as a measure map
toNonOverlapping() - Method in class org.drip.spline.grid.OverlappingStretchSpan
Convert the Overlapping Stretch Span to a non-overlapping Stretch Span.
toOracleDate() - Method in class org.drip.analytics.date.JulianDate
Return a Trigram Representation of the Date
topography() - Method in class org.drip.spaces.graph.BellmanFordScheme
Retrieve the Topography Map
topography() - Method in class org.drip.spaces.graph.DijkstraScheme
Retrieve the Topography Map
Topography - Class in org.drip.spaces.graph
Topography holds Vertexes and the Edges between them.
Topography() - Constructor for class org.drip.spaces.graph.Topography
Empty Topography Constructor
topographyEdgeMap() - Method in class org.drip.spaces.graph.Topography
Retrieve the Topography Edge Map
TopographyEdgeMap - Class in org.drip.spaces.graph
TopographyEdgeMap maintains a Map of the Topography Connection Edges.
TopographyEdgeMap() - Constructor for class org.drip.spaces.graph.TopographyEdgeMap
Empty TopographyEdgeMap Constructor
TopographyMap - Class in org.drip.sample.graph
TopographyMap illustrates the Construction of Topographical Map.
TopographyMap() - Constructor for class org.drip.sample.graph.TopographyMap
 
ToR1Continuous(R1ToR1, R1Normed, R1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
Construct an Instance of R^1 Combinatorial/Continuous To R^1 Continuous Regularizer
ToRdContinuous(RdToR1, RdNormed, R1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
Construct an Instance of R^d Combinatorial/Continuous To R^1 Continuous Regularizer
toString() - Method in class org.drip.analytics.date.JulianDate
 
toString() - Method in class org.drip.analytics.eventday.DateInMonth
 
toString() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
 
toString() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
 
toString() - Method in class org.drip.feed.loader.TenorQuote
 
toString() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
 
toString() - Method in exception org.drip.json.parser.ParseException
 
toString() - Method in class org.drip.json.parser.Yytoken
 
toString() - Method in class org.drip.json.simple.ItemList
 
toString(String) - Method in class org.drip.json.simple.ItemList
 
toString() - Method in class org.drip.json.simple.JSONArray
 
toString() - Method in class org.drip.json.simple.JSONObject
 
toString(String, Object) - Static method in class org.drip.json.simple.JSONObject
 
toString() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
 
toString() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
 
toString() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
 
toString() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
 
toString() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
 
toString() - Method in class org.drip.market.otc.CrossFloatStreamConvention
 
toString() - Method in class org.drip.market.otc.CrossFloatSwapConvention
 
toString() - Method in class org.drip.market.otc.FixedFloatSwapConvention
 
toString() - Method in class org.drip.market.otc.FixedStreamConvention
 
toString() - Method in class org.drip.market.otc.FloatStreamConvention
 
toString() - Method in class org.drip.market.otc.SwapOptionSettlement
 
toString() - Method in class org.drip.product.params.CurrencyPair
 
toString() - Method in class org.drip.product.params.LastTradingDateSetting
 
toString() - Method in class org.drip.service.api.ForwardRates
 
toString() - Method in class org.drip.service.api.InstrMetric
 
toString() - Method in class org.drip.service.api.ProductDailyPnL
 
toString() - Method in class org.drip.spline.segment.Monotonocity
 
total() - Method in class org.drip.execution.evolution.MarketImpactComponent
Retrieve the Total Component Impact
total(Map<String, Double>) - Method in class org.drip.simm.estimator.AdditionalInitialMargin
Compute the Total IM Add On
total(LabelCorrelation) - Method in class org.drip.simm.estimator.ProductClassMargin
Compute the Total IM
total() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Total VA
total1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Total PnL
total1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
Retrieve the 1D Total PnL With Fixing
TotalAccounts - Class in org.drip.assetbacked.borrower
TotalAccounts contains the Total Current Number of Accounts for the Borrower
TotalAccounts(int) - Constructor for class org.drip.assetbacked.borrower.TotalAccounts
TotalAccounts Constructor
totalAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
totalAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
totalAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Total Adjustment
totalCostDistribution() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
Generate the Total Cost R^1 Normal Distribution
totalCostDistributionDetail(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
Generate the Detailed Total Cost Distribution for the Trading Trajectory
totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.LinearImpactBlockTrajectoryEstimator
 
totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.LinearImpactTrajectoryEstimator
 
totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.LinearImpactUniformTrajectoryEstimator
 
totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory
totalCostRealizationDetail(double, WalkSuite[], ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
Generate the Detailed Cost Realization Sequence given the Specified Inputs
totalMarketDynamicDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Total Market Dynamic Cost Drift
totalMarketDynamicWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Total Market Dynamic Cost Wander
totalPermanentDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Total Permanent Cost Drift
totalPermanentWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Total Permanent Cost Wander
totalTemporaryDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Total Temporary Cost Drift
totalTemporaryWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
Generate the Total Temporary Cost Wander
totalVA() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for Total VA
toYYYYMMDD(String) - Method in class org.drip.analytics.date.JulianDate
Return a Representation of Date as YYYYMMDD
tPost() - Method in class org.drip.execution.athl.TransactionRealization
Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
trackingBenchmark() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Tracking Benchmark Instance
TRADE_FREQUENCY_LESS_WELL_TRADED - Static variable in class org.drip.simm.rates.IRSystemics
Interest Rate Type - Trade Frequency Type Less Well Traded
TRADE_FREQUENCY_WELL_TRADED - Static variable in class org.drip.simm.rates.IRSystemics
Interest Rate Type - Trade Frequency Type Well Traded
TRADE_RATE_STATIC_INITIALIZATION - Static variable in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Flag Indicating Trade Rate Initialization from Static Trajectory
TRADE_RATE_ZERO_INITIALIZATION - Static variable in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Flag Indicating Trade Rate Initialization to Zero Initial Value
tradeable(ValuationParams) - Method in class org.drip.product.credit.BondComponent
 
tradeable(ValuationParams) - Method in class org.drip.product.definition.Bond
Calculate if the bond is tradeable on the given date
tradeablesContainer() - Method in class org.drip.xva.pde.BurgardKjaerOperator
Retrieve the Universe of Trade-able Assets
tradeablesContainer() - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
Retrieve the Universe of Tradeables
tradeFinishTime() - Method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
Retrieve the Trade Finish Time
tradeFrequencyType() - Method in class org.drip.simm.rates.CurrencyRiskGroup
Retrieve the Trade Frequency Type
tradeList() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
Retrieve the Trade List, i.e., the Array of the Number of Units executed
tradeListDriftAdjustment() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
Retrieve the Array of the Trade List Drift Adjustment
tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.FixedStreamMPoR
 
tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.FixFloatMPoR
 
tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.FloatStreamMPoR
 
tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.NumeraireMPoR
 
tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.PortfolioMPoR
 
tradePayment(int, MarketPath) - Method in class org.drip.exposure.holdings.PositionGroupEstimator
 
TradePayment - Class in org.drip.exposure.mpor
DealerClientTradePayment holds the Dealer (Negative) and Client (Positive) Trade Payments at an Exposure Date.
TradePayment(double, double) - Constructor for class org.drip.exposure.mpor.TradePayment
TradePayment Constructor
tradePayment(int, MarketPath) - Method in interface org.drip.exposure.mpor.VariationMarginTradePaymentVertex
Estimate the Exposure Vertex Date Trade Payment
tradePayment() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexExposure
Retrieve the Accrued Trade Payment Exposure
tradePaymentGap() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Trade Payment Gap
tradePaymentTrajectory() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Retrieve the Trade Payment Trajectory
tradePaymentTrajectory(Map<Integer, Double>, Map<Integer, Double>) - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Generate the Client and the Dealer Trade Payment Trajectories
tradePaymentTrajectory() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolTrajectory
Retrieve the Dense Trade Payment Array
tradeRate() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
Retrieve the Trajectory State Time Node Trade Rate
tradeRate() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
Retrieve the Trade Rate Function
tradeRate() - Method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
Retrieve the Trade Rate
tradeRate() - Method in class org.drip.execution.tradingtime.VolumeTimeFrame
Retrieve the Trade Rate
tradeRateInitializer() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Retrieve the Trade Rate Initialization Indicator
tradeRateScale() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
Retrieve the Trade Rate Scale
tradeSize() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
 
tradeSize() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
 
tradeSize() - Method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
Retrieve the Trade Size
tradeSize() - Method in interface org.drip.execution.strategy.TradingTrajectory
Retrieve the Trade Size
tradeStartTime() - Method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
Retrieve the Trade Start Time
tradeTimeInterval() - Method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
Retrieve the Trade Time Interval
TradingEnhancedDiscrete - Class in org.drip.execution.optimum
TradingEnhancedDiscrete contains the Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation for Linear Trading Enhanced Temporary Impact Volatility.
TradingEnhancedDiscrete(double[], double[], double[], double, double, double, double, double) - Constructor for class org.drip.execution.optimum.TradingEnhancedDiscrete
TradingEnhancedDiscrete Constructor
TradingEnhancedVolatility(double, BackgroundParticipationRateLinear, BackgroundParticipationRateLinear) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
Trading Enhanced Volatility ArithmeticPriceEvolutionParameters Instance
tradingMode() - Method in class org.drip.market.exchange.FuturesOptions
Retrieve the Trading Mode
TradingTrajectory - Interface in org.drip.execution.strategy
TradingTrajectory holds the Continuous/Discrete Trajectory of a Trading Block that is to be executed over a Discrete Time Set.
trailing() - Method in class org.drip.spline.bspline.SegmentBasisFunction
Retrieve the Trailing Predictor Ordinate
trajectory() - Method in class org.drip.execution.adaptive.CoordinatedVariationStatic
Retrieve the Static Continuous Trading Trajectory Instance
trajectory() - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
Retrieve the Underlying Trading Trajectory Instance
trajectory() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Retrieve the Holdings Trajectory
trajectory() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Retrieve the Variation Margin Trade Payment Exposure Trajectory
trajectory() - Method in class org.drip.exposure.universe.MarketPath
Retrieve the Trajectory of the Market Vertexes
TrajectoryComparisonNoDrift - Class in org.drip.sample.almgrenchriss
TrajectoryComparisonNoDrift compares different Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, excluding the Asset Drift.
TrajectoryComparisonNoDrift() - Constructor for class org.drip.sample.almgrenchriss.TrajectoryComparisonNoDrift
 
TrajectoryComparisonWithDrift - Class in org.drip.sample.almgrenchriss
TrajectoryComparisonWithDrift compares different Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, inclusive of the Asset Drift.
TrajectoryComparisonWithDrift() - Constructor for class org.drip.sample.almgrenchriss.TrajectoryComparisonWithDrift
 
TrajectoryControlNodesGreek - Class in org.drip.execution.sensitivity
TrajectoryControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory to the Holdings Control Nodes.
TrajectoryControlNodesGreek(double, double[], double[][], List<ControlNodesGreek>) - Constructor for class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
TrajectoryControlNodesGreek Constructor
trajectoryDeterminant() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectory
Retrieve The Coordinated Variation Trajectory Determinant Instance
trajectoryDeterminant() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
Compute The Coordinated Variation Trajectory Determinant Instance
TrajectoryEvolutionScheme - Class in org.drip.xva.pde
TrajectoryEvolutionScheme holds the Evolution Edges of a Trajectory evolved in a Dynamically Adaptive Manner, as laid out in Burgard and Kjaer (2014).
TrajectoryEvolutionScheme(PrimarySecurityDynamicsContainer, PDEEvolutionControl) - Constructor for class org.drip.xva.pde.TrajectoryEvolutionScheme
TrajectoryEvolutionScheme Constructor
TrajectoryShortfallAggregate - Class in org.drip.execution.capture
TrajectoryShortfallAggregate aggregates the Execution Short-fall Distribution across each Interval in the Trade.
TrajectoryShortfallAggregate(List<ShortfallIncrementDistribution>) - Constructor for class org.drip.execution.capture.TrajectoryShortfallAggregate
TrajectoryShortfallAggregate Constructor
TrajectoryShortfallEstimator - Class in org.drip.execution.capture
TrajectoryShortfallEstimator estimates the Price/Short Fall Distribution associated with the Trading Trajectory generated using the specified Evolution Parameters.
TrajectoryShortfallEstimator(DiscreteTradingTrajectory) - Constructor for class org.drip.execution.capture.TrajectoryShortfallEstimator
TrajectoryShortfallEstimator Constructor
TrajectoryShortfallRealization - Class in org.drip.execution.capture
TrajectoryShortfallRealization holds Execution Cost Realization across each Interval in the Trade during a Single Simulation Run.
TrajectoryShortfallRealization(List<ShortfallIncrement>) - Constructor for class org.drip.execution.capture.TrajectoryShortfallRealization
TrajectoryShortfallRealization Constructor
transactionCharge() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTermTransactionCharge
Retrieve the Array of Transaction Charges
transactionCharge() - Method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
Retrieve the Array of Transaction Charges
TransactionCharge - Class in org.drip.portfolioconstruction.cost
TransactionCharge contains the Parameters for the specified Transaction Charge Scheme.
TransactionCharge(String, String, String) - Constructor for class org.drip.portfolioconstruction.cost.TransactionCharge
 
transactionCharge() - Method in class org.drip.portfolioconstruction.objective.TransactionChargeTerm
Retrieve the Array of Transaction Charges
TransactionChargeFixed - Class in org.drip.portfolioconstruction.cost
TransactionChargeFixed contains the Parameters for the Fixed Transaction Charge Scheme.
TransactionChargeFixed(String, String, String, double) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeFixed
TransactionChargeFixed Constructor
TransactionChargeGoldmanSachsShortfall - Class in org.drip.portfolioconstruction.cost
TransactionChargeGoldmanSachsShortfall contains the Parameters for the Goldman Sachs Shortfall Model.
TransactionChargeGoldmanSachsShortfall(String, String, String) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeGoldmanSachsShortfall
 
TransactionChargeGroup - Class in org.drip.portfolioconstruction.composite
TransactionChargeGroup contains the Transaction Charge Values for the specified Set of Assets.
TransactionChargeGroup() - Constructor for class org.drip.portfolioconstruction.composite.TransactionChargeGroup
 
TransactionChargeLinear - Class in org.drip.portfolioconstruction.cost
TransactionChargeLinear contains the Parameters for the Linear Transaction Charge Scheme.
TransactionChargeLinear(String, String, String, double) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeLinear
TransactionChargeLinear Constructor
TransactionChargeMarketImpact - Class in org.drip.portfolioconstruction.cost
TransactionChargeMarketImpact contains the Parameters for the Power Law Transaction Charge Scheme.
TransactionChargeMarketImpact(String, String, String, double, double) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
TransactionChargeMarketImpact Constructor
TransactionChargeTerm - Class in org.drip.portfolioconstruction.objective
TransactionChargeTerm implements the Objective Term that models the Charge associated with a Portfolio Transaction.
TransactionChargeTerm(String, String, String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.TransactionChargeTerm
 
transactionCost() - Method in class org.drip.execution.principal.GrossProfitExpectation
Retrieve the Execution Transaction Cost
transactionCostExpectation() - Method in interface org.drip.execution.optimum.EfficientTradingTrajectory
Retrieve the Expected Transaction Cost
transactionCostExpectation() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
 
transactionCostExpectation() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
 
transactionCostExpectationFunction() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
Retrieve the Transaction Cost Expectation Function
transactionCostGain() - Method in class org.drip.execution.cost.LinearTemporaryImpact
Estimate the Transaction Cost Gain available from the Bayesian Drift
transactionCostGroup() - Method in class org.drip.portfolioconstruction.core.Account
Retrieve the Transaction Cost Group Instance
transactionCostIncrement(CoordinatedVariation) - Method in class org.drip.execution.tradingtime.VolumeTimeFrame
Generate the Transaction Cost Increment
transactionCostVariance() - Method in interface org.drip.execution.optimum.EfficientTradingTrajectory
Retrieve the Variance of the Expected Transaction Cost
transactionCostVariance() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
 
transactionCostVariance() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
 
transactionCostVarianceFunction() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
Retrieve the Transaction Cost Variance Function
TransactionFunction - Class in org.drip.execution.impact
TransactionFunction exports the Temporary/Permanent Market Impact Displacement/Volatility Functional Dependence on the Trade Rate.
TransactionFunction() - Constructor for class org.drip.execution.impact.TransactionFunction
 
TransactionFunctionLinear - Class in org.drip.execution.impact
TransactionFunctionLinear exposes the Linear Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003).
TransactionFunctionLinear() - Constructor for class org.drip.execution.impact.TransactionFunctionLinear
 
TransactionFunctionPower - Class in org.drip.execution.impact
TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003).
TransactionFunctionPower() - Constructor for class org.drip.execution.impact.TransactionFunctionPower
 
TransactionRealization - Class in org.drip.execution.athl
TransactionRealization holds the Suite of Empirical Drift/Wander Signals that have been emitted off of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
TransactionRealization(TransactionFunction, TransactionFunction, double, double, double, double) - Constructor for class org.drip.execution.athl.TransactionRealization
TransactionRealization Constructor
TransactionSignal - Class in org.drip.execution.athl
TransactionSignal holds the Realized Empirical Signals that have been emitted off of a Transaction Run, decomposed using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), based off of the Parameterization of Almgren (2003).
TransactionSignal(double, double, double) - Constructor for class org.drip.execution.athl.TransactionSignal
TransactionSignal Constructor
transfer(int, int) - Method in class org.drip.spaces.big.BigR1Array
Transfer all Elements from the Pickup Index to the Drop Off Index, and contiguously Shift the Intermediate Array
transform(double[]) - Method in class org.drip.measure.discrete.QuadraticResampler
Transform the Input R^1 Sequence by applying Quadratic Sampling
transform(double[][]) - Method in class org.drip.measure.discrete.QuadraticResampler
Transform the Input R^d Sequence by applying Quadratic Sampling
transitionMetrics(long) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the Transition Metrics associated with the specified Tree Time Index
transitionMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Retrieve the Transition Metrics Map
translateAtPivot(int, int) - Method in class org.drip.spaces.big.BigC1Array
Translate the String at around the Pivot Index using the String Block
Transpose(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
Transpose the specified Square Matrix
Trapezoidal(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
Compute the function's integral within the specified limits using the Trapezoidal rule.
Treasury(String, JulianDate, JulianDate, String, double, int, String) - Static method in class org.drip.product.creator.BondBuilder
Creates a Treasury Bond from the Parameters
TreasuryAPI - Class in org.drip.service.product
TreasuryAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury Bond.
TreasuryAPI() - Constructor for class org.drip.service.product.TreasuryAPI
 
treasuryBenchmark() - Method in class org.drip.product.credit.BondComponent
 
treasuryBenchmark() - Method in interface org.drip.product.definition.BondProduct
Retrieve the bond treasury benchmark Set
TreasuryBenchmarks - Class in org.drip.product.params
TsyBmkSet contains the treasury benchmark set - the primary treasury benchmark, and an array of secondary treasury benchmarks.
TreasuryBenchmarks(String, String[]) - Constructor for class org.drip.product.params.TreasuryBenchmarks
Construct the treasury benchmark set from the primary treasury benchmark, and an array of secondary treasury benchmarks
TreasuryBondClient - Class in org.drip.sample.service
TreasuryBondClient demonstrates the Invocation and Examination of the JSON-based Treasury Bond Service Client.
TreasuryBondClient() - Constructor for class org.drip.sample.service.TreasuryBondClient
 
TreasuryBondExplainProcessor - Class in org.drip.historical.engine
TreasuryBondExplainProcessor contains the Functionality associated with the Horizon Analysis of the Treasury Bond.
TreasuryBondExplainProcessor(TreasuryComponent, String, double, JulianDate, JulianDate, CurveSurfaceQuoteContainer, CurveSurfaceQuoteContainer, CaseInsensitiveHashMap<CurveSurfaceQuoteContainer>) - Constructor for class org.drip.historical.engine.TreasuryBondExplainProcessor
TreasuryBondExplainProcessor Constructor
TreasuryBondPnLAttributor - Class in org.drip.feed.metric
TreasuryBondPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the Specified Treasury Bond.
TreasuryBondPnLAttributor() - Constructor for class org.drip.feed.metric.TreasuryBondPnLAttributor
 
TreasuryBondProcessor - Class in org.drip.service.json
TreasuryBondProcessor Sets Up and Executes a JSON Based In/Out Processing Service for Treasury Bonds.
TreasuryBondProcessor() - Constructor for class org.drip.service.json.TreasuryBondProcessor
 
TreasuryBondQuoteSet - Class in org.drip.product.calib
TreasuryBondQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Treasury Bond Component.
TreasuryBondQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.TreasuryBondQuoteSet
TreasuryBondQuoteSet Constructor
TreasuryBuilder - Class in org.drip.service.template
Treasury Builder contains Static Helper API to facilitate Construction of the Sovereign Treasury Bonds.
TreasuryBuilder() - Constructor for class org.drip.service.template.TreasuryBuilder
 
treasuryCode() - Method in class org.drip.state.identifier.GovvieLabel
Retrieve the Treasury Code
TreasuryComponent - Class in org.drip.product.govvie
TreasuryComponent implements the Functionality behind a Sovereign/Treasury Bond/Bill/Note.
TreasuryComponent(String) - Constructor for class org.drip.product.govvie.TreasuryComponent
TreasuryComponent Constructor
TreasuryFixedBullet - Class in org.drip.sample.treasury
TreasuryFixedBullet demonstrates Non-EOS Fixed Coupon Treasury Bond Pricing and Relative Value Measure Generation Functionality.
TreasuryFixedBullet() - Constructor for class org.drip.sample.treasury.TreasuryFixedBullet
 
TreasuryFutures - Class in org.drip.product.govvie
BondFutures implements the Bond Futures Product Contract Details.
TreasuryFutures(Bond[], double[], CashSettleParams) - Constructor for class org.drip.product.govvie.TreasuryFutures
BondFutures Constructor
TreasuryFutures(JulianDate, String, JulianDate[], JulianDate[], double[], double[], String, String, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
Generate an Instance of Treasury Futures given the Inputs
TreasuryFutures(JulianDate, String, int[], int[], double[], double[], String, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
Generate the Treasury Futures Instance
TreasuryFutures(JulianDate, String, int[], int[], double[], double[]) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
Generate the Treasury Futures Instance
TreasuryFuturesAPI - Class in org.drip.service.product
TreasuryFuturesAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury Futures Contract.
TreasuryFuturesAPI() - Constructor for class org.drip.service.product.TreasuryFuturesAPI
 
TreasuryFuturesClosesReconstitutor - Class in org.drip.feed.transformer
TreasuryFuturesClosesReconstitutor transforms the Treasury Futures Closes- Feed Inputs into Formats suitable for Valuation Metrics and Sensitivities Generation.
TreasuryFuturesClosesReconstitutor() - Constructor for class org.drip.feed.transformer.TreasuryFuturesClosesReconstitutor
 
TreasuryFuturesContract - Class in org.drip.market.exchange
TreasuryFuturesContract holds the Parameters/Settings of the Common Treasury Futures Contracts.
TreasuryFuturesContract(String, String, String, String) - Constructor for class org.drip.market.exchange.TreasuryFuturesContract
TreasuryFuturesContract Constructor
TreasuryFuturesContract(String) - Static method in class org.drip.market.exchange.TreasuryFuturesContractContainer
Retrieve the Treasury Futures Contract by Name
TreasuryFuturesContract(String, String) - Static method in class org.drip.market.exchange.TreasuryFuturesContractContainer
Retrieve the Treasury Futures Contract by Code and Tenor
TreasuryFuturesContractContainer - Class in org.drip.market.exchange
TreasuryFuturesContractContainer holds the Details of some of the Common Treasury Futures Contracts.
TreasuryFuturesContractContainer() - Constructor for class org.drip.market.exchange.TreasuryFuturesContractContainer
 
TreasuryFuturesConvention - Class in org.drip.market.exchange
TreasuryFuturesConvention contains the Details for the Futures Basket of the Exchange-Traded Treasury Futures Contracts.
TreasuryFuturesConvention(String, String[], String, String, String, double, double, double, String[], String, String, DateInMonth, TreasuryFuturesEligibility, TreasuryFuturesSettle) - Constructor for class org.drip.market.exchange.TreasuryFuturesConvention
TreasuryFuturesConvention Constructor
TreasuryFuturesConventionContainer - Class in org.drip.market.exchange
TreasuryFuturesConventionContainer holds the Details of the Treasury Futures Contracts.
TreasuryFuturesConventionContainer() - Constructor for class org.drip.market.exchange.TreasuryFuturesConventionContainer
 
TreasuryFuturesEligibility - Class in org.drip.market.exchange
TreasuryFuturesEligibility contains the Eligibility Criterion for a Bond in the Futures Basket of the Exchange-Traded Treasury Futures Contracts.
TreasuryFuturesEligibility(String, String, String[], double) - Constructor for class org.drip.market.exchange.TreasuryFuturesEligibility
TreasuryFuturesEligibility Constructor
TreasuryFuturesEventDates - Class in org.drip.market.exchange
TreasuryFuturesEventDates contains the actually realized Event Dates related to a Treasury Futures Contract.
TreasuryFuturesEventDates(JulianDate, JulianDate, JulianDate, JulianDate, JulianDate) - Constructor for class org.drip.market.exchange.TreasuryFuturesEventDates
TreasuryFuturesEventDates Constructor
TreasuryFuturesMarketSnap - Class in org.drip.historical.attribution
TreasuryFuturesMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given Treasury Futures Position.
TreasuryFuturesMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.TreasuryFuturesMarketSnap
TreasuryFuturesMarketSnap Constructor
TreasuryFuturesOptionContainer - Class in org.drip.market.exchange
TreasuryFuturesOptionContainer holds the Details of the Treasury Futures Options Contracts.
TreasuryFuturesOptionContainer() - Constructor for class org.drip.market.exchange.TreasuryFuturesOptionContainer
 
TreasuryFuturesOptionConvention - Class in org.drip.market.exchange
TreasuryFuturesOptionConvention contains the Details for the Exchange-Traded Options of the Exchange-Traded Treasury Futures Contracts.
TreasuryFuturesOptionConvention(String[], String, double, boolean, LastTradingDateSetting[]) - Constructor for class org.drip.market.exchange.TreasuryFuturesOptionConvention
TreasuryFuturesOptionConvention Constructor
TreasuryFuturesSettle - Class in org.drip.market.exchange
TreasuryFuturesSettle contains the Settlement Details for the Futures Basket of the Exchange-Traded Treasury Futures Contracts.
TreasuryFuturesSettle(int, int, int, int, int, int, boolean, double, double, int[]) - Constructor for class org.drip.market.exchange.TreasuryFuturesSettle
TreasuryFuturesSettle Constructor
TreasurySetting - Class in org.drip.market.issue
TreasurySetting contains the Definitions of the Settings of different Jurisdiction Treasuries.
TreasurySetting(String, String, int, String, String) - Constructor for class org.drip.market.issue.TreasurySetting
TreasurySetting Constructor
TreasurySetting(String) - Static method in class org.drip.market.issue.TreasurySettingContainer
Retrieve the Treasury Settings corresponding to the Code
TreasurySettingContainer - Class in org.drip.market.issue
TreasurySettingContainer contains the Parameters related to the Jurisdiction-specific Treasuries.
TreasurySettingContainer() - Constructor for class org.drip.market.issue.TreasurySettingContainer
 
treeStochasticDisplacementIndex() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Tree Stochastic Displacement Index
treeTimeIndex() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Tree Time Index
TriangularType(double[][], double) - Static method in class org.drip.quant.linearalgebra.Matrix
Retrieve the Triangular Type of the Matrix
TrinomialTreeCalibration - Class in org.drip.sample.hullwhite
TrinomialTreeCalibration demonstrates the Construction and Calibration of the Hull-White Trinomial Tree and the Eventual Evolution of the Short Rate on it.
TrinomialTreeCalibration() - Constructor for class org.drip.sample.hullwhite.TrinomialTreeCalibration
 
TrinomialTreeEvolution - Class in org.drip.sample.hullwhite
TrinomialTreeEvolution demonstrates the Construction and Usage of the Hull-White Trinomial Tree and the Eventual Evolution of the Short Rate on it.
TrinomialTreeEvolution() - Constructor for class org.drip.sample.hullwhite.TrinomialTreeEvolution
 
TrinomialTreeNodeMetrics - Class in org.drip.dynamics.hullwhite
TrinomialTreeNodeMetrics records the Metrics associated with each Node in the Trinomial Tree Evolution of the Instantaneous Short Rate using the Hull-White Model.
TrinomialTreeNodeMetrics(long, long, double, double) - Constructor for class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
TrinomialTreeNodeMetrics Constructor
TrinomialTreeSequenceMetrics - Class in org.drip.dynamics.hullwhite
TrinomialTreeSequenceMetrics records the Evolution Metrics of the Hull-White Model Trinomial Tree Sequence.
TrinomialTreeSequenceMetrics() - Constructor for class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
Empty TrinomialTreeSequenceMetrics Constructor
TrinomialTreeTransitionMetrics - Class in org.drip.dynamics.hullwhite
TrinomialTreeTransitionMetrics records the Transition Metrics associated with Node-to-Node Evolution of the Instantaneous Short Rate using the Hull-White Model Trinomial Tree.
TrinomialTreeTransitionMetrics(int, int, long, long, double, double, double) - Constructor for class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
TrinomialTreeTransitionMetrics Constructor
TRLHoliday - Class in org.drip.analytics.holset
 
TRLHoliday() - Constructor for class org.drip.analytics.holset.TRLHoliday
 
TRYHoliday - Class in org.drip.analytics.holset
 
TRYHoliday() - Constructor for class org.drip.analytics.holset.TRYHoliday
 
TRYIRSAttribution - Class in org.drip.sample.fixfloatpnl
TRYIRSAttribution generates the Historical PnL Attribution for TRY IRS.
TRYIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.TRYIRSAttribution
 
TRYShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
TRYShapePreserving1YStart Generates the Historical TRY Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
TRYShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.TRYShapePreserving1YStart
 
TRYShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
TRYShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the TRY Input Marks.
TRYShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.TRYShapePreservingReconstitutor
 
tsyQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
Get the named Treasury Quote Map corresponding to the desired benchmark
tsyQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
tsyQuotes() - Method in class org.drip.param.definition.ScenarioMarketParams
Get the full set of named Treasury Quote Map
tsyQuotes() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
 
tsySpread() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the TSY Spread
tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from ASW to Work-out
tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from ASW to Maturity
tsySpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from ASW to Optimal Exercise
tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Bond Basis to Work-out
tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Bond Basis to Maturity
tsySpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Bond Basis to Optimal Exercise
tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Credit Basis to Work-out
tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Credit Basis to Maturity
tsySpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Credit Basis to Optimal Exercise
tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Discount Margin to Work-out
tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Discount Margin to Maturity
tsySpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Discount Margin to Optimal Exercise
tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from E Spread to Work-out
tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from E Spread to Maturity
tsySpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from E Spread to Optimal Exercise
tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from G Spread to Work-out
tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from G Spread to Maturity
tsySpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from G Spread to Optimal Exercise
tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from I Spread to Work-out
tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from I Spread to Maturity
tsySpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from I Spread to Optimal Exercise
tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from J Spread to Work-out
tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from J Spread to Maturity
tsySpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from J Spread to Optimal Exercise
tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from N Spread to Work-out
tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from N Spread to Maturity
tsySpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from N Spread to Optimal Exercise
tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from OAS to Work-out
tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from OAS to Maturity
tsySpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from OAS to Optimal Exercise
tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from PECS to Work-out
tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from PECS to Maturity
tsySpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from PECS to Optimal Exercise
tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Price to Work-out
tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Price to Maturity
tsySpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Price to Optimal Exercise
tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Yield to Work-out
tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Yield to Maturity
tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Yield Spread to Work-out
tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Yield Spread to Maturity
tsySpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Yield Spread to Optimal Exercise
tsySpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Yield to Optimal Exercise
tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Z Spread to Work-out
tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Z Spread to Maturity
tsySpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
tsySpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate TSY Spread from Z Spread to Optimal Exercise
tte() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve TTE
TU1 - Class in org.drip.sample.treasuryfuturesapi
TU1 demonstrates the Invocation and Examination of the TU1 2Y UST Treasury Futures.
TU1() - Constructor for class org.drip.sample.treasuryfuturesapi.TU1
 
TU1_02Y - Class in org.drip.template.ust
TU1_02Y demonstrates the Details behind the Implementation and the Pricing of the 2Y TU1 UST Futures Contract.
TU1_02Y() - Constructor for class org.drip.template.ust.TU1_02Y
 
TU1Attribution - Class in org.drip.sample.treasuryfuturespnl
TU1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the TU1 Series.
TU1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.TU1Attribution
 
TU1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
TU1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated TU1 Closes Feed.
TU1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.TU1ClosesReconstitutor
 
TU1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
TU1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the TU1 Treasury Futures.
TU1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.TU1KeyRateDuration
 
TUESDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Tuesday
Tumkur - Class in org.drip.sample.bondmetrics
Tumkur generates the Full Suite of Replication Metrics for Bond Tumkur.
Tumkur() - Constructor for class org.drip.sample.bondmetrics.Tumkur
 
Turn - Class in org.drip.analytics.definition
Turn implements rate spread at discrete time spans.
Turn(int, int, double) - Constructor for class org.drip.analytics.definition.Turn
Turn Constructor
turnAdjust(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Apply the Turns' DF Adjustment
turnAdjust(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Apply the Turns' DF Adjustment
turnAdjust(int, int) - Method in class org.drip.state.discount.TurnListDiscountFactor
Apply the Turns' DF Adjustment
TurnListDiscountFactor - Class in org.drip.state.discount
TurnListDiscountFactor implements the discounting based off of the turns list.
TurnListDiscountFactor() - Constructor for class org.drip.state.discount.TurnListDiscountFactor
Empty TurnListDiscountFactor constructor
turnover() - Method in class org.drip.execution.parameters.AssetFlowSettings
Retrieve the Daily Turnover
TWD - Class in org.drip.template.irs
TWD contains a Templated Pricing of the OTC Fix-Float TWD IRS Instrument.
TWD() - Constructor for class org.drip.template.irs.TWD
 
TWDHoliday - Class in org.drip.analytics.holset
 
TWDHoliday() - Constructor for class org.drip.analytics.holset.TWDHoliday
 
TweakManifestMeasure(double[], ManifestMeasureTweak) - Static method in class org.drip.analytics.support.Helper
Tweak the Manifest Measures (gor the given set of nodes) in accordance with the specified tweak parameters
TwoDSDMapToFlatString(CaseInsensitiveTreeMap<Double>, String, String) - Static method in class org.drip.quant.common.CollectionUtil
Flatten an input 2D string/double map into a delimited string array
TwoFactorLIBORVolatility - Class in org.drip.sample.lmm
TwoFactorLIBORVolatility demonstrates the Construction and Usage of the 2 Factor LIBOR Forward Rate Volatility.
TwoFactorLIBORVolatility() - Constructor for class org.drip.sample.lmm.TwoFactorLIBORVolatility
 
TwoThirdsPowerLaw(String, String, String, double) - Static method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
Construction of the Two-Third's Power Law TransactionChargeMarketImpact Instance
TwoVariateConstrainedVariance - Class in org.drip.sample.semidefinite
TwoVariateConstrainedVariance demonstrates the Application of the Interior Point Method for minimizing the Variance Across Two Variates under the Normalization Constraint.
TwoVariateConstrainedVariance() - Constructor for class org.drip.sample.semidefinite.TwoVariateConstrainedVariance
 
TY1 - Class in org.drip.sample.treasuryfuturesapi
TY1 demonstrates the Invocation and Examination of the TY1 10Y UST Treasury Futures.
TY1() - Constructor for class org.drip.sample.treasuryfuturesapi.TY1
 
TY1_10Y - Class in org.drip.template.ust
TY1_10Y demonstrates the Details behind the Implementation and the Pricing of the 10Y TY1 UST Futures Contract.
TY1_10Y() - Constructor for class org.drip.template.ust.TY1_10Y
 
TY1Attribution - Class in org.drip.sample.treasuryfuturespnl
TY1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the TY1 Series.
TY1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.TY1Attribution
 
TY1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
TY1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated TY1 Closes Feed.
TY1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.TY1ClosesReconstitutor
 
TY1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
TY1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the TY1 Treasury Futures.
TY1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.TY1KeyRateDuration
 
type - Variable in class org.drip.json.parser.Yytoken
 
type() - Method in class org.drip.market.exchange.TreasuryFuturesContract
Retrieve the Underlying Treasury Type
type() - Method in class org.drip.param.definition.CalibrationParams
Retrieve the Calibration Type
type() - Method in class org.drip.param.period.FixingSetting
Retrieve the Fixing Type
type() - Method in class org.drip.param.valuation.WorkoutInfo
Retrieve the Work-out Type
type() - Method in class org.drip.portfolioconstruction.composite.Benchmark
Retrieve the Benchmark Type
type() - Method in class org.drip.product.govvie.TreasuryFutures
Retrieve the Futures Type
type() - Method in class org.drip.spaces.tensor.Cardinality
Retrieve the Cardinality Type
type() - Method in class org.drip.spline.segment.Monotonocity
Retrieve the Monotone Type
TYPE_COLON - Static variable in class org.drip.json.parser.Yytoken
 
TYPE_COMMA - Static variable in class org.drip.json.parser.Yytoken
 
TYPE_EOF - Static variable in class org.drip.json.parser.Yytoken
 
TYPE_LEFT_BRACE - Static variable in class org.drip.json.parser.Yytoken
 
TYPE_LEFT_SQUARE - Static variable in class org.drip.json.parser.Yytoken
 
TYPE_RIGHT_BRACE - Static variable in class org.drip.json.parser.Yytoken
 
TYPE_RIGHT_SQUARE - Static variable in class org.drip.json.parser.Yytoken
 
TYPE_VALUE - Static variable in class org.drip.json.parser.Yytoken
 

U

UAHHoliday - Class in org.drip.analytics.holset
 
UAHHoliday() - Constructor for class org.drip.analytics.holset.UAHHoliday
 
UB1 - Class in org.drip.sample.treasuryfuturesapi
UB1 demonstrates the Invocation and Examination of the UB1 30Y DBR BUXL Treasury Futures.
UB1() - Constructor for class org.drip.sample.treasuryfuturesapi.UB1
 
UB1Attribution - Class in org.drip.sample.treasuryfuturespnl
UB1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the UB1 Series.
UB1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.UB1Attribution
 
UB1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
UB1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated UB1 Closes Feed.
UB1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.UB1ClosesReconstitutor
 
UB1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
UB1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the UB1 Treasury Futures.
UB1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.UB1KeyRateDuration
 
ucas() - Method in class org.drip.state.identifier.FloaterLabel
Retrieve a Unit Coupon Accrual Setting
ucas() - Method in class org.drip.state.identifier.OvernightLabel
Retrieve a Unit Coupon Accrual Setting
ucolva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for Unilateral Collateral VA
UCVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
Construct the UCVA Value Adjustment Instance
ucva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Unilateral CVA
ucva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for UCVA
Udaipur - Class in org.drip.sample.bondmetrics
Udaipur demonstrates the Analytics Calculation/Reconciliation for the Bond Udaipur.
Udaipur() - Constructor for class org.drip.sample.bondmetrics.Udaipur
 
udva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Expected Unilateral DVA
Ujjain - Class in org.drip.sample.bondmetrics
Ujjain demonstrates the Analytics Calculation/Reconciliation for the Bond Ujjain.
Ujjain() - Constructor for class org.drip.sample.bondmetrics.Ujjain
 
Ulhasnagar - Class in org.drip.sample.bondmetrics
Ulhasnagar demonstrates the Analytics Calculation/Reconciliation for the Bond Ulhasnagar.
Ulhasnagar() - Constructor for class org.drip.sample.bondmetrics.Ulhasnagar
 
ultima() - Method in class org.drip.pricer.option.Greeks
The Option Ultima
ULTRA - Class in org.drip.sample.treasuryfuturesapi
ULTRA demonstrates the Invocation and Examination of the ULTRA 30Y UST Treasury Futures.
ULTRA() - Constructor for class org.drip.sample.treasuryfuturesapi.ULTRA
 
unadjusted() - Method in class org.drip.exposure.regressiontrade.VariationMarginEstimateVertex
Retrieve the Unadjusted Variation Margin at the Vertex
unadjustedCovariance() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
Retrieve the Unadjusted Cross-Group Co-variance
unadjustedWeights() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
Retrieve the Array of the Unadjusted Equilibrium Weights
UnboundedMarkovitzBullet - Class in org.drip.sample.efficientfrontier
UnboundedMarkovitzBullet demonstrates the Construction of the Efficient Frontier using the Unconstrained Quadratic Mean Variance Optimizer.
UnboundedMarkovitzBullet() - Constructor for class org.drip.sample.efficientfrontier.UnboundedMarkovitzBullet
 
UnboundedMarkovitzBulletExplicit - Class in org.drip.sample.efficientfrontier
UnboundedMarkovitzBulletExplicit demonstrates the Explicit Construction of the Efficient Frontier.
UnboundedMarkovitzBulletExplicit() - Constructor for class org.drip.sample.efficientfrontier.UnboundedMarkovitzBulletExplicit
 
uncollateralized() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexExposure
Retrieve the Gross Uncollateralized Exposure Estimate
UncollateralizedCollateralGroup - Class in org.drip.sample.xva
UncollateralizedCollateralGroup illustrates the Sample Run of a Single Uncollateralized Collateral Group with several Fix-Float Swaps.
UncollateralizedCollateralGroup() - Constructor for class org.drip.sample.xva.UncollateralizedCollateralGroup
 
UncollateralizedCollateralGroupCorrelated - Class in org.drip.sample.xva
UncollateralizedCollateralGroupCorrelated illustrates the Sample Run of a Single Uncollateralized Collateral Group with several Fix-Float Swaps, and with built in Factor Correlations across the Numeraires.
UncollateralizedCollateralGroupCorrelated() - Constructor for class org.drip.sample.xva.UncollateralizedCollateralGroupCorrelated
 
UncollateralizedCollateralNeutral - Class in org.drip.sample.xvabasel
UncollateralizedCollateralNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedCollateralNeutral() - Constructor for class org.drip.sample.xvabasel.UncollateralizedCollateralNeutral
 
UncollateralizedCollateralNeutralStochastic - Class in org.drip.sample.xvabasel
UncollateralizedCollateralNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedCollateralNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedCollateralNeutralStochastic
 
UncollateralizedCollateralPayable - Class in org.drip.sample.xvabasel
UncollateralizedCollateralPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedCollateralPayable() - Constructor for class org.drip.sample.xvabasel.UncollateralizedCollateralPayable
 
UncollateralizedCollateralPayableStochastic - Class in org.drip.sample.xvabasel
UncollateralizedCollateralPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedCollateralPayableStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedCollateralPayableStochastic
 
UncollateralizedCollateralReceivable - Class in org.drip.sample.xvabasel
UncollateralizedCollateralReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedCollateralReceivable() - Constructor for class org.drip.sample.xvabasel.UncollateralizedCollateralReceivable
 
UncollateralizedCollateralReceivableStochastic - Class in org.drip.sample.xvabasel
UncollateralizedCollateralReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedCollateralReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedCollateralReceivableStochastic
 
uncollateralizedExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Uncollateralized Exposures
uncollateralizedExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Uncollateralized Exposure
uncollateralizedExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Uncollateralized Exposure PV's
uncollateralizedExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Uncollateralized Exposure PV
UncollateralizedFundingNeutral - Class in org.drip.sample.xvabasel
UncollateralizedFundingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedFundingNeutral() - Constructor for class org.drip.sample.xvabasel.UncollateralizedFundingNeutral
 
UncollateralizedFundingNeutralStochastic - Class in org.drip.sample.xvabasel
UncollateralizedFundingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedFundingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedFundingNeutralStochastic
 
UncollateralizedFundingPayable - Class in org.drip.sample.xvabasel
UncollateralizedFundingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedFundingPayable() - Constructor for class org.drip.sample.xvabasel.UncollateralizedFundingPayable
 
UncollateralizedFundingPayableStochastic - Class in org.drip.sample.xvabasel
UncollateralizedFundingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedFundingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedFundingPayableStochastic
 
UncollateralizedFundingReceivable - Class in org.drip.sample.xvabasel
UncollateralizedFundingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedFundingReceivable() - Constructor for class org.drip.sample.xvabasel.UncollateralizedFundingReceivable
 
UncollateralizedFundingReceivableStochastic - Class in org.drip.sample.xvabasel
UncollateralizedFundingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedFundingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedFundingReceivableStochastic
 
uncollateralizedNegativeExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Uncollateralized Negative Exposures
uncollateralizedNegativeExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Uncollateralized Negative Exposure
uncollateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Uncollateralized Negative Exposure PV
uncollateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Uncollateralized Negative Exposure PV
UncollateralizedNettingNeutral - Class in org.drip.sample.xvabasel
UncollateralizedNettingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedNettingNeutral() - Constructor for class org.drip.sample.xvabasel.UncollateralizedNettingNeutral
 
UncollateralizedNettingNeutralStochastic - Class in org.drip.sample.xvabasel
UncollateralizedNettingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedNettingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedNettingNeutralStochastic
 
UncollateralizedNettingPayable - Class in org.drip.sample.xvabasel
UncollateralizedNettingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedNettingPayable() - Constructor for class org.drip.sample.xvabasel.UncollateralizedNettingPayable
 
UncollateralizedNettingPayableStochastic - Class in org.drip.sample.xvabasel
UncollateralizedNettingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedNettingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedNettingPayableStochastic
 
UncollateralizedNettingReceivable - Class in org.drip.sample.xvabasel
UncollateralizedNettingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedNettingReceivable() - Constructor for class org.drip.sample.xvabasel.UncollateralizedNettingReceivable
 
UncollateralizedNettingReceivableStochastic - Class in org.drip.sample.xvabasel
UncollateralizedNettingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UncollateralizedNettingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.UncollateralizedNettingReceivableStochastic
 
uncollateralizedPositiveExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Uncollateralized Positive Exposures
uncollateralizedPositiveExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Uncollateralized Positive Exposure
uncollateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of Uncollateralized Positive Exposure PV
uncollateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
Retrieve the Univariate Thin Statistics for the Uncollateralized Positive Exposure PV
unconditional() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
Retrieve the Unconditional Distribution
unconditionalTargetVariateMetrics(SingleSequenceAgnosticMetrics[], int) - Method in class org.drip.sequence.functional.MultivariateRandom
Compute the Target Variate Function Metrics over the full Non-target Variate Empirical Distribution
Unconstrained(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear) - Static method in class org.drip.execution.cost.LinearTemporaryImpact
Generate an Unconstrained LinearTemporaryImpact Instance
Unconstrained() - Static method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
Construct an Unconstrained Instance of PortfolioEqualityConstraintSettings
UnconstrainedCovarianceEllipsoid - Class in org.drip.sample.rdtor1
UnconstrainedCovarianceEllipsoid demonstrates the Construction and Usage of a Co-variance Ellipsoid.
UnconstrainedCovarianceEllipsoid() - Constructor for class org.drip.sample.rdtor1.UnconstrainedCovarianceEllipsoid
 
UncountablyInfinite() - Static method in class org.drip.spaces.tensor.Cardinality
Uncountably Infinite Cardinality
underlierSubtype() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Underlier Sub-type
underlierType() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
Retrieve the Treasury Futures Underlier Type
underlying() - Method in class org.drip.product.option.OptionComponent
Retrieve the Underlying Component
underlyingDistribution() - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
Retrieve the Underlying Distribution
underlyingDistribution() - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
Retrieve the Underlying Distribution
underlyingEvolver() - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Retrieve the Underlying Diffusion Evolver
underlyingFundingSpreadCorrelation() - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
Retrieve the Correlation between the Underlying and the Funding Spread Processes
underlyingLatentState() - Method in class org.drip.state.identifier.VolatilityLabel
Retrieve the Latent State Underlying the Volatility Latent State
unexplainedChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
Retrieve the Unexplained Interval Change
UnifiedShapePreserving1YStart - Class in org.drip.sample.fundingfeed
UnifiedShapePreserving1YStart demonstrates the unified re-constitution and Metrics Generation.
UnifiedShapePreserving1YStart() - Constructor for class org.drip.sample.fundingfeed.UnifiedShapePreserving1YStart
 
Uniform(int, int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
Make a Variate Set with/without Constraint
Uniform(int) - Static method in class org.drip.measure.discrete.SequenceGenerator
Generate a Sequence of Uniform Random Numbers
uniformCPDArray() - Method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
Retrieve the Uniform Cumulative Probability Density Array
UniformDiffusion(double) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Generate a R^1 Uniform Diffusion Realization
UniformJump(double) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
Generate a R^1 Uniform Jump Realization
UniformParticipationRate - Class in org.drip.execution.profiletime
UniformParticipationRateLinear exposes the Uniform Background Profile Adjusted Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model.
UniformParticipationRate(TransactionFunction) - Constructor for class org.drip.execution.profiletime.UniformParticipationRate
UniformParticipationRate Constructor
UniformParticipationRateLinear - Class in org.drip.execution.profiletime
UniformParticipationRateLinear exposes the Uniform Background Profile Adjusted Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model.
UniformParticipationRateLinear(ParticipationRateLinear) - Constructor for class org.drip.execution.profiletime.UniformParticipationRateLinear
UniformParticipationRateLinear Constructor
unify() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
Unify the Objective Function and the Constraint Function Input Variate Set
unilateralCollateralAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
unilateralCollateralAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
unilateralCollateralAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Unilateral Collateral Adjustment
unilateralCollateralAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Unilateral Collateral Value Adjustment
unilateralCollateralAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Unilateral Collateral Value Adjustment
unilateralCreditAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
unilateralCreditAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
unilateralCreditAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Unilateral Credit Adjustment
unilateralCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Unilateral Credit Adjustment
unilateralCreditAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Unilateral Credit Value Adjustment
UnilateralCSACollateralizedFunding - Class in org.drip.sample.burgard2013
UnilateralCSACollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UnilateralCSACollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.UnilateralCSACollateralizedFunding
 
UnilateralCSACollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
UnilateralCSACollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UnilateralCSACollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.UnilateralCSACollateralizedFundingStochastic
 
UnilateralCSAUncollateralizedFunding - Class in org.drip.sample.burgard2013
UnilateralCSAUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UnilateralCSAUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.UnilateralCSAUncollateralizedFunding
 
UnilateralCSAUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
UnilateralCSAUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UnilateralCSAUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.UnilateralCSAUncollateralizedFundingStochastic
 
UnilateralCSAZeroThresholdFunding - Class in org.drip.sample.burgard2013
UnilateralCSAZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UnilateralCSAZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.UnilateralCSAZeroThresholdFunding
 
UnilateralCSAZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
UnilateralCSAZeroThresholdFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
UnilateralCSAZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.UnilateralCSAZeroThresholdFundingStochastic
 
unilateralDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
unilateralDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
unilateralDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Unilateral Debt Adjustment
unilateralDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Unilateral Debt Adjustment
unilateralDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Unilateral Debt Value Adjustment
unilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Unilateral Funding Debt Adjustment
unilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Unilateral Funding Debt Adjustment
unilateralFundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
unilateralFundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
unilateralFundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Compute Path Unilateral Funding Value Adjustment
unilateralFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Unilateral Funding Value Adjustment
unilateralFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Compute Path Unilateral Funding Value Spread 01
unilateralFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Path Unilateral Funding Value Spread 01
unit() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
Retrieve the Constraint Unit
Unit - Class in org.drip.portfolioconstruction.optimizer
Unit specifies the Denomination of the Limits for a given Constraint Term.
Unit(int) - Constructor for class org.drip.portfolioconstruction.optimizer.Unit
Unit Constructor
Unitary(int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
Make a Unitary Variate Set
UnitCouponAccrualSetting - Class in org.drip.param.period
UnitCouponAccrualSetting contains the cash flow periods' Coupon/Accrual details.
UnitCouponAccrualSetting(int, String, boolean, String, boolean, String, boolean, int) - Constructor for class org.drip.param.period.UnitCouponAccrualSetting
UnitCouponAccrualSetting constructor
UnitDateEdges(int, int, String, ComposableUnitBuilderSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Retrieve the List of Edge Dates across all Units
unitMetrics() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
Retrieve the List of the Unit Period Metrics
unitPeriodConvexityMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
Compute the Unit Period Convexity Measures
UnitPeriodConvexityMetrics - Class in org.drip.analytics.output
UnitPeriodMetrics holds the results of a unit composable period convexity metrics estimate output.
UnitPeriodConvexityMetrics(int, int, ConvexityAdjustment) - Constructor for class org.drip.analytics.output.UnitPeriodConvexityMetrics
UnitPeriodConvexityMetrics constructor
UnitPeriodMetrics - Class in org.drip.analytics.output
UnitPeriodMetrics holds the results of a unit composable period metrics estimate output.
UnitPeriodMetrics(int, int, double, double, ConvexityAdjustment) - Constructor for class org.drip.analytics.output.UnitPeriodMetrics
UnitPeriodMetrics constructor
unitPeriodTenor() - Method in class org.drip.market.otc.FixedStreamConvention
Retrieve the Unit Period Tenor
UnitPositionGroupValue(int, MarketVertexGenerator, PositionGroupContainer) - Static method in class org.drip.xva.dynamics.PathSimulator
Generate a PathSimulator Instance with the corresponding Position Group Value
UnitRandomSequenceBound - Class in org.drip.sample.sequence
SingleRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random Sequence.
UnitRandomSequenceBound() - Constructor for class org.drip.sample.sequence.UnitRandomSequenceBound
 
UnitRegressionExecutor - Class in org.drip.regression.core
UnitRegressionExecutor implements the UnitRegressor, and splits the regression execution into pre-, execute, and post-regression.
UnitRegressionExecutor(String, String) - Constructor for class org.drip.regression.core.UnitRegressionExecutor
Constructor for the unit regression executor
UnitRegressionStat - Class in org.drip.regression.core
UnitRegressionStat creates the statistical details for the Unit Regressor.
UnitRegressionStat() - Constructor for class org.drip.regression.core.UnitRegressionStat
Empty Constructor
UnitRegressor - Interface in org.drip.regression.core
UnitRegressor provides the stub functionality for the Individual Regressors.
UnitSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
UnitSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the specified Bounded [0, 1] Sequence.
UnitSequenceAgnosticMetrics(double[], double) - Constructor for class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
UnitSequenceAgnosticMetrics Constructor
unitSize() - Method in class org.drip.param.pricer.CreditPricerParams
Retrieve the Discretized Loss Unit Size
UnitVector - Class in org.drip.function.definition
UnitVector implements the Normalized R^d Unit Vector.
UnitVector(double[]) - Constructor for class org.drip.function.definition.UnitVector
 
UnivariateConvolution - Class in org.drip.function.r1tor1
This class provides the evaluation of the Convolution au1 * au2 and its derivatives for a specified variate.
UnivariateConvolution(R1ToR1, R1ToR1) - Constructor for class org.drip.function.r1tor1.UnivariateConvolution
Construct a PolynomialMirrorCross instance
UnivariateDiscreteThin - Class in org.drip.measure.statistics
UnivariateDiscreteThin analyzes and computes the "Thin" Statistics for the Realized Univariate Sequence.
UnivariateDiscreteThin(double[]) - Constructor for class org.drip.measure.statistics.UnivariateDiscreteThin
UnivariateDiscreteThin Constructor
UnivariateMoments - Class in org.drip.measure.statistics
UnivariateMoments generates and holds the Specified Univariate Series Mean, Variance, and a few selected Moments.
UnivariateMoments(String, double, double, int, Map<Integer, Double>) - Constructor for class org.drip.measure.statistics.UnivariateMoments
 
UnivariateReciprocal - Class in org.drip.function.r1tor1
UnivariateReciprocal provides the evaluation 1/f(x) instead of f(x) for a given f.
UnivariateReciprocal(R1ToR1) - Constructor for class org.drip.function.r1tor1.UnivariateReciprocal
UnivariateReciprocal constructor
UnivariateReflection - Class in org.drip.function.r1tor1
UnivariateReflection provides the evaluation f(1-x) instead of f(x) for a given f.
UnivariateReflection(R1ToR1) - Constructor for class org.drip.function.r1tor1.UnivariateReflection
UnivariateReflection constructor
UnivariateSequence - Class in org.drip.sample.statistics
UnivariateSequence demonstrates the Generation of the Statistical Measures for the Input Series of Univariate Sequences.
UnivariateSequence() - Constructor for class org.drip.sample.statistics.UnivariateSequence
 
UnivariateSequenceGenerator - Class in org.drip.sequence.random
UnivariateSequenceGenerator implements the Univariate Random Sequence Generator Functionality.
UnivariateSequenceGenerator() - Constructor for class org.drip.sequence.random.UnivariateSequenceGenerator
 
Unrealized(double, double, double, double, double) - Static method in class org.drip.xva.basel.BalanceSheetVertex
Unrealized Instance of BalanceSheetVertex
unsetSpecificDefault() - Method in class org.drip.state.credit.CreditCurve
Remove the Specific Default Date
unshapedBasisFunctionDerivative(double[], double, int) - Method in interface org.drip.spline.segment.BasisEvaluator
Compute the Ordered Derivative of the Response Value off of the Basis Function Set at the specified Predictor Ordinate
unshapedBasisFunctionDerivative(double[], double, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
unshapedResponseValue(double[], double) - Method in interface org.drip.spline.segment.BasisEvaluator
Compute the Basis Function Value at the specified Predictor Ordinate
unshapedResponseValue(double[], double) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
 
updateAndApply(double, boolean) - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
Apply the Rotation Count Adjustment in accordance with the direction, (optionally) record the previous phase.
updateDValueDManifestMeasure(String, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Update the Constraint Value Sensitivity
updateFixings() - Method in class org.drip.historical.engine.FixFloatExplainProcessor
 
updateFixings() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
Update the Fixings (if any) to the Second Market Parameters
updateFixings() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
 
updateValue(double) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
Update the Constraint Value
updateValue(double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
Update the Constraint Value
upNodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the "Up" Node Metrics
upper() - Method in class org.drip.portfolioconstruction.asset.AssetBounds
Retrieve the Upper Bound
upper() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
Retrieve the Upper Probability Bound
UPPER_TRIANGULAR - Static variable in class org.drip.quant.linearalgebra.Matrix
Upper Triangular Matrix
upperBound(String) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
Retrieve the Upper Bound for the Specified Asset ID
upperBound() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintRealization
Retrieve the Upper Bound
upperBound() - Method in class org.drip.sequence.random.Bounded
Retrieve the Upper Bound
upperProbabilityBoundWeight(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
Compute the Log of the Weight Loading Coefficient for the Maximum Cover Term in: {Probability that the Empirical Error .gt.
urgency() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
Retrieve the Optimal Trajectory Urgency
Urumqi - Class in org.drip.sample.bondeos
Urumqi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Urumqi.
Urumqi() - Constructor for class org.drip.sample.bondeos.Urumqi
 
US1 - Class in org.drip.sample.treasuryfuturesapi
US1 demonstrates the Invocation and Examination of the US1 20Y UST Treasury Futures.
US1() - Constructor for class org.drip.sample.treasuryfuturesapi.US1
 
US1_30Y - Class in org.drip.template.ust
US1_30Y demonstrates the Details behind the Implementation and the Pricing of the 30Y US1 UST Futures Contract.
US1_30Y() - Constructor for class org.drip.template.ust.US1_30Y
 
US1Attribution - Class in org.drip.sample.treasuryfuturespnl
USV1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the US1 Series.
US1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.US1Attribution
 
US1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
US1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated US1 Closes Feed.
US1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.US1ClosesReconstitutor
 
US1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
US1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the US1 Treasury Futures.
US1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.US1KeyRateDuration
 
USD - Class in org.drip.template.irs
USD contains a Templated Pricing of the OTC Fix-Float USD IRS Instrument.
USD() - Constructor for class org.drip.template.irs.USD
 
USDCreditFixingReconstitutor - Class in org.drip.sample.creditfeed
USDCreditFixingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the USD Credit Fixing Input Marks.
USDCreditFixingReconstitutor() - Constructor for class org.drip.sample.creditfeed.USDCreditFixingReconstitutor
 
USDHoliday - Class in org.drip.analytics.holset
 
USDHoliday() - Constructor for class org.drip.analytics.holset.USDHoliday
 
USDIRSAttribution - Class in org.drip.sample.fixfloatpnl
USDIRSAttribution generates the Historical PnL Attribution for USD IRS.
USDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.USDIRSAttribution
 
USDOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
USDOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the USD Input OIS Marks.
USDOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.USDOISSmoothReconstitutor
 
USDShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
USDShapePreserving1YForward Generates the Historical USD Shape Preserving Funding Curve Native 1Y Compounded Forward Rate.
USDShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.USDShapePreserving1YForward
 
USDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
USDShapePreserving1YStart Generates the Historical USD Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
USDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.USDShapePreserving1YStart
 
USDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
USDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the USD Input Marks.
USDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.USDShapePreservingReconstitutor
 
USDSmooth1MForward - Class in org.drip.sample.overnighthistorical
USDSmooth1MForward Generates the Historical USD Smoothened Overnight Curve Native 1M Compounded Forward Rate.
USDSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.USDSmooth1MForward
 
USDSmooth1YForward - Class in org.drip.sample.fundinghistorical
USDSmooth1YForward Generates the Historical USD Smoothened Funding Curve Native 1Y Compounded Forward Rate.
USDSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.USDSmooth1YForward
 
USDSmoothReconstitutor - Class in org.drip.sample.fundingfeed
USDSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the USD Input Marks.
USDSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.USDSmoothReconstitutor
 
useAlternateReferenceModel() - Method in class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
Retrieve the Flag indicating if the Alternate Reference Model is to be used
useCurveRecovery() - Method in class org.drip.product.params.CreditSetting
Flag indicating whether or nor to use the Curve Recovery
UserConfidenceProjectionCalibration - Class in org.drip.sample.idzorek
UserConfidenceProjectionCalibration calibrates the Black Litterman Projection Variance using the Implied Allocation Tilts.
UserConfidenceProjectionCalibration() - Constructor for class org.drip.sample.idzorek.UserConfidenceProjectionCalibration
 
userConfidenceProjectionTilt(double[]) - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
Compute the Idzorek Implied Tilt from the User Projection Confidence Level
usg() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
Retrieve the Array of Univariate Sequence Generators
usgForwardRate() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
The Forward Rate Univariate Random Variable Generator Sequence
usgForwardRateVolatilityIdiosyncratic() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
The Idiosyncratic Component of Forward Rate Volatility Univariate Random Variable Generator Sequence
UST(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
Construct an Instance of the US Treasury USD UST Bond
UST02Y - Class in org.drip.sample.treasuryfutures
UST02Y demonstrates the Details behind the Implementation and the Pricing of the 2Y TU1 UST Futures Contract.
UST02Y() - Constructor for class org.drip.sample.treasuryfutures.UST02Y
 
UST05Y - Class in org.drip.sample.treasuryfutures
UST05Y demonstrates the Details behind the Implementation and the Pricing of the 5Y FV1 UST Futures Contract.
UST05Y() - Constructor for class org.drip.sample.treasuryfutures.UST05Y
 
UST10Y - Class in org.drip.sample.treasuryfutures
UST10Y demonstrates the Details behind the Implementation and the Pricing of the 10Y TY1 UST Futures Contract.
UST10Y() - Constructor for class org.drip.sample.treasuryfutures.UST10Y
 
UST30Y - Class in org.drip.sample.treasuryfutures
UST30Y demonstrates the Details behind the Implementation and the Pricing of the 30Y LONG BOND US1 UST Futures Contract.
UST30Y() - Constructor for class org.drip.sample.treasuryfutures.UST30Y
 
USTBenchmarkAttribution - Class in org.drip.sample.treasurypnl
USTBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the UST Benchmark Bond Series.
USTBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.USTBenchmarkAttribution
 
USTReconstitutor - Class in org.drip.sample.treasuryfeed
USTReconstitutor demonstrates the Cleansing and Re-constitution of the UST Yield Marks obtained from Historical Yield Curve Prints.
USTReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.USTReconstitutor
 
USTRegularizeCloses(String) - Static method in class org.drip.feed.transformer.TreasuryFuturesClosesReconstitutor
Regularize the UST Futures Closes Feed
USTULTRA - Class in org.drip.sample.treasuryfutures
USTULTRA demonstrates the Details behind the Implementation and the Pricing of the ULTRA LONG WN1 UST Futures Contract.
USTULTRA() - Constructor for class org.drip.sample.treasuryfutures.USTULTRA
 
USVHoliday - Class in org.drip.analytics.holset
 
USVHoliday() - Constructor for class org.drip.analytics.holset.USVHoliday
 
UVRHoliday - Class in org.drip.analytics.holset
 
UVRHoliday() - Constructor for class org.drip.analytics.holset.UVRHoliday
 
UYUHoliday - Class in org.drip.analytics.holset
 
UYUHoliday() - Constructor for class org.drip.analytics.holset.UYUHoliday
 

V

v1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
Retrieve V1
v1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
Retrieve V1
v1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
Retrieve V1
v2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
Retrieve V2
v2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
Retrieve V2
v2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
Retrieve V2
v3() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
Retrieve V3
VA(double) - Static method in class org.drip.sample.burgard2012.FixFloatVABank
 
VA(double) - Static method in class org.drip.sample.burgard2012.FixFloatVACounterParty
 
VACHoliday - Class in org.drip.analytics.holset
 
VACHoliday() - Constructor for class org.drip.analytics.holset.VACHoliday
 
Vadodra - Class in org.drip.sample.bondeos
Vadodra demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Vadodra.
Vadodra() - Constructor for class org.drip.sample.bondeos.Vadodra
 
valid() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Indicate the Necessary/Sufficient Validity across all the Condition Qualifiers
valid() - Method in class org.drip.optimization.constrained.RegularityConditions
Indicate the Ordered Gross Regularity Validity across all the Constraint Qualifiers
valid() - Method in class org.drip.optimization.necessary.ConditionQualifier
Retrieve the Condition Qualifier Validity
valid() - Method in class org.drip.optimization.regularity.ConstraintQualifier
Retrieve the Constraint Qualifier Validity
Validatable - Interface in org.drip.product.params
Validatable interface defines the validate function, which validates the current object state.
validate(ScenarioMarketParams) - Method in class org.drip.product.creator.BondProductBuilder
Validate the state
validate() - Method in class org.drip.product.creator.BondRefDataBuilder
 
validate() - Method in class org.drip.product.params.CDXRefDataParams
Validate the CDXRefData instance
validate() - Method in class org.drip.product.params.CouponSetting
 
validate() - Method in class org.drip.product.params.CreditSetting
 
validate() - Method in class org.drip.product.params.FloaterSetting
 
validate() - Method in class org.drip.product.params.IdentifierSet
 
validate() - Method in class org.drip.product.params.NotionalSetting
 
validate() - Method in class org.drip.product.params.QuoteConvention
 
validate() - Method in class org.drip.product.params.TerminationSetting
 
validate() - Method in interface org.drip.product.params.Validatable
Validate the current object state
ValidateCompoundingRule(int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
Verify if the Specified Accrual Compounding Rule is a Valid One
ValidatedR1 - Class in org.drip.spaces.instance
ValidatedR1 holds the Validated R^1 Vector Instance Sequence and the Corresponding Generalized Vector Space Type.
ValidatedR1(R1GeneralizedVector, double[]) - Constructor for class org.drip.spaces.instance.ValidatedR1
ValidatedR1 Constructor
ValidatedR1Combinatorial - Class in org.drip.spaces.instance
ValidatedR1Combinatorial holds the Validated R^1 Combinatorial Vector Instance Sequence and the Corresponding Generalized Vector Space Type.
ValidatedR1Combinatorial(R1CombinatorialVector, double[]) - Constructor for class org.drip.spaces.instance.ValidatedR1Combinatorial
ValidatedR1Combinatorial Constructor
ValidatedR1Continuous - Class in org.drip.spaces.instance
ValidatedR1Continuous holds the Validated R^1 Continuous Vector Instance Sequence and the Corresponding Generalized Vector Space Type.
ValidatedR1Continuous(R1ContinuousVector, double[]) - Constructor for class org.drip.spaces.instance.ValidatedR1Continuous
ValidatedR1Continuous Constructor
ValidatedRd - Class in org.drip.spaces.instance
ValidatedRd holds the Validated R^d Vector Instance Sequence and the Corresponding Generalized Vector Space Type.
ValidatedRd(RdGeneralizedVector, double[][]) - Constructor for class org.drip.spaces.instance.ValidatedRd
ValidatedRd Constructor
ValidatedRdCombinatorial - Class in org.drip.spaces.instance
ValidatedRdCombinatorial holds the Validated R^d R^d Vector Instance Sequence and the Corresponding Generalized Vector Space Type.
ValidatedRdCombinatorial(RdCombinatorialVector, double[][]) - Constructor for class org.drip.spaces.instance.ValidatedRdCombinatorial
ValidatedRdCombinatorial Constructor
ValidatedRdContinuous - Class in org.drip.spaces.instance
ValidatedRdContinuous holds the Validated R^d Continuous Vector Instance Sequence and the Corresponding Generalized Vector Space Type.
ValidatedRdContinuous(RdContinuousVector, double[][]) - Constructor for class org.drip.spaces.instance.ValidatedRdContinuous
ValidatedRdContinuous Constructor
validateIndex(int, int) - Method in class org.drip.spaces.big.BigR2Array
Validate the Specified Index Pair.
ValidateInput(double[]) - Static method in class org.drip.function.definition.RdToR1
Validate the Input Double Array
validateInstance(double) - Method in class org.drip.spaces.metric.R1CombinatorialBall
 
validateInstance(double) - Method in class org.drip.spaces.metric.R1ContinuousBall
 
validateInstance(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialBall
 
validateInstance(double[]) - Method in class org.drip.spaces.metric.RdContinuousBall
 
validateInstance(double) - Method in class org.drip.spaces.tensor.R1CombinatorialVector
 
validateInstance(double) - Method in class org.drip.spaces.tensor.R1ContinuousVector
 
validateInstance(double) - Method in interface org.drip.spaces.tensor.R1GeneralizedVector
Validate the Input Instance Ordinate
validateInstance(double[]) - Method in class org.drip.spaces.tensor.RdAggregate
 
validateInstance(double[]) - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
Validate the Input Instance
ValidateType(int) - Static method in class org.drip.param.period.FixingSetting
Validate the Type of FX Fixing
Valuation(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
Construct the CSA Valuation Event Date
valuation() - Method in class org.drip.exposure.csatimeline.EventSequence
Retrieve the Valuation Event Date
valuation() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Valuation Date
ValuationCustomizationParams - Class in org.drip.param.valuation
ValuationCustomizationParams holds the parameters needed to interpret the input quotes.
ValuationCustomizationParams(String, int, boolean, ActActDCParams, String, boolean, boolean) - Constructor for class org.drip.param.valuation.ValuationCustomizationParams
Construct ValuationCustomizationParams from the Day Count and the Frequency parameters
valuationCustomizationParams() - Method in class org.drip.product.params.QuoteConvention
Retrieve the Valuation Customization Parameters
ValuationMetrics(String, int, int, double, int, String, String, int, String[], double[], String, double[], String, String[], double[], String, String, int[], int[], double[], double[], String, String, String[], double[], double[], String, String, double) - Static method in class org.drip.service.product.FixedBondAPI
Generate a Full Map Invocation of the Bond Valuation Run
ValuationMetrics(String, String, double, int, String[], double[], String[], double[], boolean) - Static method in class org.drip.service.product.OvernightIndexSwapAPI
Generate Full Set of Metrics for the Specified OIS
ValuationMetrics(String, int[], int[], double[], double[], int, String[], double[], String, double[], String, String[], double[], String, int[], int[], double[], double[], String, double[]) - Static method in class org.drip.service.product.TreasuryFuturesAPI
Generate a Full Map Invocation of the Treasury Futures Run Use Case
valuationParameter() - Method in class org.drip.analytics.input.BootCurveConstructionInput
 
valuationParameter() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
Retrieve the Valuation Parameter
valuationParameter() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
 
valuationParameters() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Valuation Parameters
valuationParameters() - Method in class org.drip.service.scenario.EOSMetricsReplicator
Retrieve the Valuation Parameters
ValuationParams - Class in org.drip.param.valuation
ValuationParams is the place-holder for the valuation parameters for a given product.
ValuationParams(JulianDate, JulianDate, String) - Constructor for class org.drip.param.valuation.ValuationParams
Construct ValuationParams from the Valuation Date and the Cash Pay Date parameters
value() - Method in class org.drip.execution.sensitivity.ControlNodesGreek
Retrieve the Objective Function Penalty Value
value(LatentStateLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Value Corresponding to the Specific Latent State
value() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
Retrieve the Constraint Value Array
value - Variable in class org.drip.json.parser.Yytoken
 
value() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremum
Retrieve the Value of the Supremum Empirical Function
value(JumpDiffusionVertex) - Method in interface org.drip.measure.dynamics.LocalEvaluator
Determine the Value of the Evolution Function from the given Random Variate and Time
value() - Method in class org.drip.measure.joint.Vertex
Retrieve the Realized R^d Variate
value() - Method in class org.drip.measure.realization.JumpDiffusionVertex
Retrieve the Realized Random Value
value(String) - Method in class org.drip.param.definition.Quote
Get the quote value for the given side
value(String) - Method in class org.drip.param.quote.MultiSided
 
value(String) - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
Retrieve the Asset's Attribute Value
value() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintRealization
Retrieve the Point Value
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.BasketProduct
Generate a full list of the basket product measures for the full input set of market parameters
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.Component
Generate a full list of the Product measures for the full input set of market parameters
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAMarketComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloor
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.ComponentPair
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.govvie.TreasuryFutures
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.CDSEuropeanOption
 
value(ValuationParams, double, boolean, MergedDiscountForwardCurve, R1ToR1, FokkerPlanckGenerator) - Method in class org.drip.product.option.EuropeanCallPut
Generate the Measure Set for the Option
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.FixFloatEuropeanOption
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
 
value(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream
Generate a Value Map for the Stream
value() - Method in class org.drip.service.scenario.BondReplicationRun
Generate The Values
value() - Method in class org.drip.service.scenario.NamedField
Retrieve the Field Value
value() - Method in class org.drip.service.scenario.NamedFieldMap
Retrieve the Field Value Map
value() - Method in class org.drip.spaces.graph.SinglyLinkedNode
Retrieve the Linked Node Value
ValueAdjustment - Class in org.drip.xva.basel
ValueAdjustment holds the Value and the Attribution Category at the Level of a Portfolio.
ValueAdjustment(double, ValueCategory) - Constructor for class org.drip.xva.basel.ValueAdjustment
ValueAdjustment Constructor
valueArray(MarketPath) - Method in class org.drip.exposure.holdings.PositionGroup
Generate the Position Group Value Array at the specified Vertexes
valueCategory() - Method in class org.drip.xva.basel.ValueAdjustment
Retrieve the Valuation Adjustment Attribution Category
ValueCategory - Class in org.drip.xva.basel
ValueCategory holds the Fields relevant to Classifying Value Attribution from an Accounting ViewPoint.
ValueCategory(String, String, boolean) - Constructor for class org.drip.xva.basel.ValueCategory
ValueCategory Constructor
valueDate() - Method in class org.drip.param.valuation.ValuationParams
Retrieve the Valuation Date
valueDate() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Value Date
valueFromQuotedSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, double) - Method in class org.drip.product.credit.CDSComponent
 
valueFromQuotedSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, double) - Method in class org.drip.product.definition.CreditDefaultSwap
Value the CDS from the Quoted Spread
valueFromSurfaceVariance(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
Generate the Standard FRA Caplet/Floorlet Measures from the Integrated Surface Variance
valueFromSurfaceVariance(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.option.CDSEuropeanOption
Generate the Standard CDS European Option Measures from the Integrated Surface Variance
VanillaBlackNormalPricing - Class in org.drip.sample.option
VanillaBlackNormalPricing contains an illustration of the Vanilla Black Normal European Call and Put Options Pricer.
VanillaBlackNormalPricing() - Constructor for class org.drip.sample.option.VanillaBlackNormalPricing
 
VanillaBlackScholesPricing - Class in org.drip.sample.option
VanillaBlackScholesPricing contains an illustration of the Vanilla Black Scholes based European Call and Put Options Pricer.
VanillaBlackScholesPricing() - Constructor for class org.drip.sample.option.VanillaBlackScholesPricing
 
VanillaVarianceMinimizer - Class in org.drip.sample.assetallocation
VanillaVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimizing Allocator with only the Fully Invested Constraint.
VanillaVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.VanillaVarianceMinimizer
 
VanLeerLimiterC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Generate a Van Leer Limiter C1 Array from the specified Array of Predictor Ordinates and the Response Values.
vanna() - Method in class org.drip.pricer.option.Greeks
The Option Vanna
Varanasi - Class in org.drip.sample.bondeos
Varanasi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Varanasi.
Varanasi() - Constructor for class org.drip.sample.bondeos.Varanasi
 
varCutoff() - Method in class org.drip.simm.foundation.CurvatureResponseCornishFischer
Retrieve the VaR Cut-off
Variable - Class in org.drip.analytics.eventday
Variable class contains the rule characterizing the variable holiday’s month, day in week, week in month, and the weekend days.
Variable(int, int, int, boolean, Weekend, String) - Constructor for class org.drip.analytics.eventday.Variable
Construct the object from the week, day, month, from front/back, week end, and description
variableCoupon() - Method in class org.drip.product.credit.BondComponent
 
variableCoupon() - Method in class org.drip.product.definition.Bond
Indicate if the bond has variable coupon
VariableDriftTrajectoryComparator - Class in org.drip.sample.trend
VariableDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayesian Drift, Arithmetic Volatility, and Linear Temporary Market Impact across a Set of Drifts.
VariableDriftTrajectoryComparator() - Constructor for class org.drip.sample.trend.VariableDriftTrajectoryComparator
 
variance() - Method in class org.drip.measure.continuous.R1
Retrieve the Variance of the Distribution
variance() - Method in class org.drip.measure.continuous.R1Multivariate
Compute the Variance of the Distribution
variance() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
 
variance() - Method in class org.drip.measure.discrete.PoissonDistribution
 
variance() - Method in class org.drip.measure.gaussian.Covariance
Retrieve the Variance Array
variance() - Method in class org.drip.measure.gaussian.R1MultivariateNormal
 
variance() - Method in class org.drip.measure.gaussian.R1UnivariateNormal
 
variance() - Method in class org.drip.measure.lebesgue.R1Uniform
 
variance() - Method in class org.drip.measure.statistics.MultivariateDiscrete
Retrieve the Multivariate Variance
variance(String) - Method in class org.drip.measure.statistics.MultivariateMoments
Retrieve the Variance of the Named Variate
variance() - Method in class org.drip.measure.statistics.UnivariateMoments
Retrieve the Series Variance
variance(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Variance of the Portfolio
variance() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties
Retrieve the Variance of the Asset
variance() - Method in class org.drip.sequence.random.BoxMullerGaussian
Retrieve the Variance of the Box-Muller Gaussian
varianceContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
 
varianceContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
 
varianceContribution(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
Generate the Total Variance Contribution
varianceExponent() - Method in class org.drip.execution.risk.PowerVarianceObjectiveUtility
Retrieve the Variance Exponent
VarianceMinimizer() - Static method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
The Variance Minimizer CustomRiskUtilitySettings Instance
varianceModulator(String, double, String, double) - Method in interface org.drip.simm.foundation.CurvatureEstimator
Generate the Bucket Pair Curvature Variance Modulator
varianceModulator(String, double, String, double) - Method in class org.drip.simm.foundation.CurvatureEstimatorISDADelta
 
varianceModulator(String, double, String, double) - Method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
 
VarianceTerm - Class in org.drip.portfolioconstruction.objective
VarianceTerm holds the Details of the Portfolio Risk (Variance) Objective Term.
VarianceTerm(String, double[], double[][], double[]) - Constructor for class org.drip.portfolioconstruction.objective.VarianceTerm
VarianceTerm Constructor
variate() - Method in class org.drip.exposure.regression.PykhtinPillar
Retrieve the Point Exposure Variate
variate() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
Retrieve the Candidate Variate Array
variate() - Method in class org.drip.optimization.constrained.RegularityConditions
Retrieve the Candidate Variate Array
VARIATE_CONSTRAINT_SEQUENCE_CONVERGENCE - Static variable in class org.drip.function.rdtor1solver.ConvergenceControl
Solve Using the Convergence of the Variate/Constraint Multiplier Tuple Realization
variateBound() - Method in class org.drip.sequence.functional.BoundedIdempotentUnivariateRandom
Retrieve the Underlying Variate Bound
variateConstraintMultipler() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Retrieve the Consolidated Variate/Constraint Multiplier Array
variateFunctionVarianceMetrics() - Method in class org.drip.sequence.functional.EfronSteinMetrics
Compute the Function Sequence Agnostic Metrics associated with the Variance of each Variate
variateIncrementVector() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Retrieve the Sized Vector Instance corresponding to the Variate Increment
variateIndex(String) - Method in class org.drip.measure.continuous.MultivariateMeta
Retrieve the Index of the Named Variate
VariateInequalityConstraintMultiplier - Class in org.drip.function.rdtor1solver
VariateInequalityConstraintMultiplier holds the Variates and their Inequality Constraint Multipliers in either the Absolute or the Incremental Forms.
VariateInequalityConstraintMultiplier(boolean, double[], double[]) - Constructor for class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
VariateInequalityConstraintMultiplier Constructor
VariateIterationSelectorParams - Class in org.drip.function.r1tor1solver
VariateIterationSelectorParams implements the control parameters for the compound variate selector scheme used in Brent's method.
VariateIterationSelectorParams() - Constructor for class org.drip.function.r1tor1solver.VariateIterationSelectorParams
Default VariateIterationSelectorParams constructor
VariateIterationSelectorParams(double, double, int, int) - Constructor for class org.drip.function.r1tor1solver.VariateIterationSelectorParams
VariateIterationSelectorParams constructor
VariateIteratorPrimitive - Class in org.drip.function.r1tor1solver
VariateIteratorPrimitive implements the various Primitive Variate Iterator routines.
VariateIteratorPrimitive() - Constructor for class org.drip.function.r1tor1solver.VariateIteratorPrimitive
 
variateList() - Method in class org.drip.measure.statistics.MultivariateMoments
Retrieve the Variates for which the Metrics are available
VariateOutputPair - Class in org.drip.function.definition
VariateOutputPair records the Multidimensional Variate and its corresponding Objective Function Value.
VariateOutputPair(double[], double[]) - Constructor for class org.drip.function.definition.VariateOutputPair
VariateOutputPair Constructor
variates() - Method in class org.drip.function.definition.VariateOutputPair
Retrieve the Variate Array
variates() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
Retrieve the Array of Variates
variateSequence(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
Extract the Full Variate Array Sequence
VariateSumExtremization - Class in org.drip.sample.optimizer
VariateSumExtremization computes the Equality Constrained Extrema of the Sum of Variates along the Surface of the Sphere using Lagrange Multipliers.
VariateSumExtremization() - Constructor for class org.drip.sample.optimizer.VariateSumExtremization
 
variation() - Method in class org.drip.spaces.cover.L1R1CoveringBounds
Retrieve the Function Variation
variationConstraint() - Method in class org.drip.execution.tradingtime.CoordinatedMarketState
Retrieve the Coordinated Variation Constraint
variationConstraint() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
Retrieve the Coordinated Variation Constraint
variationMarginEstimate(int, MarketPath) - Method in class org.drip.exposure.generator.FixedStreamMPoR
 
variationMarginEstimate(int, MarketPath) - Method in class org.drip.exposure.generator.FixFloatMPoR
 
variationMarginEstimate(int, MarketPath) - Method in class org.drip.exposure.generator.FloatStreamMPoR
 
variationMarginEstimate(int, MarketPath) - Method in class org.drip.exposure.generator.NumeraireMPoR
 
variationMarginEstimate(int, MarketPath) - Method in class org.drip.exposure.generator.PortfolioMPoR
 
variationMarginEstimate(int, MarketPath) - Method in class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
 
variationMarginEstimate(int, MarketPath) - Method in class org.drip.exposure.holdings.PositionGroupEstimator
 
variationMarginEstimate(int, MarketPath) - Method in interface org.drip.exposure.mpor.VariationMarginTradePaymentVertex
Estimate the Vertex Date Variation Margin Estimate
variationMarginEstimate() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Calculation Agent Generated Variation Margin Estimate
variationMarginEstimate(int[]) - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
Generate the Path-wise Variation Margin Estimate on the Exposure Dates
variationMarginEstimate() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexExposure
Retrieve the Unrealized Variation Margin Forward Exposure
variationMarginEstimateTrajectory() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
Retrieve the Variation Margin Estimate Trajectory
variationMarginEstimateTrajectory() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
Retrieve the Path-wise Variation Margin Estimate Trajectory
variationMarginEstimateTrajectory() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolTrajectory
Retrieve the Dense Variation Margin Trajectory
VariationMarginEstimateVertex - Class in org.drip.exposure.regressiontrade
VariationMarginEstimateVertex holds the Sparse Date Unadjusted and Adjusted Variation Margin Estimates.
VariationMarginEstimateVertex(double, double) - Constructor for class org.drip.exposure.regressiontrade.VariationMarginEstimateVertex
VariationMarginEstimateVertex Constructor
variationMarginGap() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Variation Margin Gap
VariationMarginOnly(double) - Static method in class org.drip.xva.hypothecation.CollateralGroupVertexExposure
Construct the Variation Margin CollateralGroupVertexExposure Instance
variationMarginPeriodEnd() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Variation Margin Period End Date
variationMarginPeriodStart() - Method in class org.drip.exposure.csatimeline.LastFlowDates
Retrieve the Variation Margin Period Start Date
variationMarginPosting() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
Retrieve the Actual Variation Margin Posted from Collateral Rules and Operational Delays
variationMarginPosting() - Method in class org.drip.xva.hypothecation.CollateralGroupVertex
Retrieve the Posted Variation Margin at the Path Vertex Time Node
variationMarginPosting() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
Retrieve the Posted Variation Margin of the Collateral Group
variationMarginPosting() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
 
VariationMarginTradePaymentVertex - Interface in org.drip.exposure.mpor
VariationMarginTradePaymentVertex exposes the Generation of the Estimated Variation Margin and the Trade Payment at a Vertex off of the Realized Market Path.
VariationMarginTradeVertexExposure - Class in org.drip.exposure.mpor
VariationMarginTradeVertexExposure holds the Variation Margin, Trade Payments, and Exposures for a specific Forward Vertex Date.
VariationMarginTradeVertexExposure(double, double, double, double, LastFlowDates) - Constructor for class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
VariationMarginTradeVertexExposure Constructor
VariationMarginTrajectoryBuilder - Class in org.drip.exposure.mpor
VariationMarginTrajectoryBuilder builds the Variation Margin Trajectory using several Techniques.
VariationMarginTrajectoryBuilder() - Constructor for class org.drip.exposure.mpor.VariationMarginTrajectoryBuilder
 
VasaiVirar - Class in org.drip.sample.bondeos
VasaiVirar demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for VasaiVirar.
VasaiVirar() - Constructor for class org.drip.sample.bondeos.VasaiVirar
 
VEBHoliday - Class in org.drip.analytics.holset
 
VEBHoliday() - Constructor for class org.drip.analytics.holset.VEBHoliday
 
vectorSpaceIndexToVariate(int[]) - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
Convert the Vector Space Index Array to the Variate Array
vectorSpaces() - Method in class org.drip.spaces.tensor.RdAggregate
 
vectorSpaces() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
Retrieve the Array of the Underlying R^1 Vector Spaces
VEFHoliday - Class in org.drip.analytics.holset
 
VEFHoliday() - Constructor for class org.drip.analytics.holset.VEFHoliday
 
vega() - Method in class org.drip.pricer.option.Greeks
The Option Vega
vega() - Method in class org.drip.simm.common.DeltaVegaThreshold
Retrieve the Vega Concentration Threshold
vega() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettings
Vega Risk Measure Sensitivity Settings
vega() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
Retrieve the Credit Risk Class Vega Sensitivity Settings
vega() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
Retrieve the IR Risk Class Vega Sensitivity Settings
vega() - Method in class org.drip.simm.product.RiskClassSensitivity
Retrieve the Vega Risk Measure Sensitivity
vega() - Method in class org.drip.simm.product.RiskClassSensitivityCR
Retrieve the CR Vega Risk Measure Sensitivity
vega() - Method in class org.drip.simm.product.RiskClassSensitivityIR
Retrieve the IR Vega Tenor Sensitivity
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.commodity.CTSystemics20
Commodity Risk Class Vega Risk Weight (VRW)
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.commodity.CTSystemics21
Commodity Risk Class Vega Risk Weight (VRW)
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRNQSystemics20
Credit Non-Qualifying Vega Risk Weight
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRNQSystemics21
Credit Non-Qualifying Vega Risk Weight
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics20
Credit Qualifying Vega Risk Weight
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics21
Credit Qualifying Vega Risk Weight
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.fx.FXSystemics20
FX Risk Class Vega Risk Weight (VRW)
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.fx.FXSystemics21
FX Risk Class Vega Risk Weight (VRW)
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics20
Interest Rate Vega Risk Weight
VEGA_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics21
Interest Rate Vega Risk Weight
vegaMargin() - Method in class org.drip.simm.margin.RiskClassAggregate
Retrieve the Vega Margin
vegaMargin() - Method in class org.drip.simm.margin.RiskClassAggregateCR
Retrieve the CR Vega SBA Margin
vegaMargin() - Method in class org.drip.simm.margin.RiskClassAggregateIR
Retrieve the Vega Margin
vegaRiskWeight() - Method in class org.drip.simm.equity.EQBucket
Retrieve the Bucket Vega Risk Weight
vegaRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettings
Retrieve the Vega Risk Weight
vegaScaler() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
Retrieve the Vega Scaler
vegaScaler() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
Retrieve the Vega Scaler
verify() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
Indicate if the Armijo Criterion has been met
verify() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
Indicate if the Curvature Criterion has been met
verify(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifier
Verify if the specified Inputs satisfy the Criterion
verify() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
Indicate if the Evolution Criterion has been met
verify() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
Indicate if the Wolfe Criterion has been met
verifyFundingConstraint(MarketVertex) - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
Indicate whether Replication Portfolio satisfies the Funding Constraint implied by the Vertex Numeraire
verifyHardSearchEdges(InitializationHeuristics, double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializer
Initialize the starting bracket within the specified boundary
VerifyHyman89QuinticMonotonicity(double[], double[], double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
Verify if the given Quintic Polynomial is Monotone using the Hyman89 Algorithm Doherty, Edelman, and Hyman (1989) Non-negative, monotonic, or convexity preserving cubic and quintic Hermite interpolation - Mathematics of Computation 52 (186), 471-494.
VERSION - Static variable in class org.drip.quant.common.StringUtil
Serialization Version - ALWAYS prepend this on all derived classes
Vertex - Class in org.drip.measure.joint
Vertex holds the Snapshot Joint Values of the Realized Joint R^1 Variate and Time.
Vertex(double, double[]) - Constructor for class org.drip.measure.joint.Vertex
Vertex Constructor
vertex(String) - Method in class org.drip.spaces.graph.Topography
Retrieve the Named Vertex
Vertex - Class in org.drip.spaces.graph
Vertex implements a Single Vertex Node and the corresponding Egresses emanating from it.
Vertex(String) - Constructor for class org.drip.spaces.graph.Vertex
Vertex Constructor
vertexCollateralBalance() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Collateral Balances
vertexCollateralBalance() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateral Balances
vertexCollateralBalancePV() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Collateral Balances PV
vertexCollateralBalancePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateral Balances PV
vertexCollateralizedExposure() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexCollateralizedExposure() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexCollateralizedExposure() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Collateralized Vertex Exposures
vertexCollateralizedExposure() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Collateralized Exposures
vertexCollateralizedExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateralized Exposures
vertexCollateralizedExposure() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Collateralized Exposure
vertexCollateralizedExposurePV() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexCollateralizedExposurePV() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexCollateralizedExposurePV() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Collateralized Vertex Exposure PVs
vertexCollateralizedExposurePV() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Collateralized Exposure PV
vertexCollateralizedExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateralized Exposure PV
vertexCollateralizedExposurePV() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Collateralized Exposure PV
vertexCollateralizedNegativeExposure() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexCollateralizedNegativeExposure() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexCollateralizedNegativeExposure() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Collateralized Negative Vertex Exposures
vertexCollateralizedNegativeExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateralized Negative Exposures
vertexCollateralizedNegativeExposure() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Collateralized Negative Exposure
vertexCollateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexCollateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexCollateralizedNegativeExposurePV() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Collateralized Negative Vertex Exposure PV
vertexCollateralizedNegativeExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateralized Negative Exposure PV
vertexCollateralizedNegativeExposurePV() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Collateralized Negative Exposure PV
vertexCollateralizedPositiveExposure() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexCollateralizedPositiveExposure() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexCollateralizedPositiveExposure() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Collateralized Positive Vertex Exposures
vertexCollateralizedPositiveExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateralized Positive Exposures
vertexCollateralizedPositiveExposure() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Collateralized Positive Exposure
vertexCollateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexCollateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexCollateralizedPositiveExposurePV() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Collateralized Positive Vertex Exposure PVs
vertexCollateralizedPositiveExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Collateralized Positive Exposure PV
vertexCollateralizedPositiveExposurePV() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Collateralized Positive Exposure PV
vertexCreditExposure() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Credit Exposures
vertexCreditExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Credit Exposure
vertexCreditExposurePV() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Credit Exposure PV
vertexCreditExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Credit Exposure PV
vertexDate() - Method in class org.drip.xva.hypothecation.CollateralGroupVertex
Retrieve the Vertex Date
VertexDateBuilder - Class in org.drip.analytics.support
VertexDateBuilder exports Static Functions that create Vertex Dates using different Schemes.
VertexDateBuilder() - Constructor for class org.drip.analytics.support.VertexDateBuilder
 
vertexDates() - Method in class org.drip.exposure.universe.MarketVertexGenerator
Retrieve the Vertex Date Array
vertexDates() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
Retrieve the Array of the Vertex Anchor Dates
vertexDates() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexDates() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexDates() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of the Vertex Anchor Dates
vertexDates() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of the Vertex Anchor Dates
vertexDates() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of the Vertex Anchor Dates
vertexDates() - Method in class org.drip.xva.netting.FundingGroupPath
Retrieve the Array of the Vertex Anchor Dates
vertexDebtExposure() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Debt Exposures
vertexDebtExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Debt Exposure
vertexDebtExposurePV() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Debt Exposures PV
vertexDebtExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Debt Exposure PV
vertexExists(String) - Method in class org.drip.spaces.graph.Topography
Verify if the Vertex is available
vertexFinish() - Method in class org.drip.xva.derivative.EvolutionTrajectoryEdge
Retrieve the Finishing Evolution Trajectory Vertex
vertexFundingExposure() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexFundingExposure() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexFundingExposure() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Vertex Funding Exposures
vertexFundingExposure() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Funding Exposures
vertexFundingExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Funding Exposure
vertexFundingExposure() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Funding Exposure
vertexFundingExposurePV() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexFundingExposurePV() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexFundingExposurePV() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Vertex Funding Exposure PVs
vertexFundingExposurePV() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Funding Exposures PV
vertexFundingExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Funding Exposure PV
vertexFundingExposurePV() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Funding Exposure PV
vertexIncrement() - Method in class org.drip.exposure.universe.MarketEdge
Retrieve the Market Vertex Increment
vertexList() - Method in class org.drip.measure.discrete.VertexRd
Retrieve the Vertex R^d List
vertexMap() - Method in class org.drip.spaces.graph.Topography
Retrieve the Map of Vertex
vertexNameSet() - Method in class org.drip.spaces.graph.Topography
Retrieve The Vertex Name Set
vertexPeripheryMap() - Method in class org.drip.spaces.graph.ShortestPathFirstWengert
Retrieve the Vertex Periphery Map
VertexRd - Class in org.drip.measure.discrete
VertexRd holds the R^d Realizations at the Individual Vertexes.
VertexRd() - Constructor for class org.drip.measure.discrete.VertexRd
Empty VertexRd Constructor
vertexRealization(int) - Method in class org.drip.measure.discrete.VertexRd
Retrieve the Vertex Realization given the Vertex Index
vertexSequence(JumpDiffusionVertex, JumpDiffusionEdgeUnit[], double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
vertexSequence(JumpDiffusionVertex, JumpDiffusionEdgeUnit[], double[]) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Array of JumpDiffusionVertex Snaps from the specified Random Variate Array
vertexSequenceReverse(JumpDiffusionVertex, JumpDiffusionEdgeUnit[], double[]) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Array of JumpDiffusionVertex Snaps Backwards from the specified Random Variate Array
vertexStart() - Method in class org.drip.xva.derivative.EvolutionTrajectoryEdge
Retrieve the Starting Evolution Trajectory Vertex
vertexUncollateralizedExposure() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexUncollateralizedExposure() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexUncollateralizedExposure() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Uncollateralized Vertex Exposures
vertexUncollateralizedExposure() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Uncollateralized Exposures
vertexUncollateralizedExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Uncollateralized Exposures
vertexUncollateralizedExposure() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Uncollateralized Exposure
vertexUncollateralizedExposurePV() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexUncollateralizedExposurePV() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexUncollateralizedExposurePV() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Uncollateralized Vertex Exposure PV
vertexUncollateralizedExposurePV() - Method in class org.drip.xva.netting.CollateralGroupPath
Retrieve the Array of Vertex Uncollateralized Exposure PV
vertexUncollateralizedExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Uncollateralized Exposure PV
vertexUncollateralizedExposurePV() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Uncollateralized Exposure PV
vertexUncollateralizedNegativeExposure() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexUncollateralizedNegativeExposure() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexUncollateralizedNegativeExposure() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Uncollateralized Vertex Negative Exposures
vertexUncollateralizedNegativeExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Uncollateralized Negative Exposures
vertexUncollateralizedNegativeExposure() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Uncollateralized Negative Exposure
vertexUncollateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexUncollateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexUncollateralizedNegativeExposurePV() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Uncollateralized Vertex Negative Exposure PV
vertexUncollateralizedNegativeExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Uncollateralized Negative Exposure PV
vertexUncollateralizedNegativeExposurePV() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Uncollateralized Negative Exposure PV
vertexUncollateralizedPositiveExposure() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexUncollateralizedPositiveExposure() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexUncollateralizedPositiveExposure() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Uncollateralized Positive Vertex Exposures
vertexUncollateralizedPositiveExposure() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Uncollateralized Positive Exposures
vertexUncollateralizedPositiveExposure() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Uncollateralized Positive Exposure
vertexUncollateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
 
vertexUncollateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
 
vertexUncollateralizedPositiveExposurePV() - Method in interface org.drip.xva.gross.PathExposureAdjustment
Retrieve the Array of Uncollateralized Positive Vertex Exposure PV
vertexUncollateralizedPositiveExposurePV() - Method in class org.drip.xva.netting.CreditDebtGroupPath
Retrieve the Array of Vertex Uncollateralized Positive Exposure PV
vertexUncollateralizedPositiveExposurePV() - Method in class org.drip.xva.netting.FundingGroupPath
Compute Vertex Path Uncollateralized Positive Exposure PV
veta() - Method in class org.drip.pricer.option.Greeks
The Option Veta
viewDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
Retrieve the View Date
Vijayawada - Class in org.drip.sample.bondeos
Vijayawada demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Vijayawada.
Vijayawada() - Constructor for class org.drip.sample.bondeos.Vijayawada
 
Vintage(int) - Static method in class org.drip.analytics.date.DateUtil
Return the Vintage corresponding to the Julian Date
Vintage - Class in org.drip.assetbacked.loan
Vintage contains the Loan Origination Vintage Details - i.e., the Year/Month of Loan Origination
Vintage(int, int) - Constructor for class org.drip.assetbacked.loan.Vintage
Vintage Constructor
violated(double) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
 
violated(double) - Method in interface org.drip.function.rdtor1.BoundMultivariate
Indicate if the Specified Bound has been violated by the Variate
violationEdgeLimit() - Method in class org.drip.portfolioconstruction.optimizer.SoftConstraint
Retrieve the Hard Lower/Upper Violation Edge Limit
Visakhapatnam - Class in org.drip.sample.bondeos
Visakhapatnam demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Visakhapatnam.
Visakhapatnam() - Constructor for class org.drip.sample.bondeos.Visakhapatnam
 
visited() - Method in class org.drip.spaces.graph.ShortestPathVertex
Indicate if the Vertex has been Visited
VNDHoliday - Class in org.drip.analytics.holset
 
VNDHoliday() - Constructor for class org.drip.analytics.holset.VNDHoliday
 
vol(int) - Method in class org.drip.state.curve.BasisSplineDeterministicVolatility
 
vol(int) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
 
vol(int) - Method in class org.drip.state.volatility.VolatilityCurve
Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
volatility() - Method in class org.drip.execution.athl.TransactionRealization
Retrieve the Asset Daily Volatility
volatility() - Method in interface org.drip.execution.latent.MarketState
Retrieve the Realized Volatility Market State
volatility() - Method in class org.drip.execution.latent.MarketStateCorrelated
 
volatility() - Method in class org.drip.execution.latent.MarketStateSystemic
 
volatility(double) - Method in class org.drip.execution.tradingtime.CoordinatedMarketState
Retrieve the Realized Random Volatility
volatility(double) - Method in class org.drip.execution.tradingtime.CoordinatedVariation
Estimate the Volatility given the Liquidity
volatility(VolatilityLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Volatility Latent State
volatility() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve the Volatility Latent State Node Container
volatility(VolatilityLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
Retrieve of Labeled Volatility
volatility() - Method in class org.drip.measure.dynamics.DiffusionEvaluator
Retrieve the Volatility Evaluator
volatility() - Method in class org.drip.measure.gaussian.Covariance
Retrieve the Volatility Array
volatility() - Method in class org.drip.state.sequence.PathRd
Retrieve the Volatility
VOLATILITY_INDEX - Static variable in class org.drip.simm.credit.SectorSystemics
The Volatility Index Sector
VOLATILITY_QM_LOGNORMAL_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic
Volatility Latent State Quantification Metric - Lognormal Volatility
VOLATILITY_QM_NORMAL_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic
Volatility Latent State Quantification Metric - Normal Volatility
VOLATILITY_QM_SABR_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic
Volatility Latent State Quantification Metric - SABR Volatility
VOLATILITY_TYPE_HIGH - Static variable in class org.drip.simm.rates.IRSystemics
Interest Rate Type - High Volatility
VOLATILITY_TYPE_LOW - Static variable in class org.drip.simm.rates.IRSystemics
Interest Rate Type - Low Volatility
VOLATILITY_TYPE_NULL - Static variable in class org.drip.simm.rates.IRSystemics
Interest Rate Type - NULL Volatility
VOLATILITY_TYPE_REGULAR - Static variable in class org.drip.simm.rates.IRSystemics
Interest Rate Type - Regular Volatility
VolatilityCurve(ValuationParams, Component[], double[], String[], double, boolean, ExplicitBootVolatilityCurve, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
Boot-strap a Volatility Curve from the set of calibration components
VolatilityCurve - Class in org.drip.state.volatility
VolatilityCurve exposes the Stub that implements the Latent State's Deterministic Volatility Term Structure Curve - by Construction, this is expected to be non-local.
VolatilityCurve(int, LatentStateLabel, String) - Constructor for class org.drip.state.volatility.VolatilityCurve
 
VolatilityCurveNode(ValuationParams, Component, double, String, boolean, int, ExplicitBootVolatilityCurve, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
Calibrate a Single Volatility Curve Segment from the corresponding Component
VolatilityCurveScenario - Class in org.drip.state.boot
VolatilityCurveScenario uses the Volatility calibration instruments along with the component calibrator to produce scenario Volatility curves.
VolatilityCurveScenario() - Constructor for class org.drip.state.boot.VolatilityCurveScenario
 
volatilityExists(VolatilityLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Indicate if the Volatility Latent State Exists
volatilityExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence
Retrieve the Volatility Dependence Exponent
volatilityFromATMPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
Imply the Flat Cap/Floor Volatility from the Calibration ATM Price
volatilityFunction() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
Retrieve the Asset Annual Volatility Function
volatilityFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
Compute the Volatility Function from the Liquidity Function
volatilityFunction(R1ToR1) - Method in class org.drip.execution.tradingtime.CoordinatedVariation
Compute the Volatility Function from the Liquidity Function
volatilityGradient() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
Retrieve the Non Dimensional Value Volatility Gradient
volatilityIntegral(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Factor Volatility Integral
volatilityJacobian() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
Retrieve the Non Dimensional Value Volatility Jacobian
volatilityLabel() - Method in class org.drip.product.calib.ProductQuoteSet
Retrieve the Volatility Latent State Label, if it exists
volatilityLabel() - Method in class org.drip.product.credit.BondComponent
 
volatilityLabel() - Method in class org.drip.product.credit.CDSComponent
 
volatilityLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
Get the Map of Volatility Latent State Identifier Labels
volatilityLabel() - Method in class org.drip.product.fx.FXForwardComponent
 
volatilityLabel() - Method in class org.drip.product.govvie.TreasuryFutures
 
volatilityLabel() - Method in class org.drip.product.option.OptionComponent
 
volatilityLabel() - Method in class org.drip.product.rates.FixFloatComponent
 
volatilityLabel() - Method in class org.drip.product.rates.FloatFloatComponent
 
volatilityLabel() - Method in class org.drip.product.rates.RatesBasket
 
volatilityLabel() - Method in class org.drip.product.rates.SingleStreamComponent
 
VolatilityLabel - Class in org.drip.state.identifier
VolatilityLabel contains the Identifier Parameters referencing the Latent State of the named Volatility Curve.
VolatilityLabel(LatentStateLabel) - Constructor for class org.drip.state.identifier.VolatilityLabel
VolatilityLabel constructor
volatilityLDEV() - Method in class org.drip.measure.joint.Evolver
Retrieve the Array of the LDEV Volatility Function of the Individual Marginal Processes
volatilityMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
Retrieve the Volatility Evolver Map
volatilityOfVolatility() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
Retrieve SABR Volatility of Volatility
VolatilityProductQuoteSet - Class in org.drip.product.calib
VolatilityProductQuoteSet implements the Calibratable Volatility Product Quote Shell.
VolatilityProductQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.VolatilityProductQuoteSet
Volatility Product Quote Set Constructor
volatilityPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
Generate the Volatility Predictor/Response Constraint
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Latent State from the Component's Cash Flows.
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardCapFloor
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.CDSEuropeanOption
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.FixFloatEuropeanOption
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
 
volatilityPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Volatility Curve Volatility Latent State from the Component's Cash Flows.
volatilitySurface() - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Retrieve the Array of Volatility Surfaces
volatilityType() - Method in class org.drip.simm.rates.CurrencyRiskGroup
Retrieve the Volatility Type
volatilityType() - Method in class org.drip.simm.rates.IRWeight
Retrieve the Volatility Type
VolatilityTypeCurrencySet(String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
Retrieve the Set of Currencies for the specified Volatility Type
VolatilityTypeCurrencySet(String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
Retrieve the Set of Currencies for the specified Volatility Type
volatilityValue() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorLinear
Retrieve the Linear Volatility Value
volatilityValue() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic
Retrieve the Logarithmic Volatility Value
volatilityValue() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion
Retrieve the Logarithmic Volatility Value
VolumeTimeFrame - Class in org.drip.execution.tradingtime
VolumeTimeFrame implements the Pre- and Post-transformed Increment in the Volume Time Space as used in the "Trading Time" Model.
VolumeTimeFrame(double, double, double, double, double, double, double) - Constructor for class org.drip.execution.tradingtime.VolumeTimeFrame
VolumeTimeFrame Constructor
vomma() - Method in class org.drip.pricer.option.Greeks
The Option Vomma

W

WalkSuite - Class in org.drip.execution.dynamics
WalkSuite holds the Walk Random Variables (e.g., Weiner Variates) that correspond to an Instance of Walk attributable to different Factor Contributions inside of a Slice Increment.
WalkSuite(double, double, double, double) - Constructor for class org.drip.execution.dynamics.WalkSuite
WalkSuite Constructor
Warangal - Class in org.drip.sample.bondsink
Warangal generates the Full Suite of Replication Metrics for the Sinker Bond Warangal.
Warangal() - Constructor for class org.drip.sample.bondsink.Warangal
 
WARNING - Static variable in class org.drip.analytics.support.Logger
Logger level WARNING
washDays() - Method in class org.drip.portfolioconstruction.core.TaxAccountingScheme
Retrieve the Wash Days
WeakCurvatureEvolutionMetrics - Class in org.drip.sample.descentverifier
WeakCurvatureEvolutionMetrics demonstrates the Impact of applying the Weak Curvature Criterion on the Evolution of the R^d Fixed Point of a Constrained Minimization Search.
WeakCurvatureEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.WeakCurvatureEvolutionMetrics
 
weakLawAverageBounds(double) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
Estimate Mean Departure Bounds of the Average using the Weak Law of Large Numbers
WeakWolfeEvolutionMetrics - Class in org.drip.sample.descentverifier
WeakWolfeEvolutionMetrics demonstrates the Impact of applying the Weak Wolfe Criterion on the Evolution of the R^d Fixed Point of a Constrained Minimization Search.
WeakWolfeEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.WeakWolfeEvolutionMetrics
 
WEDNESDAY - Static variable in class org.drip.analytics.date.DateUtil
Days of the week - Wednesday
WEEKDAY_HOLS - Static variable in class org.drip.analytics.daycount.Convention
Week Day Holiday
Weekend - Class in org.drip.analytics.eventday
Weekend holds the left and the right weekend days.
Weekend(int[]) - Constructor for class org.drip.analytics.eventday.Weekend
Create the weekend instance object from the array of the weekend days
WEEKEND_HOLS - Static variable in class org.drip.analytics.daycount.Convention
Week End Holiday
WeekendDays(String) - Static method in class org.drip.analytics.daycount.Convention
Get the week end days for the given holiday calendar set
weekendDays() - Method in class org.drip.analytics.eventday.Locale
Return the weekend
weekInMonth() - Method in class org.drip.analytics.eventday.DateInMonth
Retrieve the Week In Month
Weifang - Class in org.drip.sample.bondeos
Weifang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Weifang.
Weifang() - Constructor for class org.drip.sample.bondeos.Weifang
 
weight() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
Weight of the Objective Term
weight() - Method in class org.drip.spaces.graph.Edge
Retrieve the Path Weight
weight() - Method in class org.drip.spline.params.SegmentBestFitResponse
Retrieve the Array of the Fitness Weights
weight(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
Retrieve the Indexed Fitness Weight Element
weight() - Method in class org.drip.spline.params.StretchBestFitResponse
Retrieve the Array of the Fitness Weights
weight(int) - Method in class org.drip.spline.params.StretchBestFitResponse
Retrieve the Indexed Fitness Weight Element
WeightConstrainedEllipsoidVariance - Class in org.drip.sample.semidefinite
WeightConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing the Variance Across The Specified Ellipsoid under the Normalization Constraint.
WeightConstrainedEllipsoidVariance() - Constructor for class org.drip.sample.semidefinite.WeightConstrainedEllipsoidVariance
 
weightConstrainedFeasibleStart() - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
Retrieve an Array of Viable Weight Constrained Starting Variates From Within the Feasible Region
weightedAverageLife(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLife(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLife(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Weighted Average Life from the Valuation Date
weightedAverageLife(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Weighted Average Life To Maturity from the Valuation Date
weightedAverageLifeCouponOnly(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifeCouponOnly(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifeCouponOnly(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Coupon Only Weighted Average Life from the Valuation Date
weightedAverageLifeCouponOnly(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Coupon Only Weighted Average Life To Maturity from the Valuation Date
weightedAverageLifeCredit(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifeCredit(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifeCredit(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.definition.Bond
Calculate the Credit Adjusted Weighted Average Life from the Valuation Date
weightedAverageLifeCredit(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Calculate the Credit Adjusted Weighted Average Life To Maturity from the Valuation Date
weightedAverageLifeLossOnly(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifeLossOnly(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifeLossOnly(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Weighted Average Life of Losses Only from the Valuation Date
weightedAverageLifeLossOnly(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Weighted Average Life of Losses Only To Maturity from the Valuation Date
weightedAverageLifePrincipalOnly(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifePrincipalOnly(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageLifePrincipalOnly(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Principal Only Weighted Average Life from the Valuation Date
weightedAverageLifePrincipalOnly(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Principal Only Weighted Average Life To Maturity from the Valuation Date
weightedAverageMaturityDate(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageMaturityDate(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
 
weightedAverageMaturityDate(ValuationParams, CurveSurfaceQuoteContainer, int, double) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Weighted Average Maturity Date from the Valuation Date
weightedAverageMaturityDate(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
Calculate the Bond's Weighted Average Maturity Date To Maturity from the Valuation Date
weightedFactorPointVolatility(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Compute the Weighted Factor Point Volatility
weightFromSource() - Method in class org.drip.spaces.graph.ShortestPathVertex
Retrieve the Weight From the Source
weightIndex() - Method in class org.drip.spaces.graph.ShortestPathTree
Retrieve the Weight Indexed Vertex Periphery Map
weights() - Method in class org.drip.portfolioconstruction.asset.Portfolio
Retrieve the Array of Asset Weights
weights() - Method in class org.drip.product.definition.BasketProduct
Retrieve the component Weights
weights() - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
Retrieve the Weights
weights() - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
Retrieve the Weights
Weihai - Class in org.drip.sample.bondeos
Weihai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Weihai.
Weihai() - Constructor for class org.drip.sample.bondeos.Weihai
 
weinerIncrement(JumpDiffusionVertex, double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and a Weiner Driver
weinerIncrement(double[], double) - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
Generate the Weiner Based JumpDiffusionEdge Increment Sequence from the Current Ornstein Uhlenbeck Random Variate
weinerJumpIncrement(JumpDiffusionVertex, double) - Method in class org.drip.measure.process.DiffusionEvolver
Generate the Adjacent JumpDiffusionEdge Instance from the specified Random Variate and Weiner/Jump Drivers
wengert(int) - Method in class org.drip.quant.calculus.WengertJacobian
Get the Value for the Wengert Variable
WengertJacobian - Class in org.drip.quant.calculus
WengertJacobian contains the Jacobian of the given set of Wengert variables to the set of parameters.
WengertJacobian(int, int) - Constructor for class org.drip.quant.calculus.WengertJacobian
WengertJacobian constructor
Wenling - Class in org.drip.sample.bondeos
Wenling demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Wenling.
Wenling() - Constructor for class org.drip.sample.bondeos.Wenling
 
Wenzhou - Class in org.drip.sample.bondeos
Wenzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Wenzhou.
Wenzhou() - Constructor for class org.drip.sample.bondeos.Wenzhou
 
wi() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Work-out Info
width() - Method in class org.drip.spline.segment.LatentStateInelastic
Get the Width of the Predictor Ordinate in this Segment
wildCardOption() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
Retrieve the Bond Futures Wild Card Option Setting
WILLIAMSON_SMOLA_SCHOLKOPF_CONSTANT - Static variable in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Maurey Constant - from the Williamson-Smola-Scholkopf Estimate
WilliamsonSmolaScholkopfEstimate(int, double) - Static method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
Construct an Instance of the Maurey Operator Covering Bounds based upon the Williamson, Smola, and Scholkopf Estimate
wireSpanXAnchor(double) - Method in class org.drip.spline.multidimensional.WireSurfaceStretch
Retrieve the Surface Span Stretch that corresponds to the given X Anchor
wireSpanYAnchor(double) - Method in class org.drip.spline.multidimensional.WireSurfaceStretch
Retrieve the Surface Span Stretch that corresponds to the given Y Anchor
WireSurfacePiecewiseConstant - Class in org.drip.spline.multidimensional
WireSurfacePiecewiseConstant implements the piecewise Constant version of the 2D Spline Response Surface.
WireSurfacePiecewiseConstant(double[], double[], double[][]) - Constructor for class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
WireSurfacePiecewiseConstant Constructor
WireSurfaceStretch - Class in org.drip.spline.multidimensional
WireSurfaceStretch implements a 2D spline surface stretch.
WireSurfaceStretch(String, SegmentCustomBuilderControl, TreeMap<Double, Span>) - Constructor for class org.drip.spline.multidimensional.WireSurfaceStretch
WireSurfaceStretch Constructor
WithinTolerance(double, double, double, double) - Static method in class org.drip.quant.common.NumberUtil
Compare and checks if the two input numbers fall within a specified tolerance
WithinTolerance(double, double) - Static method in class org.drip.quant.common.NumberUtil
Compare and checks if the two input numbers fall within a specified tolerance
WN1_ULTRA - Class in org.drip.template.ust
WN1_ULTRA demonstrates the Details behind the Implementation and the Pricing of the ULTRA LONG BOND WN1 UST Futures Contract.
WN1_ULTRA() - Constructor for class org.drip.template.ust.WN1_ULTRA
 
WN1Attribution - Class in org.drip.sample.treasuryfuturespnl
WN1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the WN1 Series.
WN1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.WN1Attribution
 
WN1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
WN1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated WN1 Closes Feed.
WN1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.WN1ClosesReconstitutor
 
WN1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
WN1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the WN1 Treasury Futures.
WN1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.WN1KeyRateDuration
 
WO_TYPE_CALL - Static variable in class org.drip.param.valuation.WorkoutInfo
Work out type Call
WO_TYPE_MATURITY - Static variable in class org.drip.param.valuation.WorkoutInfo
Work out type Maturity
WO_TYPE_PUT - Static variable in class org.drip.param.valuation.WorkoutInfo
Work out type Put
WolfeEvolutionVerifier - Class in org.drip.function.rdtor1descent
WolfeEvolutionVerifier implements the Wolfe Criterion used for the Inexact Line Search Increment Generation.
WolfeEvolutionVerifier(double, boolean, double, boolean) - Constructor for class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
WolfeEvolutionVerifier Constructor
WolfeEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
WolfeEvolutionVerifierMetrics implements the Wolfe Criterion used for the Inexact Line Search Increment Generation.
WolfeEvolutionVerifierMetrics(double, boolean, double, boolean, UnitVector, double[], double, double, double, double[], double[]) - Constructor for class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
WolfeEvolutionVerifierMetrics Constructor
workingAgeConsumptionRate() - Method in class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
Retrieve the Working Age Consumption Rate
workingAgeIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Investor Working Age Income
workingAgeIncomeDF(double) - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Working Age Income Discount Factor
workingAgeIncomeDF() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
Retrieve the Investor Working Age Income Discount Factor
workingAgeIncomePV() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
Retrieve the PV of the Working Age Income
workingAgeIncomeRate() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Working Age Income Discount Rate
workingAgeIncomeSpread() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Working Age Income Spread
workout() - Method in class org.drip.param.definition.CalibrationParams
Retrieve the Work-out Info
WorkoutInfo - Class in org.drip.param.valuation
WorkoutInfo is the place-holder for the work-out parameters.
WorkoutInfo(int, double, double, int) - Constructor for class org.drip.param.valuation.WorkoutInfo
Constructor: Construct the class from the work-out date, yield, exercise factor, and type
workoutType() - Method in class org.drip.analytics.output.ExerciseInfo
Retrieve the Work-out Type
WorkoutTypeToString(int) - Static method in class org.drip.analytics.support.Helper
Turn the work out type to string
writeJSONString(List, Writer) - Static method in class org.drip.json.simple.JSONArray
Encode a list into JSON text and write it to out.
writeJSONString(Writer) - Method in class org.drip.json.simple.JSONArray
 
writeJSONString(Map, Writer) - Static method in class org.drip.json.simple.JSONObject
Encode a map into JSON text and write it to out.
writeJSONString(Writer) - Method in class org.drip.json.simple.JSONObject
 
writeJSONString(Writer) - Method in interface org.drip.json.simple.JSONStreamAware
write JSON string to out.
writeJSONString(Object, Writer) - Static method in class org.drip.json.simple.JSONValue
Encode an object into JSON text and write it to out.
Wuchuan - Class in org.drip.sample.bondeos
Wuchuan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Wuchuan.
Wuchuan() - Constructor for class org.drip.sample.bondeos.Wuchuan
 
Wuhan - Class in org.drip.sample.bondeos
Wuhan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Wuhan.
Wuhan() - Constructor for class org.drip.sample.bondeos.Wuhan
 
Wuhu - Class in org.drip.sample.bondeos
Wuhu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Wuhu.
Wuhu() - Constructor for class org.drip.sample.bondeos.Wuhu
 
Wuwei - Class in org.drip.sample.bondeos
Wuwei demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Wuwei.
Wuwei() - Constructor for class org.drip.sample.bondeos.Wuwei
 
Wuxi - Class in org.drip.sample.bondeos
Wuxi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Wuxi.
Wuxi() - Constructor for class org.drip.sample.bondeos.Wuxi
 

X

x() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
Retrieve the Node's X
x() - Method in class org.drip.execution.athl.TransactionRealization
Retrieve the Transaction Amount X
x() - Method in class org.drip.measure.crng.ShiftRegisterGenerator
Retrieve the Array of State Values
x() - Method in class org.drip.quant.common.Array2D
Retrieve the Array of X
xAnchorTermStructure(double) - Method in class org.drip.analytics.definition.MarketSurface
Extract the Term Structure Constructed at the X Anchor Node
xAnchorTermStructure(double) - Method in class org.drip.state.curve.BasisSplineMarketSurface
 
xDateVolatilityFunction(int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
Retrieve the Factor-Specific Univariate Volatility Function for the Specified Date
xDown() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the "Down" Value for X
XDRHoliday - Class in org.drip.analytics.holset
 
XDRHoliday() - Constructor for class org.drip.analytics.holset.XDRHoliday
 
XEUHoliday - Class in org.drip.analytics.holset
 
XEUHoliday() - Constructor for class org.drip.analytics.holset.XEUHoliday
 
Xiamen - Class in org.drip.sample.bondeos
Xiamen demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xiamen.
Xiamen() - Constructor for class org.drip.sample.bondeos.Xiamen
 
Xian - Class in org.drip.sample.bondeos
Xian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xian.
Xian() - Constructor for class org.drip.sample.bondeos.Xian
 
Xiangcheng - Class in org.drip.sample.bondeos
Xiangcheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xiangcheng.
Xiangcheng() - Constructor for class org.drip.sample.bondeos.Xiangcheng
 
Xiangtan - Class in org.drip.sample.bondeos
Xiangtan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xiangtan.
Xiangtan() - Constructor for class org.drip.sample.bondeos.Xiangtan
 
Xiangyang - Class in org.drip.sample.bondeos
Xiangyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xiangyang.
Xiangyang() - Constructor for class org.drip.sample.bondeos.Xiangyang
 
Xianyang - Class in org.drip.sample.bondeos
Xianyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xianyang.
Xianyang() - Constructor for class org.drip.sample.bondeos.Xianyang
 
Xingtai - Class in org.drip.sample.bondeos
Xingtai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xingtai.
Xingtai() - Constructor for class org.drip.sample.bondeos.Xingtai
 
Xining - Class in org.drip.sample.bondeos
Xining demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xining.
Xining() - Constructor for class org.drip.sample.bondeos.Xining
 
Xinxiang - Class in org.drip.sample.bondeos
Xinxiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xinxiang.
Xinxiang() - Constructor for class org.drip.sample.bondeos.Xinxiang
 
Xinyang - Class in org.drip.sample.bondeos
Xinyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xinyang.
Xinyang() - Constructor for class org.drip.sample.bondeos.Xinyang
 
Xinyi - Class in org.drip.sample.bondeos
Xinyi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xinyi.
Xinyi() - Constructor for class org.drip.sample.bondeos.Xinyi
 
xLength() - Method in class org.drip.spaces.big.BigR2Array
Retrieve the Length of the X R^1 Array
xStochasticIndex() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
Retrieve the Tree Node's X Stochastic Index
xStochasticShift() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Stochastic Shift of X
Xuchang - Class in org.drip.sample.bondeos
Xuchang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xuchang.
Xuchang() - Constructor for class org.drip.sample.bondeos.Xuchang
 
xUp() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the "Up" Value for X
Xuzhou - Class in org.drip.sample.bondeos
Xuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Xuzhou.
Xuzhou() - Constructor for class org.drip.sample.bondeos.Xuzhou
 
XVAExplain - Class in org.drip.sample.burgard2011
XVAExplain demonstrates the Trajectory Attribtuion of the Bank and Counter-Party Default Based Derivative Evolution of the Dynamic XVA Replication Porfolio.
XVAExplain() - Constructor for class org.drip.sample.burgard2011.XVAExplain
 
XVAGreeks - Class in org.drip.sample.burgard2011
XVAGreeks demonstrates the Bank and Counter-Party Default Based Derivative Evolution of the XVA Greeks and their Components.
XVAGreeks() - Constructor for class org.drip.sample.burgard2011.XVAGreeks
 
XVAMarketGeneration - Class in org.drip.sample.burgard2011
XVAMarketGeneration generates the Asset, the Bank, and the Counter Party Credit/Funding Metrics used in an XVA Run.
XVAMarketGeneration() - Constructor for class org.drip.sample.burgard2011.XVAMarketGeneration
 
XVAReplicationPortfolio - Class in org.drip.sample.burgard2011
BilateralXVAReplicationPortfolio demonstrates the Bank and Counter-Party Default Based Derivative Evolution of the Dynamic XVA Replication Porfolio.
XVAReplicationPortfolio() - Constructor for class org.drip.sample.burgard2011.XVAReplicationPortfolio
 
xVariance() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
Retrieve the Variance in the Final Value of X

Y

y(double) - Method in class org.drip.quant.common.Array2D
Retrieve the Y given X
y(double, double) - Method in class org.drip.quant.common.Array2D
Retrieve the X-Weighted Y
y() - Method in class org.drip.quant.common.Array2D
Retrieve the Array of Y
y1Prev() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve Y1 Previous
y1PrevPrev() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve Y1 Previous Previous
y1PrevPrevPrev() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve Y1 Previous Previous Previous
y2Prev() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve Y2 Previous
y2PrevPrev() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve Y2 Previous Previous
y2PrevPrevPrev() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
Retrieve Y2 Previous Previous Previous
Yamabe2016 - Class in org.drip.sample.blacklitterman
Yamabe2016 reconciles the Outputs of the Black-Litterman Model Process.
Yamabe2016() - Constructor for class org.drip.sample.blacklitterman.Yamabe2016
 
Yancheng - Class in org.drip.sample.bondeos
Yancheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yancheng.
Yancheng() - Constructor for class org.drip.sample.bondeos.Yancheng
 
yAnchorTermStructure(double) - Method in class org.drip.analytics.definition.MarketSurface
Extract the Term Structure Constructed at the Y Anchor Node
yAnchorTermStructure(double) - Method in class org.drip.state.curve.BasisSplineMarketSurface
 
Yangjiang - Class in org.drip.sample.bondeos
Yangjiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yangjiang.
Yangjiang() - Constructor for class org.drip.sample.bondeos.Yangjiang
 
Yangzhou - Class in org.drip.sample.bondeos
Yangzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yangzhou.
Yangzhou() - Constructor for class org.drip.sample.bondeos.Yangzhou
 
Yantai - Class in org.drip.sample.bondeos
Yantai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yantai.
Yantai() - Constructor for class org.drip.sample.bondeos.Yantai
 
YAS - Class in org.drip.sample.bloomberg
YAS contains the sample demonstrating the replication of Bloomberg's YAS functionality.
YAS() - Constructor for class org.drip.sample.bloomberg.YAS
 
YAS_BTPS - Class in org.drip.sample.treasury
YAS_BTPS contains the sample demonstrating the replication of Bloomberg's Italian EUR Govvie Bond YAS Functionality.
YAS_BTPS() - Constructor for class org.drip.sample.treasury.YAS_BTPS
 
YAS_CAN - Class in org.drip.sample.treasury
YAS_CAN contains the sample demonstrating the replication of Bloomberg's Canadian Govvie CAD Bond YAS Functionality.
YAS_CAN() - Constructor for class org.drip.sample.treasury.YAS_CAN
 
YAS_DBR - Class in org.drip.sample.treasury
YAS_DBR contains the sample demonstrating the replication of Bloomberg's Deutsche EUR BUND YAS Functionality.
YAS_DBR() - Constructor for class org.drip.sample.treasury.YAS_DBR
 
YAS_FRTR - Class in org.drip.sample.treasury
YAS_FRTR contains the sample demonstrating the replication of Bloomberg's French Govvie EUR YAS Functionality.
YAS_FRTR() - Constructor for class org.drip.sample.treasury.YAS_FRTR
 
YAS_GGB - Class in org.drip.sample.treasury
YAS_GGB contains the sample demonstrating the replication of Bloomberg's Greek Govvie EUR Bond YAS Functionality.
YAS_GGB() - Constructor for class org.drip.sample.treasury.YAS_GGB
 
YAS_GILT - Class in org.drip.sample.treasury
YAS_GILT contains the sample demonstrating the replication of Bloomberg's GILT YAS functionality.
YAS_GILT() - Constructor for class org.drip.sample.treasury.YAS_GILT
 
YAS_JGB - Class in org.drip.sample.treasury
YAS_JGB contains the sample demonstrating the replication of Bloomberg's Japanese JGB JPY Bond YAS Functionality.
YAS_JGB() - Constructor for class org.drip.sample.treasury.YAS_JGB
 
YAS_MBONO - Class in org.drip.sample.treasury
YAS_MBONO contains the sample demonstrating the replication of Bloomberg's Mexican MBONO MXN Bond YAS Functionality.
YAS_MBONO() - Constructor for class org.drip.sample.treasury.YAS_MBONO
 
YAS_SPGB - Class in org.drip.sample.treasury
YAS_SPGB contains the sample demonstrating the replication of Bloomberg's Spanish Govvie EUR Bond YAS Functionality.
YAS_SPGB() - Constructor for class org.drip.sample.treasury.YAS_SPGB
 
YAS_UST - Class in org.drip.sample.treasury
YAS_UST contains the sample demonstrating the replication of Bloomberg's UST YAS functionality.
YAS_UST() - Constructor for class org.drip.sample.treasury.YAS_UST
 
YE1Attribution - Class in org.drip.sample.forwardratefuturespnl
YE1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the YE1 Series.
YE1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.YE1Attribution
 
YE1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
YE1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted YE1 Closes Feed.
YE1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.YE1ClosesReconstitutor
 
Year(int) - Static method in class org.drip.analytics.date.DateUtil
Return the Year corresponding to the Julian Date
Year(Date) - Static method in class org.drip.analytics.date.DateUtil
Return the Year corresponding to the java.util.Date Instance
yearFract(int, int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
YearFraction(int, int, String, boolean, ActActDCParams, String) - Static method in class org.drip.analytics.daycount.Convention
Calculate the Accrual Fraction in Years between 2 given Dates for the given Day Count Convention and the other Parameters
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC1_1
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC28_360
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_360
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_365
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_Act
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_360
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_364
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365L
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_UST
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in interface org.drip.analytics.daycount.DCFCalculator
Calculates the accrual fraction in years between 2 given days
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_360
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_365
 
yearFraction(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_Act
 
Yibin - Class in org.drip.sample.bondeos
Yibin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yibin.
Yibin() - Constructor for class org.drip.sample.bondeos.Yibin
 
Yichang - Class in org.drip.sample.bondeos
Yichang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yichang.
Yichang() - Constructor for class org.drip.sample.bondeos.Yichang
 
yield() - Method in class org.drip.param.valuation.WorkoutInfo
Retrieve the Work-out Yield
yield() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
Retrieve the Base Discounting Yield
yield() - Method in class org.drip.product.calib.TreasuryBondQuoteSet
Retrieve the Yield
yield(int) - Method in class org.drip.state.curve.BasisSplineGovvieYield
 
yield(JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
 
yield(String) - Method in class org.drip.state.govvie.GovvieCurve
 
yield(int) - Method in interface org.drip.state.govvie.YieldEstimator
Calculate the Yield to the given Date
yield(JulianDate) - Method in interface org.drip.state.govvie.YieldEstimator
Calculate the Yield to the given Date
yield(String) - Method in interface org.drip.state.govvie.YieldEstimator
Calculate the Yield to the Tenor implied by the given Date
yield(int) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
 
yield(int) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
 
yield() - Method in class org.drip.state.sequence.GovvieBuilderSettings
Retrieve the Calibration Treasury Yield Array
yield01() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Yield01
yield01FromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from ASW to Work-out
yield01FromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from ASW to Maturity
yield01FromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from ASW to Optimal Exercise
yield01FromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Bond Basis to Work-out
yield01FromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Bond Basis to Maturity
yield01FromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Bond Basis to Optimal Exercise
yield01FromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Credit Basis to Work-out
yield01FromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Credit Basis to Maturity
yield01FromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Credit Basis to Optimal Exercise
yield01FromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Discount Margin to Work-out
yield01FromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Discount Margin to Maturity
yield01FromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Discount Margin to Optimal Exercise
yield01FromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from E Spread to Work-out
yield01FromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from E Spread to Maturity
yield01FromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from E Spread to Optimal Exercise
yield01FromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from G Spread to Work-out
yield01FromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from G Spread to Maturity
yield01FromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from G Spread to Optimal Exercise
yield01FromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from I Spread to Work-out
yield01FromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from I Spread to Maturity
yield01FromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from I Spread to Optimal Exercise
yield01FromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from J Spread to Work-out
yield01FromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from J Spread to Maturity
yield01FromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from J Spread to Optimal Exercise
yield01FromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from OAS to Work-out
yield01FromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from OAS to Maturity
yield01FromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from OAS to Optimal Exercise
yield01FromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from PECS to Work-out
yield01FromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from PECS to Maturity
yield01FromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from PECS to Optimal Exercise
yield01FromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Price to Work-out
yield01FromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Price to Maturity
yield01FromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Price to Optimal Exercise
yield01FromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from TSY Spread to Work-out
yield01FromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from TSY Spread to Maturity
yield01FromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from TSY Spread to Optimal Exercise
yield01FromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Yield to Work-out
yield01FromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Yield to Maturity
yield01FromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Yield Spread to Work-out
yield01FromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Yield Spread to Maturity
yield01FromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Yield Spread to Optimal Exercise
yield01FromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Yield to Optimal Exercise
yield01FromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Z Spread to Work-out
yield01FromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Z Spread to Maturity
yield01FromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yield01FromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield01 from Z Spread to Optimal Exercise
Yield2DF(int, double, double) - Static method in class org.drip.analytics.support.Helper
Calculate the discount factor from the specified frequency, yield, and accrual year fraction
yieldAAP() - Method in class org.drip.param.valuation.ValuationCustomizationParams
Retrieve the Yield Act Act Day Count Parameters
yieldCalendar() - Method in class org.drip.param.valuation.ValuationCustomizationParams
Retrieve the Yield Calendar
yieldDayCount() - Method in class org.drip.param.valuation.ValuationCustomizationParams
Retrieve the Yield Day Count
yieldDF(int, double) - Method in class org.drip.state.govvie.GovvieCurve
 
yieldDF(int, double) - Method in interface org.drip.state.govvie.YieldEstimator
Calculate the Discount Factor to the given Date Using the specified DCF
YieldEstimator - Interface in org.drip.state.govvie
YieldEstimator is the Interface that exposes the Computation of the Yield of a specified Issue.
yieldFreq() - Method in class org.drip.param.valuation.ValuationCustomizationParams
Retrieve the Yield Frequency
yieldFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from ASW to Work-out
yieldFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from ASW to Maturity
yieldFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from ASW to Optimal Exercise
yieldFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Bond Basis to Work-out
yieldFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Bond Basis to Maturity
yieldFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Bond Basis to Optimal Exercise
yieldFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Credit Basis to Work-out
yieldFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Credit Basis to Maturity
yieldFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Credit Basis to Optimal Exercise
yieldFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Discount Margin to Work-out
yieldFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Discount Margin to Maturity
yieldFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Discount Margin to Optimal Exercise
yieldFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from E Spread to Work-out
yieldFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from E Spread to Maturity
yieldFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from E Spread to Optimal Exercise
yieldFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from G Spread to Work-out
yieldFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from G Spread to Maturity
yieldFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from G Spread to Optimal Exercise
yieldFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from I Spread to Work-out
yieldFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from I Spread to Maturity
yieldFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from I Spread to Optimal Exercise
yieldFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from J Spread to Work-out
yieldFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from J Spread to Maturity
yieldFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from J Spread to Optimal Exercise
yieldFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from N Spread to Work-out
yieldFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from N Spread to Maturity
yieldFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from N Spread to Optimal Exercise
yieldFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from OAS to Work-out
yieldFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from OAS to Maturity
yieldFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from OAS to Optimal Exercise
yieldFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from PECS to Work-out
yieldFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from PECS to Maturity
yieldFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from PECS to Optimal Exercise
yieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Price to Work-out
yieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Price to Maturity
yieldFromPriceTC(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromPriceTC(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Price to Work-out after applying the Tax Credit Coupon Extension
yieldFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Price to Optimal Exercise
yieldFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from TSY Spread to Work-out
yieldFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from TSY Spread to Maturity
yieldFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from TSY Spread to Optimal Exercise
yieldFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Yield Spread to Work-out
yieldFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Yield Spread to Maturity
yieldFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Yield Spread to Optimal Exercise
yieldFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Z Spread to Work-out
yieldFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Z Spread to Maturity
yieldFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield from Z Spread to Optimal Exercise
YieldInterpreter - Class in org.drip.param.quoting
YieldInterpreter holds the fields needed to interpret a Yield Quote.
YieldInterpreter(String, int, boolean, ActActDCParams, String) - Constructor for class org.drip.param.quoting.YieldInterpreter
Construct YieldInterpreter from the Day Count and the Frequency parameters
yieldSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from ASW to Work-out
yieldSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from ASW to Maturity
yieldSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from ASW to Optimal Exercise
yieldSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Bond Basis to Work-out
yieldSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Bond Basis to Maturity
yieldSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Bond Basis to Optimal Exercise
yieldSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Credit Basis to Work-out
yieldSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Credit Basis to Maturity
yieldSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Credit Basis to Optimal Exercise
yieldSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Discount Margin to Work-out
yieldSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Discount Margin to Maturity
yieldSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Discount Margin to Optimal Exercise
yieldSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from E Spread to Work-out
yieldSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from E Spread to Maturity
yieldSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from E Spread to Optimal Exercise
yieldSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from G Spread to Work-out
yieldSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from G Spread to Maturity
yieldSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from G Spread to Optimal Exercise
yieldSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from I Spread to Work-out
yieldSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from I Spread to Maturity
yieldSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from I Spread to Optimal Exercise
yieldSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from J Spread to Work-out
yieldSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from J Spread to Maturity
yieldSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from J Spread to Optimal Exercise
yieldSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from N Spread to Work-out
yieldSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from N Spread to Maturity
yieldSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from N Spread to Optimal Exercise
yieldSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from OAS to Work-out
yieldSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from OAS to Maturity
yieldSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from OAS to Optimal Exercise
yieldSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from PECS to Work-out
yieldSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from PECS to Maturity
yieldSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from PECS to Optimal Exercise
yieldSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Price to Work-out
yieldSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Price to Maturity
yieldSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Price to Optimal Exercise
yieldSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from TSY Spread to Work-out
yieldSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from TSY Spread to Maturity
yieldSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from TSY Spread to Optimal Exercise
yieldSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Yield to Work-out
yieldSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Yield to Maturity
yieldSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Yield to Optimal Exercise
yieldSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Z Spread to Work-out
yieldSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Z Spread to Maturity
yieldSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
yieldSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Yield Spread from Z Spread to Optimal Exercise
Yinchuan - Class in org.drip.sample.bondeos
Yinchuan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yinchuan.
Yinchuan() - Constructor for class org.drip.sample.bondeos.Yinchuan
 
Yingkou - Class in org.drip.sample.bondeos
Yingkou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yingkou.
Yingkou() - Constructor for class org.drip.sample.bondeos.Yingkou
 
Yiwu - Class in org.drip.sample.bondeos
Yiwu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yiwu.
Yiwu() - Constructor for class org.drip.sample.bondeos.Yiwu
 
Yixing - Class in org.drip.sample.bondeos
Yixing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yixing.
Yixing() - Constructor for class org.drip.sample.bondeos.Yixing
 
yLength() - Method in class org.drip.spaces.big.BigR2Array
Retrieve the Length of the Y R^1 Array
YM1 - Class in org.drip.sample.treasuryfuturesapi
YM1 demonstrates the Invocation and Examination of the YM1 3Y AGB Treasury Futures.
YM1() - Constructor for class org.drip.sample.treasuryfuturesapi.YM1
 
Yueyang - Class in org.drip.sample.bondeos
Yueyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yueyang.
Yueyang() - Constructor for class org.drip.sample.bondeos.Yueyang
 
Yulin - Class in org.drip.sample.bondeos
Yulin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yulin.
Yulin() - Constructor for class org.drip.sample.bondeos.Yulin
 
Yuzhou - Class in org.drip.sample.bondeos
Yuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Yuzhou.
Yuzhou() - Constructor for class org.drip.sample.bondeos.Yuzhou
 
yybegin(int) - Method in class org.drip.json.parser.Yylex
Enters a new lexical state
yycharat(int) - Method in class org.drip.json.parser.Yylex
Returns the character at position pos from the matched text.
yyclose() - Method in class org.drip.json.parser.Yylex
Closes the input stream.
YYEOF - Static variable in class org.drip.json.parser.Yylex
This character denotes the end of file
YYINITIAL - Static variable in class org.drip.json.parser.Yylex
lexical states
yylength() - Method in class org.drip.json.parser.Yylex
Returns the length of the matched text region.
Yylex - Class in org.drip.json.parser
Yylex is an Adaptation of the Yylex Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
Yylex(Reader) - Constructor for class org.drip.json.parser.Yylex
Creates a new scanner There is also a java.io.InputStream version of this constructor.
yylex() - Method in class org.drip.json.parser.Yylex
Resumes scanning until the next regular expression is matched, the end of input is encountered or an I/O-Error occurs.
YylexTest - Class in org.drip.sample.json
YylexTest is an Adaptation of the YylexTest Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
YylexTest() - Constructor for class org.drip.sample.json.YylexTest
 
yypushback(int) - Method in class org.drip.json.parser.Yylex
Pushes the specified amount of characters back into the input stream.
yyreset(Reader) - Method in class org.drip.json.parser.Yylex
Resets the scanner to read from a new input stream.
yystate() - Method in class org.drip.json.parser.Yylex
Returns the current lexical state.
yytext() - Method in class org.drip.json.parser.Yylex
Returns the text matched by the current regular expression.
Yytoken - Class in org.drip.json.parser
Yytoken is an Adaptation of the Yytoken Class from the RFC4627 compliant JSON Simple (https://code.google.com/p/json-simple/).
Yytoken(int, Object) - Constructor for class org.drip.json.parser.Yytoken
 
YYYYMMDD(int) - Static method in class org.drip.analytics.date.DateUtil
Create an YYYY/MM/DD String from the Input Julian Integer

Z

z() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
Retrieve Z
ZALHoliday - Class in org.drip.analytics.holset
 
ZALHoliday() - Constructor for class org.drip.analytics.holset.ZALHoliday
 
Zaoyang - Class in org.drip.sample.bondeos
Zaoyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zaoyang.
Zaoyang() - Constructor for class org.drip.sample.bondeos.Zaoyang
 
Zaozhuang - Class in org.drip.sample.bondeos
Zaozhuang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zaozhuang.
Zaozhuang() - Constructor for class org.drip.sample.bondeos.Zaozhuang
 
ZAR - Class in org.drip.template.irs
ZAR contains a Templated Pricing of the OTC Fix-Float ZAR IRS Instrument.
ZAR() - Constructor for class org.drip.template.irs.ZAR
 
ZARHoliday - Class in org.drip.analytics.holset
 
ZARHoliday() - Constructor for class org.drip.analytics.holset.ZARHoliday
 
ZARShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
ZARShapePreserving1YStart Generates the Historical ZAR Shape Preserving Funding Curve Native Compounded Forward Rate starting at 1Y Tenor.
ZARShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.ZARShapePreserving1YStart
 
ZARShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
ZARShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the ZAR Input Marks.
ZARShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.ZARShapePreservingReconstitutor
 
Zero() - Static method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
Generate a Zero Sensitivity Correlated Non-dimensional Cost Instance
Zero() - Static method in class org.drip.execution.hjb.NonDimensionalCostSystemic
Generate a Zero Sensitivity Systemic Non Dimensional Cost Instance
zero(int) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
 
zero(int) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
 
zero(int) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
 
zero(int) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
 
zero(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Calculate the implied rate to the given date
zero(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Calculate the implied rate to the given tenor
zero(int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
 
zeroBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
 
zeroBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.fx.FXCurve
Calculate the set of Zero basis given the input discount curves
zeroBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
 
zeroCouponBondPrice(double) - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
Compute the Zero Coupon Bond Price
ZeroCouponBullet1 - Class in org.drip.sample.sovereign
ZeroCouponBullet1 demonstrates Non-EOS Zero Coupon Multi-flavor Bond Pricing and Relative Value Measure Generation Functionality.
ZeroCouponBullet1() - Constructor for class org.drip.sample.sovereign.ZeroCouponBullet1
 
ZeroCouponBullet2 - Class in org.drip.sample.sovereign
ZeroCouponBullet2 demonstrates Non-EOS Zero Coupon Multi-flavor Bond Pricing and Relative Value Measure Generation Functionality.
ZeroCouponBullet2() - Constructor for class org.drip.sample.sovereign.ZeroCouponBullet2
 
ZeroCouponBullet3 - Class in org.drip.sample.sovereign
ZeroCouponBullet3 demonstrates Non-EOS Zero Coupon Multi-flavor Bond Pricing and Relative Value Measure Generation Functionality.
ZeroCouponBullet3() - Constructor for class org.drip.sample.sovereign.ZeroCouponBullet3
 
zeroCouponForwardPrice(int, int, int, double, double) - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
Compute the Realized Zero Coupon Bond Forward Price
ZeroCurve - Class in org.drip.state.discount
ZeroCurve exposes the node set containing the zero curve node points.
ZeroCurve(int, String) - Constructor for class org.drip.state.discount.ZeroCurve
 
ZeroCurveRegressor - Class in org.drip.regression.curve
ZeroCurveRegressor implements the regression analysis set for the Zero Curve.
ZeroCurveRegressor() - Constructor for class org.drip.regression.curve.ZeroCurveRegressor
ZeroCurveRegressor constructor - Creates the base zero curve and initializes the regression objects
ZeroMean(double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
Construct a Zero-Mean Instance of DiffusionEvaluatorOrnsteinUhlenbeck
zeroRate(int) - Method in class org.drip.state.curve.DerivedZeroRate
 
zeroRate(int) - Method in class org.drip.state.discount.ZeroCurve
Retrieve the zero rate corresponding to the given date
ZeroRateDiscountCurve - Class in org.drip.state.curve
ZeroRateDiscountCurve manages the Discounting Latent State, using the Zero Rate as the State Response Representation.
ZeroRateDiscountCurve(String, Span) - Constructor for class org.drip.state.curve.ZeroRateDiscountCurve
ZeroRateDiscountCurve constructor
zeroRateJack(int, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Jacobian for the Zero Rate to the given date
zeroRateJack(JulianDate, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
Retrieve the Jacobian for the Zero Rate to the given date
ZeroStrikeCallOption - Class in org.drip.sample.piterbarg2010
ZeroStrikeCallOption examines the Impact of Funding and Collateralization on a "Zero Strike Call", i.e., the Futures Contract on an Asset with Non-Zero Value.
ZeroStrikeCallOption() - Constructor for class org.drip.sample.piterbarg2010.ZeroStrikeCallOption
 
ZeroThreshold(String, int, int, double, int) - Static method in class org.drip.xva.proto.PositionGroupSpecification
Generate a Zero-Threshold Instance of the Named Position Group
ZeroThresholdCollateralGroup - Class in org.drip.sample.xva
ZeroThresholdCollateralGroup illustrates the Sample Run of a Single Partially Collateralized Collateral Group under Zero Bank/Counter Party Threshold with several Fix-Float Swaps.
ZeroThresholdCollateralGroup() - Constructor for class org.drip.sample.xva.ZeroThresholdCollateralGroup
 
ZeroThresholdCollateralGroupCorrelated - Class in org.drip.sample.xva
ZeroThresholdCollateralGroupCorrelated illustrates the Sample Run of a Single Partially Collateralized Collateral Group under Zero Bank/Counter Party Threshold with several Fix-Float Swaps, and with built in Factor Correlations across the Numeraires.
ZeroThresholdCollateralGroupCorrelated() - Constructor for class org.drip.sample.xva.ZeroThresholdCollateralGroupCorrelated
 
ZeroThresholdCollateralNeutral - Class in org.drip.sample.xvabasel
ZeroThresholdCollateralNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdCollateralNeutral() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdCollateralNeutral
 
ZeroThresholdCollateralNeutralStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdCollateralNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdCollateralNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdCollateralNeutralStochastic
 
ZeroThresholdCollateralPayable - Class in org.drip.sample.xvabasel
ZeroThresholdCollateralPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdCollateralPayable() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdCollateralPayable
 
ZeroThresholdCollateralPayableStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdCollateralPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdCollateralPayableStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdCollateralPayableStochastic
 
ZeroThresholdCollateralReceivable - Class in org.drip.sample.xvabasel
ZeroThresholdCollateralReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdCollateralReceivable() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdCollateralReceivable
 
ZeroThresholdCollateralReceivableStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdCollateralReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdCollateralReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdCollateralReceivableStochastic
 
ZeroThresholdFundingNeutral - Class in org.drip.sample.xvabasel
ZeroThresholdFundingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdFundingNeutral() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdFundingNeutral
 
ZeroThresholdFundingNeutralStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdFundingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdFundingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdFundingNeutralStochastic
 
ZeroThresholdFundingPayable - Class in org.drip.sample.xvabasel
ZeroThresholdFundingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdFundingPayable() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdFundingPayable
 
ZeroThresholdFundingPayableStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdFundingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdFundingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdFundingPayableStochastic
 
ZeroThresholdFundingReceivable - Class in org.drip.sample.xvabasel
ZeroThresholdFundingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdFundingReceivable() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdFundingReceivable
 
ZeroThresholdFundingReceivableStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdFundingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdFundingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdFundingReceivableStochastic
 
ZeroThresholdNettingNeutral - Class in org.drip.sample.xvabasel
ZeroThresholdNettingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdNettingNeutral() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdNettingNeutral
 
ZeroThresholdNettingNeutralStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdNettingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdNettingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdNettingNeutralStochastic
 
ZeroThresholdNettingPayable - Class in org.drip.sample.xvabasel
ZeroThresholdNettingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdNettingPayable() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdNettingPayable
 
ZeroThresholdNettingPayableStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdNettingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdNettingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdNettingPayableStochastic
 
ZeroThresholdNettingReceivable - Class in org.drip.sample.xvabasel
ZeroThresholdNettingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdNettingReceivable() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdNettingReceivable
 
ZeroThresholdNettingReceivableStochastic - Class in org.drip.sample.xvabasel
ZeroThresholdNettingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
ZeroThresholdNettingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.ZeroThresholdNettingReceivableStochastic
 
Zhangjiagang - Class in org.drip.sample.bondeos
Zhangjiagang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhangjiagang.
Zhangjiagang() - Constructor for class org.drip.sample.bondeos.Zhangjiagang
 
Zhangqiu - Class in org.drip.sample.bondeos
Zhangqiu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhangqiu.
Zhangqiu() - Constructor for class org.drip.sample.bondeos.Zhangqiu
 
Zhangzhou - Class in org.drip.sample.bondeos
Zhangzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhangzhou.
Zhangzhou() - Constructor for class org.drip.sample.bondeos.Zhangzhou
 
Zhanjiang - Class in org.drip.sample.bondeos
Zhanjiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhanjiang.
Zhanjiang() - Constructor for class org.drip.sample.bondeos.Zhanjiang
 
Zhaoqing - Class in org.drip.sample.bondeos
Zhaoqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhaoqing.
Zhaoqing() - Constructor for class org.drip.sample.bondeos.Zhaoqing
 
Zhengzhou - Class in org.drip.sample.bondeos
Zhengzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhengzhou.
Zhengzhou() - Constructor for class org.drip.sample.bondeos.Zhengzhou
 
Zhenjiang - Class in org.drip.sample.bondeos
Zhenjiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhenjiang.
Zhenjiang() - Constructor for class org.drip.sample.bondeos.Zhenjiang
 
Zhongshan - Class in org.drip.sample.bondeos
Zhongshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhongshan.
Zhongshan() - Constructor for class org.drip.sample.bondeos.Zhongshan
 
Zhoukou - Class in org.drip.sample.bondeos
Zhoukou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhoukou.
Zhoukou() - Constructor for class org.drip.sample.bondeos.Zhoukou
 
Zhoushan - Class in org.drip.sample.bondeos
Zhoushan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhoushan.
Zhoushan() - Constructor for class org.drip.sample.bondeos.Zhoushan
 
Zhucheng - Class in org.drip.sample.bondeos
Zhucheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhucheng.
Zhucheng() - Constructor for class org.drip.sample.bondeos.Zhucheng
 
Zhuhai - Class in org.drip.sample.bondeos
Zhuhai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhuhai.
Zhuhai() - Constructor for class org.drip.sample.bondeos.Zhuhai
 
Zhuji - Class in org.drip.sample.bondeos
Zhuji demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhuji.
Zhuji() - Constructor for class org.drip.sample.bondeos.Zhuji
 
Zhuzhou - Class in org.drip.sample.bondeos
Zhuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zhuzhou.
Zhuzhou() - Constructor for class org.drip.sample.bondeos.Zhuzhou
 
Zibo - Class in org.drip.sample.bondeos
Zibo demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zibo.
Zibo() - Constructor for class org.drip.sample.bondeos.Zibo
 
Zigong - Class in org.drip.sample.bondeos
Zigong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zigong.
Zigong() - Constructor for class org.drip.sample.bondeos.Zigong
 
Zoucheng - Class in org.drip.sample.bondeos
Zoucheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zoucheng.
Zoucheng() - Constructor for class org.drip.sample.bondeos.Zoucheng
 
zSpread() - Method in class org.drip.analytics.output.BondRVMeasures
Retrieve the Z Spread
zSpreadBump() - Method in class org.drip.service.scenario.BondReplicator
Retrieve the Z Spread Bump
zSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from ASW to Work-out
zSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from ASW to Maturity
zSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from ASW to Optimal Exercise
zSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Bond Basis to Work-out
zSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Bond Basis to Maturity
zSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Bond Basis to Optimal Exercise
zSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Credit Basis to Work-out
zSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Credit Basis to Maturity
zSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Credit Basis to Optimal Exercise
zSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Discount Margin to Work-out
zSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Discount Margin to Maturity
zSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Discount Margin to Optimal Exercise
zSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from G Spread to Work-out
zSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from G Spread to Maturity
zSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from G Spread to Optimal Exercise
zSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from I Spread to Work-out
zSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from I Spread to Maturity
zSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from I Spread to Optimal Exercise
zSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from J Spread to Work-out
zSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from J Spread to Maturity
zSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from J Spread to Optimal Exercise
zSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from N Spread to Work-out
zSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from N Spread to Maturity
zSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from N Spread to Optimal Exercise
zSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from OAS to Work-out
zSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from OAS to Maturity
zSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from OAS to Optimal Exercise
zSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from PECS to Work-out
zSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from PECS to Maturity
zSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from PECS to Optimal Exercise
zSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Price to Work-out
zSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Price to Maturity
zSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Price to Optimal Exercise
zSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from TSY Spread to Work-out
zSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from TSY Spread to Maturity
zSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from TSY Spread to Optimal Exercise
zSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Yield to Work-out
zSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Yield to Maturity
zSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Yield Spread to Work-out
zSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Yield Spread to Maturity
zSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Yield Spread to Optimal Exercise
zSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
 
zSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
Calculate Z Spread from Yield to Optimal Exercise
Zunyi - Class in org.drip.sample.bondeos
Zunyi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Zunyi.
Zunyi() - Constructor for class org.drip.sample.bondeos.Zunyi
 
ZUSHoliday - Class in org.drip.analytics.holset
 
ZUSHoliday() - Constructor for class org.drip.analytics.holset.ZUSHoliday
 
ZWDHoliday - Class in org.drip.analytics.holset
 
ZWDHoliday() - Constructor for class org.drip.analytics.holset.ZWDHoliday
 

_

_aCalibInst - Variable in class org.drip.state.credit.CreditCurve
 
_adblCalibQuote - Variable in class org.drip.state.credit.CreditCurve
 
_aiOrder - Variable in class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
 
_astrCalibMeasure - Variable in class org.drip.state.credit.CreditCurve
 
_bFlat - Variable in class org.drip.state.credit.CreditCurve
 
_bFullFirstStub - Variable in class org.drip.product.params.CDXRefDataParams
Index Full First Stub
_bHasBeenCalled - Variable in class org.drip.product.creator.BondProductBuilder
Has Been Exercised flag
_bHasBeenCalled - Variable in class org.drip.product.creator.BondRefDataBuilder
Has this been called
_bIsBearer - Variable in class org.drip.product.creator.BondRefDataBuilder
Is this a Bearer Bond
_bIsCallable - Variable in class org.drip.product.creator.BondProductBuilder
Callable flag
_bIsCallable - Variable in class org.drip.product.creator.BondRefDataBuilder
Callable flag
_bIsDefaulted - Variable in class org.drip.product.creator.BondProductBuilder
Is Defaulted flag
_bIsDefaulted - Variable in class org.drip.product.creator.BondRefDataBuilder
Has this bond defaulted
_bIsFloater - Variable in class org.drip.product.creator.BondProductBuilder
Is Floater flag
_bIsFloater - Variable in class org.drip.product.creator.BondRefDataBuilder
Is this bond a floater
_bIsPerpetual - Variable in class org.drip.product.creator.BondProductBuilder
Is Perpetual flag
_bIsPerpetual - Variable in class org.drip.product.creator.BondRefDataBuilder
Is this bond perpetual
_bIsPrivatePlacement - Variable in class org.drip.product.creator.BondRefDataBuilder
Is this a private placement
_bIsPutable - Variable in class org.drip.product.creator.BondProductBuilder
Putable flag
_bIsPutable - Variable in class org.drip.product.creator.BondRefDataBuilder
Putable flag
_bIsRegistered - Variable in class org.drip.product.creator.BondRefDataBuilder
Is this registered
_bIsReversibleConvertible - Variable in class org.drip.product.creator.BondRefDataBuilder
Flag indicating is reverse convertible
_bIsSinkable - Variable in class org.drip.product.creator.BondProductBuilder
Sinkable flag
_bIsSinkable - Variable in class org.drip.product.creator.BondRefDataBuilder
Sinkable flag
_bIsStructuredNote - Variable in class org.drip.product.creator.BondRefDataBuilder
Flag indicating Structured Note
_bIsUnitTraded - Variable in class org.drip.product.creator.BondRefDataBuilder
Flag indicating whether unit traded
_bKnockOutOnDefault - Variable in class org.drip.product.params.CDXRefDataParams
Index Knock-out On Default
_bPayAccrued - Variable in class org.drip.product.params.CDXRefDataParams
Index Pay Accrued
_bQuoteAsCDS - Variable in class org.drip.product.params.CDXRefDataParams
Index Quote As CDS
_bStatus - Variable in class org.drip.regression.core.RegressionRunOutput
Completion Status for the Regression Module
_bTradeStatus - Variable in class org.drip.product.creator.BondRefDataBuilder
Trade Status
_bWhine - Variable in class org.drip.function.r1tor1solver.FixedPointFinder
 
_ccCalib - Variable in class org.drip.product.credit.CDSComponent.SpreadCalibOP
 
_ccis - Variable in class org.drip.state.discount.MergedDiscountForwardCurve
 
_ccis - Variable in class org.drip.state.govvie.GovvieCurve
 
_dblCalibResult - Variable in class org.drip.product.credit.CDSComponent.SpreadCalibOP
 
_dblCoupon - Variable in class org.drip.product.creator.BondProductBuilder
Coupon
_dblCoupon - Variable in class org.drip.product.creator.BondRefDataBuilder
Coupon
_dblCoupon - Variable in class org.drip.product.params.CDXRefDataParams
Index Coupon (bp)
_dblCoupon - Variable in class org.drip.product.params.StandardCDXParams
CDX Coupon
_dblCurrentCoupon - Variable in class org.drip.product.creator.BondProductBuilder
Current Coupon
_dblCurrentCoupon - Variable in class org.drip.product.creator.BondRefDataBuilder
Current Coupon
_dblFloatSpread - Variable in class org.drip.product.creator.BondProductBuilder
Floater Spread
_dblFloatSpread - Variable in class org.drip.product.creator.BondRefDataBuilder
Spread over the floater index for this bond
_dblIndexFactor - Variable in class org.drip.product.params.CDXRefDataParams
Index Factor
_dblIssueAmount - Variable in class org.drip.product.creator.BondRefDataBuilder
Issue Amount
_dblIssuePrice - Variable in class org.drip.product.creator.BondRefDataBuilder
Issue Price
_dblMarketDynamicExpectation - Variable in class org.drip.execution.discrete.ShortfallIncrementDistribution
 
_dblMarketDynamicVariance - Variable in class org.drip.execution.discrete.ShortfallIncrementDistribution
 
_dblMinimumIncrement - Variable in class org.drip.product.creator.BondRefDataBuilder
Minimum Increment
_dblMinimumPiece - Variable in class org.drip.product.creator.BondRefDataBuilder
Minimum Piece
_dblOFGoal - Variable in class org.drip.function.r1tor1solver.FixedPointFinder
 
_dblOutstandingAmount - Variable in class org.drip.product.creator.BondRefDataBuilder
Outstanding Amount
_dblParAmount - Variable in class org.drip.product.creator.BondRefDataBuilder
Par Amount
_dblPermanentImpactExpectation - Variable in class org.drip.execution.discrete.ShortfallIncrementDistribution
 
_dblPermanentImpactVariance - Variable in class org.drip.execution.discrete.ShortfallIncrementDistribution
 
_dblRecovery - Variable in class org.drip.product.params.CDXRefDataParams
Index Recovery
_dblRedemptionValue - Variable in class org.drip.product.creator.BondProductBuilder
Redemption Value
_dblRedemptionValue - Variable in class org.drip.product.creator.BondRefDataBuilder
Redemption Value
_dblTemporaryImpactExpectation - Variable in class org.drip.execution.discrete.ShortfallIncrementDistribution
 
_dblTemporaryImpactVariance - Variable in class org.drip.execution.discrete.ShortfallIncrementDistribution
 
_dblTension - Variable in class org.drip.spline.bspline.SegmentBasisFunctionSet
 
_dc - Variable in class org.drip.function.definition.R1ToR1
 
_dc - Variable in class org.drip.function.definition.R1ToRd
 
_dc - Variable in class org.drip.function.definition.RdToR1
 
_dc - Variable in class org.drip.function.definition.RdToRd
 
_dc - Variable in class org.drip.state.credit.CreditCurve
 
_dtAnnounce - Variable in class org.drip.product.creator.BondProductBuilder
Announce Date
_dtAnnounce - Variable in class org.drip.product.creator.BondRefDataBuilder
Announce Date
_dtCompletion - Variable in class org.drip.regression.core.RegressionRunOutput
Completion Time for the Regression Module
_dtFinalMaturity - Variable in class org.drip.product.creator.BondProductBuilder
Final Maturity Date
_dtFinalMaturity - Variable in class org.drip.product.creator.BondRefDataBuilder
Final Maturity Date
_dtFirstCoupon - Variable in class org.drip.product.creator.BondProductBuilder
First Coupon Date
_dtFirstCoupon - Variable in class org.drip.product.creator.BondRefDataBuilder
First Coupon Date
_dtFirstSettle - Variable in class org.drip.product.creator.BondProductBuilder
First Settle Date
_dtFirstSettle - Variable in class org.drip.product.creator.BondRefDataBuilder
First Settle Date
_dtInterestAccrualStart - Variable in class org.drip.product.creator.BondProductBuilder
Interest Accrual Start Date
_dtInterestAccrualStart - Variable in class org.drip.product.creator.BondRefDataBuilder
Interest Accrual Start Date
_dtIssue - Variable in class org.drip.product.creator.BondProductBuilder
Issue Date
_dtIssue - Variable in class org.drip.product.creator.BondRefDataBuilder
Issue Date
_dtIssue - Variable in class org.drip.product.params.CDXRefDataParams
Index Issue Date
_dtMaturity - Variable in class org.drip.product.creator.BondProductBuilder
Maturity
_dtMaturity - Variable in class org.drip.product.creator.BondRefDataBuilder
Maturity
_dtMaturity - Variable in class org.drip.product.params.CDXRefDataParams
Index Maturity Date
_dtNextCouponDate - Variable in class org.drip.product.creator.BondRefDataBuilder
Next Coupon Date
_dtPenultimateCouponDate - Variable in class org.drip.product.creator.BondRefDataBuilder
Penultimate Coupon Date
_dtPrevCouponDate - Variable in class org.drip.product.creator.BondRefDataBuilder
Previous Coupon Date
_ec - Variable in class org.drip.function.r1tor1solver.FixedPointFinder
 
_eosCall - Variable in class org.drip.product.credit.BondComponent
 
_eosPut - Variable in class org.drip.product.credit.BondComponent
 
_gc - Variable in class org.drip.state.credit.CreditCurve
 
_ib - Variable in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
 
_iCouponFreq - Variable in class org.drip.product.creator.BondProductBuilder
Coupon Frequency
_iDefaultedComponentCount - Variable in class org.drip.product.params.CDXRefDataParams
Index Defaulted Component Count
_iEpochDate - Variable in class org.drip.analytics.definition.MarketSurface
 
_iEpochDate - Variable in class org.drip.analytics.definition.NodeStructure
 
_iEpochDate - Variable in class org.drip.state.credit.CreditCurve
 
_iEpochDate - Variable in class org.drip.state.discount.MergedDiscountForwardCurve
 
_iEpochDate - Variable in class org.drip.state.fx.FXCurve
 
_iEpochDate - Variable in class org.drip.state.govvie.GovvieCurve
 
_iFrequency - Variable in class org.drip.product.params.CDXRefDataParams
Index Frequency
_iIndexLifeSpan - Variable in class org.drip.product.params.CDXRefDataParams
Index Life Span
_iIndexSeries - Variable in class org.drip.product.params.CDXRefDataParams
Index Series
_iIndexVersion - Variable in class org.drip.product.params.CDXRefDataParams
Index Version
_iIteratorPrimitive - Variable in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
 
_iNumComponents - Variable in class org.drip.product.params.StandardCDXParams
Number of CDX Components
_iOriginalComponentCount - Variable in class org.drip.product.params.CDXRefDataParams
Index Original Component Count
_iSeries - Variable in class org.drip.product.params.CDXIdentifier
 
_iSpecificDefaultDate - Variable in class org.drip.state.credit.CreditCurve
 
_iVersion - Variable in class org.drip.product.params.CDXIdentifier
 
_label - Variable in class org.drip.analytics.definition.MarketSurface
 
_label - Variable in class org.drip.analytics.definition.NodeStructure
 
_label - Variable in class org.drip.state.credit.CreditCurve
 
_lExecTime - Variable in class org.drip.regression.core.RegressionRunOutput
Execution time for the Regression Module
_liability() - Method in class org.drip.xva.definition.SimpleBalanceSheet
Retrieve the Balance Sheet Liability
_lsfc - Variable in class org.drip.state.credit.CreditCurve
 
_mapCDXRefData - Static variable in class org.drip.product.creator.CDXRefDataHolder
 
_mapMeasure - Variable in class org.drip.state.credit.CreditCurve
 
_mapQuote - Variable in class org.drip.state.credit.CreditCurve
 
_mmCDXRDBFirstCouponSeries - Static variable in class org.drip.product.creator.CDXRefDataHolder
 
_mmCDXRDBSeriesFirstCoupon - Static variable in class org.drip.product.creator.CDXRefDataHolder
 
_of - Variable in class org.drip.function.r1tor1solver.ExecutionControl
 
_of - Variable in class org.drip.function.r1tor1solver.FixedPointFinder
 
_pricerParam - Variable in class org.drip.state.credit.CreditCurve
 
_quotingParams - Variable in class org.drip.state.credit.CreditCurve
 
_setRS - Variable in class org.drip.regression.core.RegressionEngine
 
_strBBGID - Variable in class org.drip.product.creator.BondRefDataBuilder
Bloomberg ID
_strBBGParent - Variable in class org.drip.product.creator.BondRefDataBuilder
Bloomberg Parent
_strBBGTicker - Variable in class org.drip.product.params.CDXRefDataParams
Index Bloomberg Ticker
_strBBGUniqueID - Variable in class org.drip.product.creator.BondRefDataBuilder
Unique Bloomberg ID
_strCalculationType - Variable in class org.drip.product.creator.BondProductBuilder
Calculation Type
_strCalculationType - Variable in class org.drip.product.creator.BondRefDataBuilder
Calculation Type
_strCDRCountryCode - Variable in class org.drip.product.creator.BondRefDataBuilder
CDR Country Code
_strCDRSettleCode - Variable in class org.drip.product.creator.BondRefDataBuilder
CDR Settle Code
_strCollateralType - Variable in class org.drip.product.creator.BondRefDataBuilder
Collateral Type
_strCountryOfDomicile - Variable in class org.drip.product.creator.BondRefDataBuilder
Country of Domicile
_strCountryOfGuarantor - Variable in class org.drip.product.creator.BondRefDataBuilder
Country of Guarantor
_strCountryOfIncorporation - Variable in class org.drip.product.creator.BondRefDataBuilder
Country of Incorporation
_strCouponCurrency - Variable in class org.drip.product.creator.BondProductBuilder
Coupon Currency
_strCouponCurrency - Variable in class org.drip.product.creator.BondRefDataBuilder
Coupon Currency
_strCouponType - Variable in class org.drip.product.creator.BondProductBuilder
Coupon Type
_strCouponType - Variable in class org.drip.product.creator.BondRefDataBuilder
Coupon Type
_strCurrency - Variable in class org.drip.analytics.definition.MarketSurface
 
_strCurrency - Variable in class org.drip.analytics.definition.NodeStructure
 
_strCurrency - Variable in class org.drip.portfolioconstruction.core.Asset
 
_strCurrency - Variable in class org.drip.product.params.CDXRefDataParams
Index Currency
_strCurrency - Variable in class org.drip.product.params.StandardCDXParams
Currency
_strCurrency - Variable in class org.drip.state.credit.CreditCurve
 
_strCurrency - Variable in class org.drip.state.discount.MergedDiscountForwardCurve
 
_strCurveID - Variable in class org.drip.product.params.CDXRefDataParams
Index Curve ID
_strCurveName - Variable in class org.drip.product.params.CDXRefDataParams
Index Curve Name
_strCurvyCurveID - Variable in class org.drip.product.params.CDXRefDataParams
Index Curvy Curve ID
_strCUSIP - Variable in class org.drip.product.creator.BondProductBuilder
CUSIP
_strCUSIP - Variable in class org.drip.product.creator.BondRefDataBuilder
CUSIP
_strDayCount - Variable in class org.drip.product.params.CDXRefDataParams
Index DayCount
_strDayCountCode - Variable in class org.drip.product.creator.BondProductBuilder
Day count Code
_strDayCountCode - Variable in class org.drip.product.creator.BondRefDataBuilder
Day Count Code
_strDescription - Variable in class org.drip.product.creator.BondRefDataBuilder
Description
_strExchangeCode - Variable in class org.drip.product.creator.BondRefDataBuilder
Exchange Code
_strFitch - Variable in class org.drip.product.creator.BondRefDataBuilder
Fitch Rating
_strFloatCouponConvention - Variable in class org.drip.product.creator.BondProductBuilder
Floater Coupon Day Count Convention
_strFloatCouponConvention - Variable in class org.drip.product.creator.BondRefDataBuilder
Float Coupon Convention
_strIndex - Variable in class org.drip.product.params.CDXIdentifier
 
_strIndexClass - Variable in class org.drip.product.params.CDXRefDataParams
Index Class
_strIndexGroupName - Variable in class org.drip.product.params.CDXRefDataParams
Index Group Name
_strIndexLabel - Variable in class org.drip.product.params.CDXRefDataParams
Index Label
_strIndexName - Variable in class org.drip.product.params.CDXRefDataParams
Index Name
_strIndexShortGroupName - Variable in class org.drip.product.params.CDXRefDataParams
Index Short Group Name
_strIndexShortName - Variable in class org.drip.product.params.CDXRefDataParams
Index Short Name
_strIndustryGroup - Variable in class org.drip.product.creator.BondRefDataBuilder
Industry Group
_strIndustrySector - Variable in class org.drip.product.creator.BondRefDataBuilder
Industry Sector
_strIndustrySubgroup - Variable in class org.drip.product.creator.BondRefDataBuilder
Industry Sub Group
_strISIN - Variable in class org.drip.product.creator.BondProductBuilder
ISIN
_strISIN - Variable in class org.drip.product.creator.BondRefDataBuilder
ISIN
_strIssueCountry - Variable in class org.drip.product.creator.BondRefDataBuilder
Issue Country
_strIssueCountryCode - Variable in class org.drip.product.creator.BondRefDataBuilder
Issue Country Code
_strIssuer - Variable in class org.drip.product.creator.BondRefDataBuilder
Issuer Name
_strIssuerCategory - Variable in class org.drip.product.creator.BondRefDataBuilder
Issuer Category
_strIssuerIndustry - Variable in class org.drip.product.creator.BondRefDataBuilder
Issuer Industry
_strIssuerSPN - Variable in class org.drip.product.creator.BondProductBuilder
Issuer SPN
_strIssuerSPN - Variable in class org.drip.product.creator.BondRefDataBuilder
Issuer SPN
_strLeadManager - Variable in class org.drip.product.creator.BondRefDataBuilder
Lead Manager
_strLocation - Variable in class org.drip.product.params.CDXRefDataParams
Index Location
_strLongCompanyName - Variable in class org.drip.product.creator.BondRefDataBuilder
Long Company Name
_strMarketIssueType - Variable in class org.drip.product.creator.BondRefDataBuilder
Market Issue Type
_strMaturityType - Variable in class org.drip.product.creator.BondProductBuilder
Maturity Type
_strMaturityType - Variable in class org.drip.product.creator.BondRefDataBuilder
Maturity Type
_strMoody - Variable in class org.drip.product.creator.BondRefDataBuilder
Moody's Rating
_strName - Variable in class org.drip.analytics.definition.NodeStructure
 
_strName - Variable in class org.drip.product.creator.BondRefDataBuilder
Name
_strRateIndex - Variable in class org.drip.product.creator.BondProductBuilder
Rate Index
_strRateIndex - Variable in class org.drip.product.creator.BondRefDataBuilder
Floating rate index
_strRedemptionCurrency - Variable in class org.drip.product.creator.BondProductBuilder
Redemption Currency
_strRedemptionCurrency - Variable in class org.drip.product.creator.BondRefDataBuilder
Redemption Currency
_strRedID - Variable in class org.drip.product.params.CDXRefDataParams
Index Red ID
_strRegressionScenarioName - Variable in class org.drip.regression.core.RegressionRunOutput
Completion Status for the Regression Module
_strSector - Variable in class org.drip.portfolioconstruction.core.Asset
 
_strSecurityType - Variable in class org.drip.product.creator.BondRefDataBuilder
Security Type
_strSeries - Variable in class org.drip.product.creator.BondRefDataBuilder
Series
_strShortName - Variable in class org.drip.product.creator.BondRefDataBuilder
Short Name
_strShortName - Variable in class org.drip.product.params.CDXRefDataParams
Index Short Name
_strSnP - Variable in class org.drip.product.creator.BondRefDataBuilder
SnP rating
_strSnrSub - Variable in class org.drip.product.creator.BondRefDataBuilder
Senior or Sub-ordinate
_strSPN - Variable in class org.drip.product.params.CDXRefDataParams
Index Curve SPN
_strTenor - Variable in class org.drip.product.params.CDXIdentifier
 
_strTicker - Variable in class org.drip.product.creator.BondProductBuilder
Ticker
_strTicker - Variable in class org.drip.product.creator.BondRefDataBuilder
Ticker
_strTradeCurrency - Variable in class org.drip.product.creator.BondProductBuilder
Trade Currency
_strTradeCurrency - Variable in class org.drip.product.creator.BondRefDataBuilder
Trade Currency
_tldf - Variable in class org.drip.state.discount.MergedDiscountForwardCurve
 
_valParam - Variable in class org.drip.state.credit.CreditCurve
 
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